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Results
Results
Monthly Performance Report / October 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% | 0.5% | 3.1% | 1.1% | -2.0% | -1% | -- | -- | -3% |
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% | 0.2% | 3.0% | 0.7% | -2.0% | -1% | -- | -- | -3.7% |
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.
