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Results
Results
Monthly Performance Report / February 2020
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PORTFOLIO ALLOCATION
At the end of January, the GTAA strategy made significant changes to its portfolio. Notably, the strategy liquidated its exposure to Eurozone stocks, Japanese stocks, and emerging markets stocks. The portfolio also initiated a 10% position in U.S. REITs and increased its exposure to both U.S. Treasuries and U.S. short-term investment grade bonds from 5% to 15%. Cumulatively, these shifts improved performance by approximately 2% during the month of February.
The portfolio’s remaining equity exposure was concentrated in U.S. and Canadian stocks, which fell 7.9% and 5.4%, respectively. The additional 50% of the portfolio which was allocated to “risk-on” positions was equally spread across U.S. REITs (-7.0%), international REITs (-7.9%), U.S. preferred shares (-4.4%), U.S. high yield bonds (-1.3%), and emerging market sovereign bonds (-1.2%).
The remaining 30% of the portfolio which was allocated to “risk-off” assets was equally split between U.S. Treasuries (+6.6%) and short-term U.S. investment grade corporate bonds (+0.6%).
MONTHLY RESULTS
GTAA Growth (USD-based accounts)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | -- | -- | -- | -- | -- | -- | -- | 1.3% | 0.9% | 1.1% | 0.5% | 1.4% | 5.4% |
| 2018 | 2% | -3.4% | -0.2% | -0.1% | 0.4% | 0.6% | 1% | 0.7% | -0.4% | -2% | -0.1% | 0.9% | -0.8% |
| 2019 | 1.1% | 0.3% | 1.6% | 1.5% | -2.9% | 1.3% | -0.2% | 2.9% | 0.6% | 1.1% | 0.7% | 2.3% | 10.7% |
| 2020 | -1% | -3.1% | -- | -- | -- | -- | -- | -- | -- | -- | -- | -- | -4.1% |
GTAA Growth (CAD-based accounts)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | -- | -- | -- | -- | -- | -- | -- | 0.1% | 0.5% | 1.6% | 0.5% | 1.3% | 7.7% |
| 2018 | 1.3% | -2.7% | -0.3% | -0.2% | 0.6% | 0.8% | 0.9% | 0.9% | -1.1% | -1.7% | 0.2% | 1.6% | 0.2% |
| 2019 | 0% | 0.7% | 1.4% | 1.5% | -2.9% | 0.7% | -0.2% | 3.7% | 0.4% | 0.6% | 0.7% | 2% | 8.8% |
| 2020 | -0.8% | -2.9% | -- | -- | -- | -- | -- | -- | -- | -- | -- | -- | -3.7% |
