IIT Global Tactical Asset Allocation 40 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 40 Portfolio (IIT GTAA 40) is measured against a benchmark of 40% international equity (allocated regionally according to market capitalization) and 60% long-term bonds. The objective of the allocation strategy is to outperform the benchmark on average by 100 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 30% and 50% 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 Dec-05 through Apr-13.
Past performance is no guarantee of future performance.
Performance Measures
| |
IIT GTAA 40 | Benchmark | Excess |
| Average Return (% per year) |
5.920 | 4.569 | 1.351 |
| Standard Deviation (% per year) |
5.365 | 5.675 | 1.343 |
| Sharpe Ratio | 1.104 | 0.805 | 1.006 |
| Maximum Drawdown (%) |
-14.339 | -18.472 | -1.403 |
| Value at Risk (% per year at 5% probability) |
-2.719 | -4.444 | -0.922 |
| Probability of Capital Loss (in any year, %) |
13.029 | 20.073 | 17.004 |
Regression of Portfolio Return on Benchmark Return
| Simple Correlation | 0.970 | |
| Alpha (intercept, in % per period) | 0.136 | t = 3.399 |
| Beta (slope) | 0.922 | t = 37.523 |
| Standard Error | 0.367 | |
| Information Ratio | 1.285 | |
| R-squared (adjusted) | 0.941 |
Comparative Returns
| IIT GTAA 40 | Benchmark | Excess | |
| 2005(Dec-Dec) | 1.522 | 1.137 | 0.385 |
| 2006(Jan-Dec) | 4.860 | 3.950 | 0.910 |
| 2007(Jan-Dec) | 2.947 | 1.428 | 1.519 |
| 2008(Jan-Dec) | -10.272 | -13.355 | 3.084 |
| 2009(Jan-Dec) | 17.860 | 14.006 | 3.853 |
| 2010(Jan-Dec) | 10.573 | 10.201 | 0.373 |
| 2011(Jan-Dec) | 1.272 | 2.693 | -1.421 |
| 2012(Jan-Dec) | 10.554 | 10.335 | 0.219 |
| 2013(Jan-Apr) | 6.776 | 5.904 | 0.872 |
