Results

year
2020
month
MAY

Monthly Performance Report / May 2020

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MONTHLY RESULTS

GTAA Growth (CAD-based accounts)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017 -- -- -- -- -- -- -- 0.1% 0.5% 1.6% 0.5% 1.3% 4.1%
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% 0.2% -- -- -- -- -- -- -- -4.4%

GTAA Growth (USD-based accounts)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017 -- -- -- -- -- -- -- 1.3% 0.9% 1.1% 0.5% 1.4% 5.3%
2018 2% -3.4% -0.2% -0.1% 0.4% 0.6% 1% 0.7% -0.4% -2% -0.1% 0.9% -0.7%
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% 0.8% -- -- -- -- -- -- -- -4.5%
PORTFOLIO ALLOCATION

During the month of May, the GTAA continued to shun risk assets (stocks, high yield bonds, REITs, etc.). Specifically, the strategy remained 75% invested in short-term investment grade corporate bonds and 25% invested in long duration U.S. Treasuries.

From a performance attribution perspective, our 75% exposure to short-term investment grade corporate bonds rose 1.45% for the month, and our Treasury exposure declined 1.76%. In addition, the performance of our CAD-based accounts was tempered by a 25% long USD vs. CAD exposure, which declined 1.1%.