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ARM 401K PLAN
ARM 401K PLAN Strategic Asset Allocation - Optimal Moderate
ARM 401K PLAN Strategic Asset Allocation - Optimal Moderate
live (public) 0.38% August 28
Delayed
Holdings (As of 06/30/2020)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | MWTIX (METROPOLITAN WEST TOTAL RETURN BOND FUND CLASS I) | 0.26% | Metropolitan West Total Return Bond | 38.04% |
| US Equity | DDFRX (INVESCO DIVERSIFIED DIVIDEND FUND CLASS R) | 0.40% | Invesco Diversified Dividend R5 | 2.12% |
| US Equity | TWGIX (GROWTH FUND I CLASS) | 1.10% | American Century Growth Instl | 11.44% |
| US Equity | CLSPX (COLUMBIA MID CAP GROWTH FUND COLUMBIA MID CAP GROWTH FUND CLASS Z) | 1.98% | Columbia Mid Cap Growth Z | 12.43% |
| Real Estate | IGLIX (VOYA GLOBAL REAL ESTATE FUND CLASS I) | ING Global Real Estate I | 7.49% | |
| Emerging Market Equity | GTDYX (INVESCO DEVELOPING MARKETS FUND CLASS Y) | 0.87% | Invesco Developing Markets R5 | 10.48% |
| International Equity | OIGYX (Oppenheimer International Growth Y) | 0.05% | Oppenheimer International Growth Y | 8.94% |
| International Equity | RERGX (EUROPACIFIC GROWTH FUND CLASS R-6) | 0.72% | American Funds EuroPacific Gr R6 | 9.06% |
* Day change on 05/29/2020.
Previous
Beta
Performance (As of 08/28/2020)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| ARM 401K PLAN Strategic Asset Allocation - Optimal Moderate | -8.0% | -1.7% | -0.1% | 1.7% | 5.5% | 4.0% |
| VFINX (Vanguard (S&P 500) Index) | 8.4% | 25.7% | 21.5% | 13.2% | 15.2% | 14.2% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 17.0% | 14.2% | 7.3% | 9.5% | 9.2% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 2.1 | -1.7 | -0.1 | 1.7 | 5.5 | 4.0 | 0.0 | 5.4 | 2.0 | 15.9 | -9.3 | 10.0 | 7.1 | -2.8 | 3.4 | 11.1 | 16.1 | -3.1 | 16.6 | 23.9 | -28.7 | 10.6 | 7.5 | 2.8 | 16.4 | 19.9 | -2.9 | 3.8 |
| Sharpe Ratio | NA | 0.25 | 0.14 | 0.41 | 0.58 | NA | NA | 0.4 | 0.09 | 2.25 | -1.08 | 2.12 | 0.87 | -0.37 | 0.47 | 1.61 | 2.2 | -0.21 | 1.43 | 1.46 | -1.33 | 0.75 | 0.47 | 0.06 | 2.15 | 2.21 | -0.36 | 0.16 |
| Draw Down(%) | NA | 24.5 | 24.5 | 24.5 | 24.5 | NA | NA | 42.7 | 24.5 | 3.5 | 15.2 | 3.3 | 5.4 | 9.6 | 5.7 | 7.3 | 5.9 | 16.2 | 9.2 | 18.6 | 38.5 | 6.0 | 10.0 | 6.1 | 5.8 | 7.2 | 16.7 | 9.3 |
| Standard Deviation(%) | NA | 16.4 | 11.6 | 10.1 | 9.7 | NA | NA | 11.1 | 19.9 | 6.4 | 9.8 | 4.4 | 7.9 | 7.7 | 7.3 | 6.9 | 7.3 | 15.0 | 11.6 | 16.3 | 22.2 | 10.0 | 8.9 | 9.2 | 7.2 | 8.7 | 11.2 | 9.2 |
| Treynor Ratio | NA | 0.09 | 0.03 | 0.09 | 0.11 | NA | NA | 0.09 | 0.04 | 0.33 | -0.21 | 0.2 | 0.13 | -0.06 | 0.07 | 0.2 | 0.3 | -0.05 | 0.27 | 0.42 | -0.58 | 0.13 | 0.05 | 0.01 | 0.28 | 0.41 | -0.1 | 0.04 |
| Alpha | NA | -0.02 | -0.02 | -0.01 | 0.0 | NA | NA | 0.01 | -0.02 | 0.01 | -0.03 | 0.0 | 0.01 | -0.01 | -0.01 | -0.02 | 0.03 | -0.01 | 0.03 | 0.03 | -0.04 | 0.03 | -0.01 | 0.0 | 0.04 | 0.03 | 0.02 | 0.02 |
| Beta | NA | 0.46 | 0.47 | 0.48 | 0.51 | NA | NA | 0.51 | 0.47 | 0.44 | 0.5 | 0.48 | 0.55 | 0.44 | 0.51 | 0.56 | 0.53 | 0.62 | 0.61 | 0.57 | 0.51 | 0.58 | 0.8 | 0.63 | 0.55 | 0.46 | 0.38 | 0.37 |
| RSquared | NA | 0.89 | 0.84 | 0.83 | 0.83 | NA | NA | 0.82 | 0.91 | 0.72 | 0.75 | 0.52 | 0.82 | 0.8 | 0.64 | 0.83 | 0.87 | 0.92 | 0.91 | 0.91 | 0.9 | 0.86 | 0.8 | 0.5 | 0.73 | 0.83 | 0.79 | 0.76 |
| Sortino Ratio | NA | 0.31 | 0.17 | 0.52 | 0.76 | NA | NA | 0.54 | 0.11 | 3.27 | -1.33 | 3.04 | 1.21 | -0.5 | 0.61 | 2.26 | 3.44 | -0.27 | 2.06 | 2.13 | -1.71 | 1.03 | 0.67 | 0.08 | 3.23 | 3.44 | -0.5 | 0.22 |
| Yield(%) | N/A | 1.1 | 2.5 | 3.3 | 5.0 | 4.9 | 6.0 | 3.47 | 0.4 | 1.7 | 5.3 | 0.4 | 2.6 | 5.0 | 5.5 | 5.8 | 4.3 | 3.8 | 3.1 | 2.7 | 3.3 | 5.2 | 5.7 | 2.9 | 6.2 | 0.4 | 0.3 | 1.2 |
| Dividend Growth(%) | N/A | -79.4 | -31.0 | -13.7 | N/A | N/A | N/A | N/A | -69.7 | -71.7 | 1253.6 | -82.1 | -49.5 | -5.5 | 5.0 | 55.5 | 11.3 | 38.7 | 46.7 | -42.3 | -29.4 | -1.9 | 102.5 | -45.8 | 1753.6 | 16.4 | -72.1 | 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
in ARM 401K 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 25 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.
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