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IIT GTAA 20 Portfolio

IIT Global Tactical Asset Allocation 20 Portfolio

Infanger Investment Technology advises a family of global asset allocation portfolios for institutional and private investors. The portfolios are invested tactically in international equity in four regions, U.S. and Canada, Europe, Japan, and rest of Asia, as well as bonds, classified into long-term, short-term, and cash. The IIT Global Tactical Asset Allocation 20 Portfolio (IIT GTAA 20) is measured against a benchmark of 20% international equity (allocated regionally according to market capitalization) and 80% long-term bonds. The objective of the allocation strategy is to outperform the benchmark on average by 40 basis points annually while maintaining similar risk characteristics. Portfolio allocations are rebalanced between the different equity and bond classes, where the total equity allocation is maintained between 15% and 25% of portfolio value. Turnover is controlled so as not to exceed 3% per month. The portfolio is managed quantitatively, using Infanger's proprietary methods for performance prediction and for risk management.

The measures of gross fund performance presented below are based on recommended allocations and asset-class returns from fund inception in Dec-05 through Mar-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 20 Benchmark Excess
Average Return
(% per year)
5.489 4.800 0.689
Standard Deviation
(% per year)
3.381 3.422 0.659
Sharpe Ratio 1.128 0.928 0.997
Sortino Ratio 1.925 1.479 1.852
Maximum Drawdown
(%)
4.460 6.604 0.828
Value at Risk
(% per year at 5% probability)
0.147 0.870 0.426
Probability of Capital Loss
(in any year, %)
5.469 8.226 15.938
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.067    t =   3.832
Beta (slope)    0.970    t = 59.059
Standard Error    0.188    
Information Ratio    1.227    
R-squared (adjusted)    0.963    
 

Comparative Returns

 
  IIT GTAA 20 Benchmark Excess
2005(Dec-Dec) 1.144 0.914 0.229
2006(Jan-Dec) 3.210 2.592 0.619
2007(Jan-Dec) 3.281 2.448 0.833
2008(Jan-Dec) -2.413 -3.953 1.541
2009(Jan-Dec) 12.073 9.851 2.222
2010(Jan-Dec) 7.110 6.997 0.114
2011(Jan-Dec) 3.031 3.817 -0.787
2012(Jan-Dec) 9.002 8.841 0.161
2013(Jan-Dec) 5.487 4.779 0.708
2014(Jan-Dec) 11.945 10.716 1.228
2015(Jan-Dec) 3.356 3.170 0.186
2016(Jan-Dec) 5.048 4.245 0.803
2017(Jan-Mar) 0.756 0.777 -0.020
 
Cumulative Return Chart
 
Excess Returns Chart