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403(B) THRIFT PLAN FOR STUDENT CONSERVATION ASSOCIATION INC.
403(B) THRIFT PLAN FOR STUDENT CONSERVATION ASSOCIATION INC. Strategic Asset Allocation - Optimal Moderate
403(B) THRIFT PLAN FOR STUDENT CONSERVATION ASSOCIATION INC. Strategic Asset Allocation - Optimal Moderate
live (public) 0.43% 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 | CSIBX (CALVERT BOND PORTFOLIO CLASS A) | 0.18% | CSIBX | 24.64% |
| US Equity | CSIEX (CALVERT EQUITY PORTFOLIO CLASS A) | 0.86% | CSIEX | 12.57% |
| US Equity | ALARX (ALGER CAPITAL APPRECIATION INSTITUTIONAL FUND ALGER CAPITAL APPRECIATION INSTITUTIONAL FUND CLASS I) | 1.16% | ALARX | 14.45% |
| Real Estate | IGLAX (VOYA GLOBAL REAL ESTATE FUND CLASS A) | IGLAX | 6.33% | |
| Emerging Market Equity | ODMAX (Oppenheimer Developing Markets A) | 0.93% | ODMAX | 10.56% |
| International Equity | AEPGX (EUROPACIFIC GROWTH FUND CLASS A) | 0.72% | AEPGX | 8.37% |
| International Equity | DFALX (LARGE CAP INTERNATIONAL PORTFOLIO LARGE CAP INTERNATIONAL PORTFOLIO - INSTITUTIONAL CLASS) | 0.15% | MKRAX | 8.95% |
| Inflation Protected Bond | PRRIX (REAL RETURN FUND INSTITUTIONAL) | 0.09% | PRRIX | 14.13% |
* 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** |
|---|---|---|---|---|---|---|
| 403(B) THRIFT PLAN FOR STUDENT CONSERVATION ASSOCIATION INC. Strategic Asset Allocation - Optimal Moderate | -3.4% | 4.1% | 2.6% | 2.7% | 5.5% | 5.7% |
| VFINX (Vanguard (S&P 500) Index) | 9.1% | 24.3% | 21.1% | 13.3% | 15.3% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.0% | 16.4% | 14.1% | 7.3% | 9.6% | 9.3% |
* 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(%) | 2.2 | 4.1 | 2.6 | 2.7 | 5.5 | 5.7 | 0.0 | 7.1 | 7.9 | 16.5 | -5.7 | 7.8 | 4.1 | -2.1 | 2.7 | 11.4 | 14.0 | -3.5 | 13.0 | 31.6 | -26.4 | 13.9 | 13.3 | 9.9 | 16.5 | 30.3 | -0.2 | -0.2 |
| Sharpe Ratio | NA | 0.74 | 0.43 | 0.55 | 0.63 | NA | NA | 0.58 | 0.42 | 2.59 | -0.82 | 1.22 | 0.47 | -0.26 | 0.4 | 1.49 | 1.83 | -0.25 | 1.17 | 1.78 | -1.24 | 1.06 | 1.25 | 1.34 | 2.08 | 4.49 | -0.15 | -0.28 |
| Draw Down(%) | NA | 20.1 | 20.1 | 20.1 | 20.1 | NA | NA | 41.0 | 20.1 | 2.4 | 11.7 | 4.8 | 6.6 | 9.4 | 6.2 | 7.9 | 6.5 | 15.3 | 8.4 | 19.4 | 37.9 | 7.7 | 10.1 | 4.1 | 7.2 | 5.0 | 13.5 | 16.0 |
| Standard Deviation(%) | NA | 15.0 | 10.6 | 9.5 | 9.4 | NA | NA | 10.7 | 18.0 | 5.8 | 8.6 | 5.9 | 8.3 | 8.2 | 6.7 | 7.6 | 7.6 | 14.0 | 11.0 | 17.7 | 22.0 | 10.3 | 8.0 | 5.7 | 7.5 | 6.6 | 8.6 | 9.0 |
| Treynor Ratio | NA | 0.26 | 0.11 | 0.12 | 0.12 | NA | NA | 0.13 | 0.18 | 0.38 | -0.15 | 0.14 | 0.07 | -0.04 | 0.05 | 0.18 | 0.26 | -0.06 | 0.23 | 0.51 | -0.54 | 0.19 | 0.15 | 0.18 | 0.31 | 0.99 | -0.05 | -0.07 |
| Alpha | NA | 0.01 | 0.0 | 0.0 | 0.0 | NA | NA | 0.01 | 0.02 | 0.02 | -0.02 | -0.01 | -0.01 | -0.01 | -0.01 | -0.02 | 0.02 | -0.02 | 0.02 | 0.05 | -0.03 | 0.04 | 0.01 | 0.03 | 0.04 | 0.07 | 0.02 | 0.01 |
| Beta | NA | 0.42 | 0.43 | 0.45 | 0.49 | NA | NA | 0.48 | 0.42 | 0.39 | 0.47 | 0.53 | 0.58 | 0.48 | 0.54 | 0.62 | 0.54 | 0.57 | 0.57 | 0.62 | 0.51 | 0.58 | 0.65 | 0.42 | 0.5 | 0.3 | 0.29 | 0.37 |
| RSquared | NA | 0.87 | 0.83 | 0.82 | 0.82 | NA | NA | 0.8 | 0.9 | 0.71 | 0.88 | 0.37 | 0.85 | 0.84 | 0.84 | 0.82 | 0.82 | 0.9 | 0.86 | 0.92 | 0.9 | 0.82 | 0.65 | 0.57 | 0.55 | 0.59 | 0.77 | 0.76 |
| Sortino Ratio | NA | 0.94 | 0.56 | 0.72 | 0.84 | NA | NA | 0.79 | 0.54 | 3.83 | -1.04 | 1.55 | 0.65 | -0.34 | 0.54 | 2.12 | 2.84 | -0.33 | 1.69 | 2.63 | -1.61 | 1.46 | 1.84 | 2.0 | 3.0 | 7.32 | -0.21 | -0.37 |
| Yield(%) | N/A | 2.0 | 2.8 | 3.2 | 4.1 | 5.7 | 7.7 | 4.01 | 0.5 | 2.8 | 5.2 | 0.4 | 1.7 | 4.6 | 3.0 | 3.7 | 3.0 | 3.3 | 3.0 | 3.2 | 6.6 | 7.3 | 5.8 | 4.6 | 4.0 | 4.8 | 2.3 | 6.1 |
| Dividend Growth(%) | N/A | -60.9 | 4.4 | 18.9 | N/A | N/A | N/A | N/A | -76.7 | -50.5 | 1410.4 | -77.3 | -63.5 | 60.4 | -12.5 | 40.3 | -10.2 | 21.8 | 23.9 | -64.1 | 3.1 | 40.6 | 41.2 | 33.6 | 7.4 | 110.1 | -61.9 | 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
in 403(B) THRIFT PLAN FOR STUDENT CONSERVATION ASSOCIATION INC. 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.
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