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IIT GTAA 60 Portfolio

IIT Global Tactical Asset Allocation 60 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 60 Portfolio (IIT GTAA 60) is measured against a benchmark of 60% international equity (allocated regionally according to market capitalization) and 40% long-term bonds. The objective of the allocation strategy is to outperform the benchmark on average by 150 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 50% and 70% 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-17.

Past performance is no guarantee of future performance.

Performance Measures

 
 
 
IIT GTAA 60 Benchmark Excess
Average Return
(% per year)
7.826 6.250 1.576
Standard Deviation
(% per year)
7.922 7.761 1.717
Sharpe Ratio 0.796 0.623 0.869
Sortino Ratio 1.258 0.919 1.522
Maximum Drawdown
(%)
26.638 29.725 2.523
Value at Risk
(% per year at 5% probability)
5.154 6.382 1.331
Probability of Capital Loss
(in any year, %)
16.035 20.554 19.242
 

Regression of Portfolio Return on Benchmark Return

 
Alpha (intercept, in % per period)    0.126    t =   2.889
Beta (slope)    0.996    t = 52.327
Standard Error    0.498    
Information Ratio    0.879    
R-squared (adjusted)    0.953    
 

Comparative Returns

 
  IIT GTAA 60 Benchmark Excess
2005(Dec-Dec) 2.081 1.360 0.722
2006(Jan-Dec) 7.020 5.298 1.722
2007(Jan-Dec) 2.901 0.374 2.527
2008(Jan-Dec) -20.823 -22.029 1.206
2009(Jan-Dec) 24.628 18.176 6.452
2010(Jan-Dec) 15.192 13.428 1.764
2011(Jan-Dec) -1.016 1.518 -2.534
2012(Jan-Dec) 12.140 11.830 0.310
2013(Jan-Dec) 14.215 13.619 0.596
2014(Jan-Dec) 18.637 15.600 3.037
2015(Jan-Dec) 8.493 7.767 0.727
2016(Jan-Dec) 9.781 7.697 2.085
2017(Jan-Apr) 3.260 3.108 0.153
 
Cumulative Return Chart
 
Excess Returns Chart