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401k Investor
University of California Retirement Savings Program
University of California Retirement Savings Program Asset Allocation Composite Moderate
University of California Retirement Savings Program Asset Allocation Composite Moderate
live (public) 0.27% December 31
Delayed
Holdings (As of 11/29/2019)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | VBTLX (Vanguard Total Bond Market Index Fund Admiral Shares) | 0.09% | UC Bond | 40.30% |
| US Equity | VFTSX (VANGUARD FTSE SOCIAL INDEX FUND INVESTOR SHARES) | 0.56% | Vanguard FTSE Social Index Inv | 13.24% |
| US Equity | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.51% | UC Equity | 15.04% |
| Real Estate | VGSLX (VANGUARD REIT INDEX FUND ADMIRAL SHARES) | 0.19% | Vanguard REIT Index Adm | 15.48% |
| Emerging Market Equity | DFEMX (EMERGING MARKETS PORTFOLIO EMERGING MARKETS PORTFOLIO - INSTITUTIONAL CLASS) | 0.34% | Dimensional Emerging Markets | 3.10% |
| International Equity | EFA (iShares MSCI EAFE ETF) | 0.37% | UC International Equity Index | 12.84% |
* Day change on 09/30/2019.
Previous
Beta
Performance (As of 12/31/2019)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| University of California Retirement Savings Program Asset Allocation Composite Moderate | 15.2% | 7.7% | 6.8% | 5.4% | 7.5% | 7.8% |
| 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 |
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.0 | 7.7 | 6.8 | 5.4 | 7.5 | 7.8 | 0.0 | 7.4 | 19.1 | -4.0 | 11.9 | 4.6 | -2.9 | 8.8 | 13.3 | 12.2 | 2.0 | 12.3 | 22.5 | -7.6 | 3.6 | 14.7 | 7.1 | 12.7 | 20.0 | -2.6 | -0.1 |
| Sharpe Ratio | NA | 2.9 | 1.14 | 0.7 | 0.86 | NA | NA | 0.8 | 2.9 | -0.64 | 2.45 | 0.69 | -0.41 | 1.44 | 1.8 | 1.66 | 0.13 | 1.21 | 1.84 | -1.04 | 0.05 | 1.55 | 0.71 | 1.52 | 3.11 | -0.93 | -0.6 |
| Draw Down(%) | NA | 2.6 | 9.8 | 9.8 | 12.0 | NA | NA | 17.7 | 2.6 | 9.8 | 1.8 | 5.0 | 8.4 | 3.9 | 5.9 | 5.5 | 12.0 | 7.5 | 7.5 | 14.0 | 6.4 | 6.6 | 3.9 | 8.0 | 2.3 | 6.7 | 4.2 |
| Standard Deviation(%) | NA | 6.1 | 6.5 | 6.6 | 8.3 | NA | NA | 8.1 | 6.1 | 8.3 | 4.6 | 6.3 | 7.2 | 6.1 | 7.3 | 7.3 | 14.8 | 10.1 | 12.2 | 8.2 | 10.2 | 7.3 | 6.9 | 7.7 | 6.2 | 4.0 | 4.1 |
| Treynor Ratio | NA | 0.4 | 0.16 | 0.11 | 0.14 | NA | NA | 0.19 | 0.4 | -0.11 | 0.22 | 0.12 | -0.08 | 0.18 | 0.21 | 0.22 | 0.03 | 0.27 | 0.64 | -0.56 | 0.01 | 0.17 | 0.08 | 0.2 | 0.71 | -0.28 | -0.15 |
| Alpha | NA | 0.02 | 0.01 | 0.0 | 0.01 | NA | NA | 0.02 | 0.02 | -0.01 | 0.01 | 0.0 | -0.01 | 0.01 | -0.02 | 0.02 | 0.01 | 0.02 | 0.05 | -0.01 | 0.0 | 0.02 | 0.02 | 0.03 | 0.04 | 0.0 | 0.0 |
| Beta | NA | 0.44 | 0.46 | 0.43 | 0.5 | NA | NA | 0.33 | 0.44 | 0.47 | 0.52 | 0.37 | 0.39 | 0.49 | 0.63 | 0.54 | 0.62 | 0.46 | 0.35 | 0.15 | 0.6 | 0.67 | 0.6 | 0.58 | 0.27 | 0.13 | 0.16 |
| RSquared | NA | 0.82 | 0.83 | 0.75 | 0.81 | NA | NA | 0.6 | 0.82 | 0.91 | 0.57 | 0.57 | 0.71 | 0.84 | 0.9 | 0.9 | 0.95 | 0.67 | 0.62 | 0.57 | 0.9 | 0.84 | 0.82 | 0.71 | 0.55 | 0.73 | 0.69 |
| Sortino Ratio | NA | 4.34 | 1.56 | 0.95 | 1.19 | NA | NA | 1.13 | 4.34 | -0.81 | 3.63 | 0.92 | -0.55 | 2.07 | 2.57 | 2.55 | 0.18 | 1.73 | 2.78 | -1.41 | 0.07 | 2.36 | 1.04 | 2.15 | 5.11 | -1.26 | -0.83 |
| Yield(%) | N/A | 2.7 | 2.7 | 2.5 | 3.7 | 4.8 | 5.0 | 2.55 | 2.7 | 2.3 | 2.5 | 2.6 | 1.9 | 2.7 | 2.3 | 3.3 | 3.1 | 3.2 | 3.4 | 2.3 | 2.9 | 3.5 | 3.3 | 3.1 | 2.0 | 1.0 | 0.2 |
| Dividend Growth(%) | N/A | 9.3 | 15.9 | 15.4 | N/A | N/A | N/A | N/A | 9.0 | 6.5 | -2.0 | 32.7 | -22.9 | 34.3 | -22.8 | 10.6 | 7.4 | 15.5 | 36.7 | -17.0 | -5.9 | 14.6 | 18.6 | 83.2 | 91.0 | 384.5 | 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 University of California Retirement Savings Program.
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