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Louisiana Public Employees Deferred Compensation Plan
Louisiana Public Employees Deferred Compensation Plan Strategic Asset Allocation - Optimal Moderate
Louisiana Public Employees Deferred Compensation Plan Strategic Asset Allocation - Optimal Moderate
live (public) 0.08% December 30
Delayed
Holdings (As of 10/31/2016)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | PTTRX (TOTAL RETURN FUND INSTITUTIONAL) | 0.0% | PIMCO Total Return Instl | 24.72% |
| US Equity | ACIIX (EQUITY INCOME FUND I CLASS) | 0.78% | American Century Equity Income Instl | 12.63% |
| US Equity | RWMFX (WASHINGTON MUTUAL INVESTORS FUND CLASS R-5) | 0.62% | American Funds Washington Mutual R5 | 12.30% |
| CASH | CASH (CASH) | 0.0% | CASH | 0.01% |
| Real Estate | IARIX (INVESCO REAL ESTATE FUND CLASS R5) | 0.52% | Invesco Real Estate Institutional | 7.94% |
| Emerging Market Equity | ODVYX (Oppenheimer Developing Markets Y) | 0.15% | Oppenheimer Developing Markets Y | 10.77% |
| International Equity | MXIVX (GREAT-WEST MFS INTERNATIONAL VALUE FUND INVESTOR CLASS) | 0.80% | Maxim MFS International Value Initial | 9.13% |
| International Equity | RWIFX (CAPITAL WORLD GROWTH & INCOME FUND CLASS R-5) | 0.35% | American Funds Capital World G/I R5 | 8.36% |
| Inflation Protected Bond | ATPIX (AMERICAN BEACON TREASURY INFLATION PROTECTED SECURITIES FUND INSTITUTIONAL CLASS) | 0.0% | BlackRock US Treas Infl Pro Secs Coll F | 14.14% |
* Day change on 09/30/2016.
Previous
Beta
Performance (As of 12/30/2016)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| Louisiana Public Employees Deferred Compensation Plan Strategic Asset Allocation - Optimal Moderate | 7.3% | 9.8% | 3.9% | 7.8% | 12.0% | 10.8% |
| VFINX (Vanguard (S&P 500) Index) | 1.8% | 13.8% | 15.7% | 17.5% | 12.8% | 13.8% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 0.0% | 4.6% | 6.8% | 7.2% | 6.7% | 8.2% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.1 | 9.8 | 3.9 | 7.8 | 12.0 | 10.8 | 11.5 | 0.0 | 10.5 | 5.9 | -0.9 | 3.4 | 11.5 | 12.3 | -0.1 | 16.2 | 128.0 | -27.4 | 12.3 | 13.2 | 7.1 | 12.1 | 26.3 | -7.8 | 6.1 |
| Sharpe Ratio | NA | 0.69 | 0.36 | 0.84 | 0.51 | NA | NA | NA | 0.53 | 0.74 | -0.11 | 0.5 | 1.57 | 1.79 | -0.01 | 1.27 | 2.2 | -1.25 | 0.88 | 1.33 | 0.77 | 1.39 | 2.56 | -0.66 | 0.33 |
| Draw Down(%) | NA | 7.5 | 11.3 | 11.3 | 40.7 | NA | NA | NA | 40.7 | 7.2 | 8.7 | 5.4 | 6.9 | 5.6 | 15.7 | 9.3 | 16.6 | 37.2 | 7.3 | 8.0 | 4.4 | 7.4 | 6.6 | 18.5 | 12.4 |
| Standard Deviation(%) | NA | 7.8 | 7.7 | 7.5 | 21.6 | NA | NA | NA | 18.1 | 7.8 | 8.5 | 6.8 | 7.3 | 6.8 | 14.9 | 12.7 | 58.0 | 22.7 | 10.5 | 7.4 | 6.4 | 8.0 | 10.0 | 13.6 | 11.6 |
| Treynor Ratio | NA | 16.6 | 0.81 | 0.3 | 0.21 | NA | NA | NA | 0.19 | 32.71 | -0.13 | 2.66 | 0.19 | 0.24 | 0.0 | 0.24 | 1.99 | -0.54 | 0.15 | 0.15 | 0.09 | 0.19 | 0.48 | -0.18 | 0.08 |
| Alpha | NA | 0.02 | 0.01 | 0.01 | 0.04 | NA | NA | NA | 0.03 | 0.02 | 0.0 | 0.01 | -0.02 | 0.02 | 0.0 | 0.03 | 0.34 | -0.03 | 0.03 | 0.01 | 0.02 | 0.02 | 0.04 | 0.01 | 0.04 |
| Beta | NA | 0.0 | 0.03 | 0.21 | 0.51 | NA | NA | NA | 0.52 | 0.0 | 0.07 | 0.01 | 0.6 | 0.5 | 0.61 | 0.67 | 0.64 | 0.52 | 0.61 | 0.66 | 0.55 | 0.6 | 0.53 | 0.5 | 0.51 |
| RSquared | NA | 0.0 | 0.0 | 0.13 | 0.16 | NA | NA | NA | 0.21 | 0.0 | 0.02 | 0.0 | 0.83 | 0.88 | 0.91 | 0.92 | 0.05 | 0.9 | 0.86 | 0.79 | 0.78 | 0.69 | 0.82 | 0.91 | 0.87 |
| Sortino Ratio | NA | 0.96 | 0.49 | 1.18 | 1.19 | NA | NA | NA | 1.14 | 1.02 | -0.14 | 0.7 | 2.2 | 2.78 | -0.01 | 1.83 | 10.93 | -1.62 | 1.21 | 2.01 | 1.11 | 1.94 | 4.02 | -0.93 | 0.47 |
| Yield(%) | N/A | 4.5 | 5.3 | 6.2 | 9.1 | 11.6 | 11.6 | 9.5 | 4.7 | 4.5 | 6.0 | 5.3 | 5.8 | 4.2 | 2.7 | 2.3 | 4.0 | 4.3 | 6.5 | 6.5 | 5.1 | 5.8 | 2.9 | 4.1 | 5.2 |
| Dividend Growth(%) | N/A | -28.5 | 46.8 | 170.9 | N/A | N/A | N/A | N/A | N/A | -27.3 | 19.3 | -1.0 | 53.8 | 57.0 | 36.1 | 32.0 | -32.1 | -25.3 | 10.6 | 38.7 | -0.7 | 143.9 | -32.8 | -15.9 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Optimal
strategy. Asset weights of available asset classes Emerging Market Equity, Real Estate, International Equity, Inflation Protected Bond, US Equity, General Bond
in Louisiana Public Employees Deferred Compensation Plan are derived based on long term asset trends and their correlations.
For each major asset class, one or two funds are selected:
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the fixed income asset should be at least 40%.
2. Asset weights:
3. Fund selection: one or two top performing funds among 22 available funds in the plan are chosen for each asset.
They are usually equally weighted within the asset by default. Volatile funds or ETFs with small trading volume are ignored.
4. Rebalance frequency: the portfolio is reviewed by the strategy program monthly
and the above steps are repeated. Asset weights are rebalanced back to target allocation if it is necessary.
5.
Simulation: Performance data before this portfolio went public are obtained from historical simulation. They are hypothetical.
- Emerging Market Equity
- Real Estate
- International Equity
- Inflation Protected Bond
- US Equity
- General Bond
- 10.5%
- 7.3%
- 17.2%
- 15.0%
- 24.9%
- 25.0%
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