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Results
Results
Monthly Performance Report / April 2020
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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% | -3.4% | 2.2% | -- | -- | -- | -- | -- | -- | -- | -- | -5.4% |
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% | -2.9% | 1.9% | -- | -- | -- | -- | -- | -- | -- | -- | -4.7% |
PORTFOLIO ALLOCATION
For the month of April 2020, the GTAA strategy continued to shun risk, maintaining the defensive stance that it assumed at the end of February.
The portfolio remained 75% invested in short-term U.S. investment grade corporate bonds and 25% invested in U.S. Treasuries.
In terms of performance attribution, our short-term investment grade bond position rose 2.76% during the month, and our U.S. Treasury position rose 1.22%. These gains were partially offset in our CAD-based accounts by a 25% long USD vs. CAD position, which fell 1.2%.
