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GTAA strategy performance


Model Inception Date:12/31/2006Data as of 01/31/2017 
ModelBenchmark (SPY) Benchmark (VBINX)
Total Return:57.5%97.8%85.9%
Compound Annual Growth (CAGR):4.6%7.0%6.4%
Sharpe Ratio:0.320.33.39
Correlation to benchmark:.52
.54
Maximum Drawdown:-14.1%-55.2
-36.0
Winning Period %: 62.8%
Best Monthly Period:6.22%
Worst Monthly Period:-6.27%
Exchange Traded FundSymbol
iShares Barclays 7-10 Yr Treasury (7-8yr)IEF
Vanguard MSCI U.S. REITVNQ
Vanguard MSCI Total U.S. Stock MarketVTI
Vanguard FTSE All-World ex-USVEU
PowerShares DB Commodity IndexDBC
Barclays Low Duration Treasury (2-yr)SHY

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