March 2013 1.33%
Since inception 4.55% (since 1-Jan-11, annualised)
CPI (to Feb-13) 2.30%
Risk Figures since inception 1-Jan-11, daily data
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.
US GOVERNMENT BONDS
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