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2 Apr 2013


Performance figures

March 2013          1.33%
YTD                        2.96%
1YR                        4.27%
2012                      3.00%
2011                      4.18%
Since inception   4.55% (since 1-Jan-11, annualised)
Cash                     0.19%
CPI (to Feb-13)   2.30%

Risk Figures since inception 1-Jan-11, daily data
Volatility                4.91%
Max drawdown   -5.08%

I thought this month it would be interesting to go into a few more facts and figures behind the recent Spectrum performance.

The US stock market benefitted from general inflows however there are still considerable differences in relative sector performance. For example, the best performing sector in the last 6 months was Financials with +18.5% (Spectrum exposure 6%) whilst the worst was Technology with -2.4% (Spectrum exposure 0%). Spectrum has maintained an exposure to US equities of between 25% and 33% over the last 6 months which has been the main performance driver.

Despite USD generally strengthening in recent months, AUD and NZD returned 2.0% and 2.2% respectively against the USD over the last 6 months. Spectrum was exposed to both AUD and NZD which provided some good return contribution in the fixed income basket.

Commodities performed very badly in the last 6 months with most sectors posting double digit negative returns (including gold). Crude oil returned +2.5% in the last 6 months but -10.5% over the last year, hence Spectrum maintains zero exposure to commodities which has avoided some potentially high losses.

Whilst yields are still extremely low, bonds can provide a diversifying cushion should shocks arise, however returns for the 2YR and 5YR treasury over the last 6 months were +0.09% and +0.05% respectively which is similar to cash at +0.08%. This is worth keeping an eye on as if bonds perform poorly against cash then the Spectrum strategy will automatically increase exposure to cash thereby reducing risk to rising interest rates.

The asset allocation for the coming month is as follows
  • Equity allocation increased 5% to 31% with new positions in Non-Cyclicals, and Utilities with existing positions in Cyclicals, Healthcare, Financials and Telecomms
  • Commodity allocation remains at zero due to continued poor relative performance as an overall group
  • FX exposure reduced further from 6% to 4% with positions still in AUD and NZD
  • Fixed Income exposure to 2YR and 5YR US Treasuries decreased to 15% and 47% respectively with 3% in cash.

See overview SPECTRUM-IDX-OVERVIEW_28MAR2013.pdf

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DISCLAIMER: This document does not constitute an offer, a solicitation, an advice or a recommendation to purchase or sell any investment products associated with the material described herein. The purpose of this document is to describe the principles, research and ideas behind the QLAB Invest strategy indices. Prior to an investment in any product tracking a strategy index, you should make your own appraisal of the investment risks as well as from a legal, tax and accounting perspective, without relying exclusively on the information provided by QLAB Invest. Investment products tracking the indices must be issued or/and marketed by a regulated company. This document is strictly for informative purpose. The single source of the underlying asset data is Thomson Reuters Datastream and QLAB Invest cannot guarantee the correctness of the underlying asset data and cannot be held legally responsible in this regard. Any references made to historical performance up to the official live inception do not reflect actual live performance and can be subject to selection, curve fitting and other statistical biases. Performance in investment products linked to the indices may be reduced by the effect of commissions, fees or other charges in excess of those already factored into the index calculations. The level of the indices will fluctuate due to the volatility of the underlying exposures and past performance or volatility is not necessarily indicative of future results.