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IIT GTAA 30 Portfolio

IIT Global Tactical Asset Allocation 30 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 30 Portfolio (IIT GTAA 30) is measured against a benchmark of 30% international equity (allocated regionally according to market capitalization) and 70% long-term bonds. The objective of the allocation strategy is to outperform the benchmark on average by 70 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 25% and 35% of portfolio value. Turnover is controlled so as not to exceed 5% 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 Jul-06 through Apr-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 30 Benchmark Excess
Average Return
(% per year)
6.350 5.552 0.798
Standard Deviation
(% per year)
4.427 4.354 0.983
Sharpe Ratio 1.071 0.918 0.773
Sortino Ratio 1.769 1.434 1.432
Maximum Drawdown
(%)
11.427 12.707 1.377
Value at Risk
(% per year at 5% probability)
1.008 1.649 0.856
Probability of Capital Loss
(in any year, %)
7.839 10.294 21.976
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.067    t =   2.533
Beta (slope)    0.991    t = 49.717
Standard Error    0.285    
Information Ratio    0.820    
R-squared (adjusted)    0.950    
 

Comparative Returns

 
  IIT GTAA 30 Benchmark Excess
2006(Jul-Dec) 5.152 5.163 -0.011
2007(Jan-Dec) 3.361 1.942 1.419
2008(Jan-Dec) -8.090 -8.748 0.658
2009(Jan-Dec) 15.828 11.926 3.901
2010(Jan-Dec) 8.320 8.596 -0.276
2011(Jan-Dec) 2.139 3.262 -1.122
2012(Jan-Dec) 9.973 9.588 0.385
2013(Jan-Dec) 7.718 6.934 0.784
2014(Jan-Dec) 13.936 11.925 2.011
2015(Jan-Dec) 4.389 4.340 0.049
2016(Jan-Dec) 6.440 5.121 1.319
2017(Jan-Apr) 1.486 1.652 -0.166
 
Cumulative Return Chart
 
Excess Returns Chart