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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 Mar-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 40 DR Benchmark Excess
Average Return
(% per year)
7.223 9.401 -2.178
Standard Deviation
(% per year)
4.660 5.541 3.314
Sharpe Ratio 1.426 1.576 -0.624
Sortino Ratio 2.831 3.098 -0.730
Maximum Drawdown
(%)
5.710 5.830 17.683
Value at Risk
(% per year at 5% probability)
0.561 -0.060 7.517
Probability of Capital Loss
(in any year, %)
6.375 4.896 73.369
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.076    t =   0.810
Beta (slope)    0.675    t = 12.685
Standard Error    0.807    
Information Ratio    0.326    
R-squared (adjusted)    0.640    
 

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-Mar) 1.247 1.125 0.121
 
Cumulative Return Chart
 
Excess Returns Chart