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IIT GTAA 25 Portfolio

IIT Global Tactical Asset Allocation 25 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 25 Portfolio (IIT GTAA 25) is measured against a benchmark of 25% international equity (allocated regionally according to market capitalization) and 75% long-term bonds. The objective of the allocation strategy is to outperform the benchmark on average by 60 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 20% and 30% 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 Feb-06 through Nov-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 25 Benchmark Excess
Average Return
(% per year)
5.543 4.842 0.701
Standard Deviation
(% per year)
3.804 3.781 0.811
Sharpe Ratio 1.051 0.884 0.826
Sortino Ratio 1.754 1.393 1.514
Maximum Drawdown
(%)
8.018 9.699 1.084
Value at Risk
(% per year at 5% probability)
0.775 1.407 0.663
Probability of Capital Loss
(in any year, %)
7.493 10.169 20.440
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.063    t =   2.989
Beta (slope)    0.983    t = 54.375
Standard Error    0.234    
Information Ratio    0.926    
R-squared (adjusted)    0.954    
 

Comparative Returns

 
  IIT GTAA 25 Benchmark Excess
2006(Feb-Dec) 3.414 2.815 0.599
2007(Jan-Dec) 3.349 2.196 1.153
2008(Jan-Dec) -5.424 -6.374 0.950
2009(Jan-Dec) 14.014 10.888 3.126
2010(Jan-Dec) 7.796 7.795 0.001
2011(Jan-Dec) 2.495 3.541 -1.047
2012(Jan-Dec) 9.451 9.214 0.237
2013(Jan-Dec) 6.674 5.852 0.822
2014(Jan-Dec) 13.010 11.320 1.690
2015(Jan-Dec) 3.972 3.757 0.215
2016(Jan-Dec) 5.808 4.684 1.124
2017(Jan-Nov) 2.442 2.812 -0.370
 
Cumulative Return Chart
 
Excess Returns Chart