Average Correlation Average   between Manager Correlation between   Number of Active Risk Managers and Asset Class Managers within Asset Class GTAA Managers U.S. large-capitalization growth 224 0.17 (0.03) U.S. large-capitalization value 206 0.16 0.06 U.S. small-capitalization growth 131 0.17 (0.04) U.S. small-capitalization value 137 0.28 (0.08) International equity 94 0.24 0.05 Domestic fixed income 48 0.27 0.16 High-yield 63 0.22 0.02 International fixed income 46 0.26 0.17 Total/Average 949 0.20 Sources: Nelson's; General Motors Investment Management Company. 0.01 minimum size of the portfolio is generally not a binding constraint, although in some markets the futures contracts have large denominations.25 If the GTAA program on a small portfolio is implemented using two separable portfolios (completion and pure overlay), the efficacy of the customized completion portfolio depends on the size of the holes in the portfolio, but the overlay portfolio may be implemented through a commingled vehicle, obviating any concern about minimum portfolio size. In general, GTAA can fit anywhere in a client's portfolio. Some clients carve out an entire slice of their strategic benchmark, while others prefer to carve the overlay out of an area of their portfolio that is passively managed or generates low active risk. While the GTAA manager will generally not have a preference, clients might prefer funding the overlay program from an area of their portfolio with low expected active return, such as U.S. large-capitalization equities or U.S. core fixed income. This result is often a natural outcome of the risk budgeting analysis. GTAA as a Portable Alpha Strategy GTAA can also be implemented as a portable alpha strategy on a specific piece of a client's portfolio, for example, as a portable alpha strategy over the global equity portfolio, or even over a U.S. enhanced index portfolio. Used in this fashion, 25The largest contracts are the 10-year Japanese government bond futures at $860,000 per contract, the S&P 500 futures at $200,000 per contract, and the Russell 2000 futures at $190,000 per contract. In some markets, miniature contract sizes have gained popularity, for example, in the S&P 500 where the S&P 500 EMini Index Futures trades at $40,000 per contract.