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-13.
Past performance is no guarantee of future performance.
||IIT GTAA 30||Benchmark||Excess|
(% per year)
(% per year)
|Value at Risk
(% per year at 5% probability)
|Probability of Capital Loss
(in any year, %)
Regression of Portfolio Return on Benchmark Return
|Alpha (intercept, in % per period)||0.070||t = 1.944|
|Beta (slope)||0.983||t = 36.333|
|IIT GTAA 30||Benchmark||Excess|