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IIT GTAA 40 Portfolio

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 May-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 40 Benchmark Excess
Average Return
(% per year)
6.613 5.505 1.108
Standard Deviation
(% per year)
5.224 5.367 1.180
Sharpe Ratio 0.955 0.739 0.882
Sortino Ratio 1.585 1.122 1.571
Maximum Drawdown
(%)
14.339 18.472 1.403
Value at Risk
(% per year at 5% probability)
2.033 3.309 0.899
Probability of Capital Loss
(in any year, %)
10.474 15.221 18.889
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.110    t =   3.720
Beta (slope)    0.950    t = 51.723
Standard Error    0.333    
Information Ratio    1.145    
R-squared (adjusted)    0.951    
 

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-Dec) 9.728 9.125 0.603
2014(Jan-Dec) 14.751 13.142 1.609
2015(Jan-Dec) 5.708 5.497 0.211
2016(Jan-Dec) 7.200 5.989 1.211
2017(Jan-May) 2.007 1.997 0.009
 
Cumulative Return Chart
 
Excess Returns Chart