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ICMA RETIREMENT CORPORATION RETIREMENT SAVINGS PLAN
ICMA RETIREMENT CORPORATION RETIREMENT SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate
ICMA RETIREMENT CORPORATION RETIREMENT SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate
live (public) 0.00% 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 | WACPX (WESTERN ASSET CORE PLUS BOND FUND CLASS I) | 0.17% | Vantagepoint Western Asset Core Plus Bond | 24.30% |
| US Equity | DDFIX (INVESCO DIVERSIFIED DIVIDEND FUND CLASS R5) | 0.53% | Vantagepoint Invesco Diversified Dividend Fund | 17.09% |
| US Equity | PRBLX (PARNASSUS CORE EQUITY FUND INVESTOR SHARES) | 0.53% | Parnassus Core Equity Fund | 0.57% |
| US Equity | MIGYX (Oppenheimer Main Street Fund Class Y) | 0.70% | Oppenheimer Main Street Fund | 15.87% |
| Real Estate | FRLCX (NUVEEN REAL ESTATE SECURITIES FUND CLASS C) | 1.22% | Nuveen Real Estate Securities Fund | 8.14% |
| International Equity | VPOEX (VANTAGEPOINT OVERSEAS EQUITY INDEX FUND II CLASS) | 0.0% | Vantagepoint Overseas Equity Index Fund | 9.71% |
| International Equity | VPINX (VANTAGEPOINT INTERNATIONAL FUND INVESTOR SHARES) | 0.0% | Vantagepoint International Fund | 9.67% |
| Inflation Protected Bond | VPTSX (VANTAGEPOINT INFLATION FOCUSED FUND INVESTOR SHARES) | 0.0% | Vantagepoint Inflation Focused Fund | 14.64% |
| CASH | CASH (CASH) | 0.0% | Stable Value/Cash Management | 0.01% |
* 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** |
|---|---|---|---|---|---|---|
| ICMA RETIREMENT CORPORATION RETIREMENT SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate | 4.5% | 6.2% | 4.2% | 7.7% | 5.6% | 6.5% |
| VFINX (Vanguard (S&P 500) Index) | 7.1% | 13.7% | 19.4% | 16.6% | 13.6% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.5% | 10.5% | 12.0% | 8.8% | 8.5% | 9.4% |
* 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 | 6.2 | 4.2 | 7.7 | 5.6 | 6.5 | 6.6 | 0.0 | 5.9 | 3.0 | -0.6 | 6.0 | 12.3 | 11.3 | 1.8 | 13.8 | 23.5 | -22.4 | 7.8 | 13.9 | 8.9 | 13.8 | 18.7 | -5.7 | -3.1 |
| Sharpe Ratio | NA | 0.32 | 0.36 | 0.83 | 0.36 | NA | NA | NA | 0.45 | 0.35 | -0.07 | 0.99 | 1.79 | 1.49 | 0.12 | 1.18 | 1.28 | -1.05 | 0.49 | 1.38 | 1.08 | 1.8 | 2.5 | -0.75 | -0.64 |
| Draw Down(%) | NA | 8.1 | 11.6 | 11.6 | 36.8 | NA | NA | NA | 36.8 | 7.8 | 8.1 | 4.5 | 7.0 | 6.0 | 14.1 | 7.9 | 17.5 | 32.9 | 6.7 | 7.9 | 4.1 | 7.3 | 6.3 | 13.1 | 11.6 |
| Standard Deviation(%) | NA | 8.0 | 7.6 | 7.5 | 12.5 | NA | NA | NA | 11.0 | 8.0 | 8.7 | 6.1 | 6.9 | 7.6 | 15.1 | 11.6 | 18.3 | 22.1 | 9.8 | 7.6 | 6.2 | 7.1 | 7.2 | 9.1 | 8.5 |
| Treynor Ratio | NA | 0.05 | 0.05 | 0.12 | 0.08 | NA | NA | NA | 0.1 | 0.05 | -0.01 | 0.12 | 0.22 | 0.2 | 0.03 | 0.22 | 0.36 | -0.45 | 0.08 | 0.16 | 0.13 | 0.25 | 0.51 | -0.22 | -0.18 |
| Alpha | NA | -0.01 | 0.0 | 0.0 | 0.01 | NA | NA | NA | 0.01 | -0.01 | 0.0 | 0.0 | -0.01 | 0.01 | 0.0 | 0.02 | 0.03 | -0.01 | 0.02 | 0.01 | 0.02 | 0.03 | 0.03 | 0.0 | -0.01 |
| Beta | NA | 0.56 | 0.53 | 0.54 | 0.57 | NA | NA | NA | 0.51 | 0.56 | 0.52 | 0.5 | 0.56 | 0.56 | 0.62 | 0.62 | 0.65 | 0.52 | 0.58 | 0.68 | 0.53 | 0.52 | 0.35 | 0.31 | 0.3 |
| RSquared | NA | 0.85 | 0.85 | 0.85 | 0.91 | NA | NA | NA | 0.83 | 0.85 | 0.85 | 0.86 | 0.82 | 0.89 | 0.92 | 0.93 | 0.93 | 0.94 | 0.9 | 0.79 | 0.77 | 0.65 | 0.71 | 0.77 | 0.59 |
| Sortino Ratio | NA | 0.43 | 0.49 | 1.17 | 0.5 | NA | NA | NA | 0.62 | 0.47 | -0.1 | 1.41 | 2.56 | 2.25 | 0.15 | 1.7 | 1.87 | -1.39 | 0.66 | 2.11 | 1.59 | 2.56 | 3.81 | -1.04 | -0.81 |
| Yield(%) | N/A | 3.3 | 4.4 | 5.2 | 4.8 | 6.6 | 6.6 | 4.8 | 3.63 | 2.9 | 4.4 | 5.0 | 5.5 | 3.7 | 2.8 | 2.5 | 2.7 | 2.8 | 5.7 | 6.3 | 4.4 | 4.3 | 1.9 | 1.2 | 1.8 |
| Dividend Growth(%) | N/A | -23.1 | 31.4 | 90.5 | N/A | N/A | N/A | N/A | N/A | -34.4 | -6.6 | 0.6 | 67.5 | 32.8 | 30.8 | 12.6 | -23.8 | -47.5 | 0.8 | 58.8 | 16.0 | 162.2 | 49.8 | -33.4 | 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 ICMA RETIREMENT CORPORATION RETIREMENT SAVINGS 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 40 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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