Downside Protected Portfolios
IIT GTAA 40 Portfolio

IIT Global Tactical Asset Allocation 40 DR 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 five regions, U.S. and Canada, Europe, Japan, rest of Asia, and emerging markets, as well as bonds, classified into long-term, short-term, and cash. The IIT Global Tactical Asset Allocation 40 DR Portfolio (IIT GTAA 40 DR) 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 perform similarly to the benchmark on average annually while maintaining significantly smaller downside risk characteristics. Portfolio allocations are rebalanced between the different equity and bond classes, where the total equity allocation is maintained between 0% and 60% of portfolio value. Turnover is controlled so as not to exceed 10% per month. The portfolio is managed quantitatively, using Infanger's proprietary methods for performance prediction and for risk management.

The IIT Global Tactical Asset Allocation 40 DR Portfolio (IIT GTAA 40 DR) is managed in such a way that the maximum drawdown is likely not to exceed 9%. This is achieved by controlling the risk tolerance of the fund. The risk tolerance of the fund is reduced (the extent is determined by a mathematical model) as the drawdown increases and is increased as the drawdown decreases due to positive performance.

The measures of gross fund performance presented below are based on recommended allocations and asset-class returns from fund inception in Sep-09 through Dec-17.

Past performance is no guarantee of future performance.

Performance Measures

IIT GTAA 40 DR Benchmark Excess
Average Return
(% per year)
6.545 8.966 -2.421
Standard Deviation
(% per year)
4.502 5.357 3.220
Sharpe Ratio 1.351 1.568 -0.715
Sortino Ratio 2.695 3.115 -0.826
Maximum Drawdown
5.710 5.830 20.252
Value at Risk
(% per year at 5% probability)
0.945 0.048 7.596
Probability of Capital Loss
(in any year, %)
7.579 5.102 76.270

Regression of Portfolio Return on Benchmark Return

Alpha (intercept, in % per period)    0.047    t =   0.545
Beta (slope)    0.672    t = 13.206
Standard Error    0.783    
Information Ratio    0.209    
R-squared (adjusted)    0.637    

Comparative Returns

  IIT GTAA 40 DR Benchmark Excess
2009(Sep-Dec) 6.530 3.997 2.532
2010(Jan-Dec) 10.025 9.809 0.216
2011(Jan-Dec) -4.418 0.867 -5.285
2012(Jan-Dec) 5.341 14.906 -9.565
2013(Jan-Dec) 9.490 10.612 -1.121
2014(Jan-Dec) 20.073 18.339 1.734
2015(Jan-Dec) 4.121 5.961 -1.840
2016(Jan-Dec) 3.751 6.467 -2.716
2017(Jan-Dec) 1.194 4.641 -3.447
Cumulative Return Chart
Excess Returns Chart