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The University of California Retirement Savings Programs
The University of California Retirement Savings Programs Asset Allocation Composite Moderate
The University of California Retirement Savings Programs Asset Allocation Composite Moderate
live (public) 0.41% May 14
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
---|---|---|---|---|
General Bond | VSGBX (VANGUARD SHORT-TERM FEDERAL FUND INVESTOR SHARES) | 0.10% | UC ICC Fund (Insurance Company Contracts) | 0.92% |
General Bond | VBMFX (VANGUARD TOTAL BOND MARKET INDEX FUND INVESTOR SHARES) | 0.10% | UC Bond Fund | 1.66% |
General Bond | VFISX (VANGUARD SHORT-TERM TREASURY FUND INVESTOR SHARES) | 0.20% | UC Savings Fund | 37.06% |
US Equity | NAESX (VANGUARD SMALL-CAP INDEX FUND INVESTOR SHARES) | 0.39% | Vanguard Small Cap Index Fund | 10.84% |
US Equity | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.11% | UC Equity Fund | 11.13% |
CASH | CASH (CASH) | 0.0% | Dreyfus Treasury Prime Cash Management Fund | 0.05% |
Real Estate | VGSIX (VANGUARD REIT INDEX FUND INVESTOR SHARES) | 0.77% | Vanguard REIT Index Fund | 9.43% |
Emerging Market Equity | DFEMX (EMERGING MARKETS PORTFOLIO EMERGING MARKETS PORTFOLIO - INSTITUTIONAL CLASS) | 0.32% | Dimensional Emerging Markets Portfolio | 9.01% |
International Equity | EFA (iShares MSCI EAFE ETF) | 0.22% | JUC International Equity Index Fund | 19.90% |
* Day change on 03/28/2024.
Beta
Performance (As of 05/14/2024)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
The University of California Retirement Savings Programs Asset Allocation Composite Moderate | 3.4% | 11.5% | 2.0% | 5.7% | 5.2% | 7.1% |
VFINX (Vanguard (S&P 500) Index) | 10.5% | 29.0% | 10.4% | 15.1% | 12.7% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 16.9% | 4.2% | 8.6% | 7.8% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.9 | 3.4 | 11.5 | 2.0 | 5.7 | 5.2 | 7.1 | 7.7 | 8.0 | 11.7 | -13.6 | 12.9 | 7.3 | 18.5 | -4.0 | 12.2 | 6.4 | -3.6 | 8.9 | 12.5 | 12.1 | 2.3 | 11.0 | 15.1 | 2.5 | 4.0 | 15.6 | 7.3 | 14.1 | 21.2 | 7.7 | 7.7 |
Sharpe Ratio | NA | 0.3 | 1.08 | -0.04 | 0.54 | 0.58 | NA | NA | 0.89 | 0.96 | -1.56 | 1.7 | 1.06 | 2.83 | -0.65 | 2.53 | 0.96 | -0.5 | 1.45 | 1.67 | 1.65 | 0.15 | 1.07 | 1.6 | 0.31 | 0.1 | 1.67 | 0.74 | 1.7 | 3.23 | 2.42 | 1.18 |
Draw Down(%) | NA | 3.6 | 6.9 | 14.3 | 14.3 | 14.3 | NA | NA | 14.3 | 6.9 | 14.3 | 3.4 | 9.6 | 2.6 | 9.8 | 1.9 | 4.9 | 8.5 | 4.0 | 6.3 | 5.5 | 12.1 | 7.5 | 4.6 | 5.2 | 6.5 | 6.6 | 4.1 | 7.7 | 2.8 | 1.3 | 3.4 |
Standard Deviation(%) | NA | 6.9 | 7.1 | 8.1 | 7.7 | 7.2 | NA | NA | 7.8 | 7.8 | 9.6 | 7.6 | 6.7 | 6.1 | 8.3 | 4.6 | 6.4 | 7.2 | 6.1 | 7.4 | 7.3 | 14.7 | 10.1 | 9.4 | 5.1 | 10.4 | 7.4 | 7.0 | 7.8 | 6.4 | 2.7 | 4.6 |
Treynor Ratio | NA | 0.04 | 0.14 | -0.01 | 0.2 | 0.16 | NA | NA | 0.33 | 0.14 | -0.5 | 0.24 | 1.83 | 0.39 | -0.12 | 0.23 | 0.22 | -0.1 | 0.18 | 0.2 | 0.22 | 0.04 | 0.31 | 1.68 | -0.86 | 0.02 | 0.18 | 0.09 | 0.23 | 1.35 | -1.38 | -1.73 |
Alpha | NA | -0.02 | -0.02 | -0.01 | 0.01 | 0.01 | NA | NA | 0.02 | -0.01 | -0.04 | 0.0 | 0.02 | 0.02 | -0.01 | 0.01 | 0.01 | -0.01 | 0.01 | -0.02 | 0.02 | 0.01 | 0.02 | 0.05 | 0.0 | 0.0 | 0.02 | 0.02 | 0.03 | 0.06 | 0.02 | 0.02 |
Beta | NA | 0.51 | 0.55 | 0.38 | 0.21 | 0.26 | NA | NA | 0.21 | 0.54 | 0.3 | 0.54 | 0.04 | 0.44 | 0.46 | 0.5 | 0.28 | 0.35 | 0.5 | 0.63 | 0.54 | 0.61 | 0.35 | 0.09 | -0.02 | 0.62 | 0.67 | 0.61 | 0.58 | 0.15 | -0.05 | -0.03 |
RSquared | NA | 0.73 | 0.79 | 0.64 | 0.33 | 0.42 | NA | NA | 0.28 | 0.84 | 0.56 | 0.85 | 0.04 | 0.82 | 0.91 | 0.54 | 0.33 | 0.56 | 0.85 | 0.88 | 0.9 | 0.95 | 0.39 | 0.07 | 0.02 | 0.9 | 0.84 | 0.79 | 0.69 | 0.17 | 0.21 | 0.02 |
Sortino Ratio | NA | 0.42 | 1.58 | -0.05 | 0.73 | 0.78 | NA | NA | 1.25 | 1.4 | -1.96 | 2.46 | 1.35 | 4.22 | -0.83 | 3.71 | 1.29 | -0.66 | 2.1 | 2.38 | 2.54 | 0.21 | 1.54 | 2.38 | 0.43 | 0.13 | 2.59 | 1.07 | 2.43 | 5.29 | 3.83 | 1.74 |
Yield(%) | N/A | 0.76 | 3.46 | 2.59 | 2.47 | 2.44 | N/A | N/A | 3.19 | 3.24 | 1.94 | 2.25 | 2.09 | 2.64 | 2.38 | 2.45 | 2.78 | 1.64 | 2.83 | 1.82 | 3.25 | 3.09 | 3.16 | 3.79 | 3.75 | 3.55 | 3.45 | 3.5 | 3.31 | 4.28 | 5.09 | 6.37 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
The risk profile of this portfolio is 40%. The total allocation of the fixed income asset should be at least 40%.
The portfolio’s stock (risk asset) allocation can be dynamically reduced when stock or risk asset markets are in a downtrend.
This portfolio belongs to The University of California Retirement Savings Programs