Results

year
2020
month
OCTOBER

Monthly Performance Report / October 2020

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MONTHLY RESULTS

GTAA Growth (CAD-based accounts)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
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% 0.2% 3.0% 0.7% -2.0% -1% -- -- -3.7%

GTAA Growth (USD-based accounts)

JanFebMarAprMayJunJulAugSepOctNovDecYTD
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% 0.5% 3.1% 1.1% -2.0% -1% -- -- -3%
PORTFOLIO ALOCATION

At the end of September, the GTAA strategy decreased its allocation to risk assets from 100% to 60%, which was achieved by liquidating our 10% positions in U.S. REITs, Canadian equities, Eurozone equities and emerging market bonds. Cumulatively, this reduction in exposure to risk assets added 0.9% to the portfolio’s performance during October.

In October, the strategy had a 30% allocation to equities, consisting of three, 10% positions in U.S., Japanese and emerging market stocks. The portfolio also had 10% positions in international REITs, U.S. preferred shares, and U.S. high yield bonds.

From a performance attribution perspective, our stock exposure performed poorly, with our 10% exposure to U.S. stocks falling 2.5% and our 10% position in Japanese stocks losing 1.4%. These losses were partially offset by our 10% allocation to emerging market equities, which withstood the general decline global stocks, rising 1.4% for the month.

October’s performance was also hurt by our non-stock exposure to risk assets, with our 10% position in international REITs falling 3.9% and our 10% position in U.S. preferred shares declining 0.2%. These losses were mitigated by our 10% allocation to U.S. high yield bonds, which rose 0.4% for the month.

The portfolio’s remaining 40% weight was 10% allocated to long-term Treasuries and 30% invested in short-term investment grade corporate bonds, which fell 3.4% and rose 0.1%, respectively.