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University of California Retirement Savings Program On Fidelity
University of California Retirement Savings Program On Fidelity Strategic Asset Allocation - Optimal Moderate
University of California Retirement Savings Program On Fidelity Strategic Asset Allocation - Optimal Moderate
live (public) 0.38% December 31
Delayed
Holdings (As of 11/30/2018)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| Inflation Protected Bond | VIPSX (VANGUARD INFLATION-PROTECTED SECURITIES FUND INVESTOR SHARES) | 0.08% | UC TIPS FUND | 14.55% |
| General Bond | CBDIX (CALVERT BOND PORTFOLIO CLASS I) | 0.0% | CALVERT BOND I | 20.14% |
| US Equity | CSVIX (CALVERT SMALL CAP FUND CLASS I) | 0.63% | CALVERT SMALL CAP I | 12.72% |
| US Equity | CEYIX (CALVERT EQUITY PORTFOLIO CLASS I) | 0.11% | CALVERT EQUITY I | 12.61% |
| CASH | CASH (CASH) | 0.0% | DREY TR PRIME CASH I | 0.06% |
| Real Estate | FSRVX (FIDELITY REAL ESTATE INDEX FUND PREMIUM CLASS) | 1.56% | SPTN REAL ES IDX ADV | 7.18% |
| Emerging Market Equity | FPMAX (FIDELITY EMERGING MARKETS INDEX FUND PREMIUM CLASS) | 0.47% | SPTN EM MKTS IDX ADV | 10.80% |
| International Equity | FOSKX (FIDELITY OVERSEAS FUND CLASS K) | 0.74% | FID OVERSEAS K | 8.13% |
| International Equity | CWVIX (CALVERT INTERNATIONAL EQUITY FUND CLASS I) | 0.69% | CALVERT INTL EQ I | 8.92% |
| Long Term Bond | FLBAX (FIDELITY LONG-TERM TREASURY BOND INDEX FUND PREMIUM CLASS) | 0.24% | SPTN LT TR IDX ADV | 4.89% |
* Day change on 09/28/2018.
Previous
Beta
Performance (As of 12/31/2018)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| University of California Retirement Savings Program On Fidelity Strategic Asset Allocation - Optimal Moderate | -0.1% | 1.3% | 5.7% | 4.1% | 6.2% | 5.0% |
| VFINX (Vanguard (S&P 500) Index) | 2.2% | 11.3% | 18.4% | 16.2% | 12.9% | 14.0% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 2.4% | 8.8% | 11.8% | 8.8% | 8.1% | 9.1% |
* 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 |
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.3 | 1.3 | 5.7 | 4.1 | 6.2 | 5.0 | 6.0 | 0.0 | 4.8 | -5.6 | 10.6 | 2.0 | -0.5 | 5.3 | 10.0 | 11.7 | 0.3 | 14.8 | 25.3 | -26.7 | 5.6 | 13.4 | 5.5 | 13.3 | 21.3 | -5.8 | -2.9 |
| Sharpe Ratio | NA | -0.87 | 0.2 | 0.25 | 0.68 | NA | NA | NA | 0.36 | -0.87 | 1.93 | 0.22 | -0.07 | 0.98 | 1.43 | 1.57 | 0.02 | 1.26 | 1.41 | -1.23 | 0.27 | 1.35 | 0.5 | 1.73 | 2.42 | -0.62 | -0.47 |
| Draw Down(%) | NA | 10.8 | 10.8 | 11.8 | 15.7 | NA | NA | NA | 39.4 | 10.8 | 2.9 | 7.2 | 8.9 | 4.9 | 7.8 | 6.0 | 12.9 | 8.6 | 15.7 | 37.8 | 6.0 | 6.7 | 4.5 | 7.2 | 7.1 | 16.1 | 17.0 |
| Standard Deviation(%) | NA | 7.9 | 7.2 | 7.1 | 10.0 | NA | NA | NA | 10.7 | 7.9 | 5.2 | 8.1 | 8.0 | 5.4 | 7.0 | 7.5 | 13.5 | 11.7 | 17.9 | 22.4 | 9.6 | 7.5 | 6.6 | 7.2 | 8.5 | 11.2 | 11.2 |
| Treynor Ratio | NA | -0.16 | 0.03 | 0.04 | 0.12 | NA | NA | NA | 0.07 | -0.16 | 0.19 | 0.03 | -0.01 | 0.13 | 0.19 | 0.22 | 0.0 | 0.24 | 0.4 | -0.52 | 0.04 | 0.15 | 0.06 | 0.23 | 0.45 | -0.17 | -0.11 |
| Alpha | NA | -0.02 | -0.01 | 0.0 | 0.0 | NA | NA | NA | 0.01 | -0.02 | 0.0 | -0.01 | 0.0 | 0.0 | -0.02 | 0.02 | 0.0 | 0.02 | 0.03 | -0.03 | 0.01 | 0.01 | 0.01 | 0.03 | 0.03 | 0.01 | 0.0 |
| Beta | NA | 0.43 | 0.48 | 0.46 | 0.55 | NA | NA | NA | 0.52 | 0.43 | 0.52 | 0.56 | 0.46 | 0.41 | 0.54 | 0.53 | 0.54 | 0.61 | 0.63 | 0.53 | 0.57 | 0.67 | 0.57 | 0.54 | 0.46 | 0.4 | 0.49 |
| RSquared | NA | 0.84 | 0.74 | 0.75 | 0.84 | NA | NA | NA | 0.86 | 0.84 | 0.45 | 0.8 | 0.79 | 0.74 | 0.73 | 0.82 | 0.87 | 0.9 | 0.92 | 0.94 | 0.91 | 0.8 | 0.78 | 0.71 | 0.83 | 0.88 | 0.88 |
| Sortino Ratio | NA | -1.1 | 0.26 | 0.34 | 0.97 | NA | NA | NA | 0.49 | -1.1 | 2.68 | 0.3 | -0.1 | 1.39 | 2.01 | 2.39 | 0.02 | 1.84 | 2.07 | -1.6 | 0.36 | 2.05 | 0.73 | 2.48 | 3.75 | -0.87 | -0.65 |
| Yield(%) | N/A | 2.5 | 1.9 | 2.3 | 3.8 | 4.2 | 4.2 | 3.8 | 2.68 | 2.5 | 0.4 | 2.4 | 1.8 | 3.8 | 3.0 | 3.0 | 1.9 | 2.5 | 2.8 | 2.5 | 4.8 | 4.1 | 3.5 | 3.7 | 2.8 | 1.7 | 1.1 |
| Dividend Growth(%) | N/A | 653.4 | -29.4 | 14.3 | N/A | N/A | N/A | N/A | N/A | 653.4 | -83.6 | 27.4 | -48.9 | 37.9 | 8.9 | 65.1 | -16.8 | 14.9 | -16.9 | -46.0 | 33.3 | 24.6 | 6.9 | 58.6 | 55.5 | 53.7 | 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, US Equity, General Bond, Inflation Protected Bond, Long Term Bond
in University of California Retirement Savings Program On Fidelity 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 85 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
- US Equity
- General Bond
- Inflation Protected Bond
- Long Term Bond
- 10.5%
- 7.3%
- 17.2%
- 24.9%
- 20.0%
- 15.0%
- 5.0%
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