Parsing the Dynamics of Global Tactical Asset Allocation (GTAA) Funds

Global Tactical Asset Allocation (GTAA) funds, which seek to take advantage of changing market conditions while maintaining a globally diversified portfolio, have suffered recent underperformance, possibly driving withdrawals from the strategy.  Considering the question of whether investors are bailing too soon, MPI was asked by Institutional Investor to look at some of the funds that have received the most interest from investors. However, the analysis of these funds can be difficult. GTAA funds do not have a readily available peer group to compare to, and invest in a variety of different assets.  We created a customized peer group and performed quantitative analysis to shed light into this otherwise opaque category.

The funds consist of seven selected by II and an additional three chosen by MPI due to their size (AUM), institutional client base and/or reputation in the GTAA space.  Nine of the funds are mutual funds, and are listed in the table below.  The tenth is Bridgewater Pure Alpha, which is only available as a hedge fund.