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Results
Results
Monthly Performance Report / May 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% | 0.8% | -- | -- | -- | -- | -- | -- | -- | -4.5% |
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% | 0.2% | -- | -- | -- | -- | -- | -- | -- | -4.4% |
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%.
