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3 Sep 2012

Performance figures

August 2012                0.20%
YTD 2012                     2.24%
1 Year                           2.04%
2011                             4.18%
Since inception          3.86% (since 1-Jan-11, annualised)
Risk (volatility)            5.36% (since 1-Jan-11, daily data annualised)

On aggregate August was rather an uneventful month, despite some last minute excitement about Ben Bernanke’s Jackson Hole speech, it seems the market is waiting for something more meaningful from the ECB in September.

There was however perhaps more dispersion than of late, for example amongst equities: cyclicals and basic materials performed much better than telecoms and utilities. Also amongst commodities: oil and gold strongly outperformed coffee and sugar although generally commodities remain weak and Spectrum has no exposure. Within fixed income the 5yr treasury yields rose sharply in the first half of the month then declined sharply in the second half.

Spectrum remains rather hedged against these short term competing movements and August posted a positive month-end performance of 0.20% bringing YTD to 2.24% and since inception annualised to 3.86%. Risk remains safely under the target 6% volatility.

The asset allocation for the coming month is as follows
  • Equity allocation reduced from 30% to 25% with shifts out of Non-Cyclicals and Utilities, positions remain in Cyclicals, Healthcare, Technology and Telecoms
  • Commodity allocation remains at zero due to continued poor relative performance properties
  • FX exposure slightly increased from 7% to 9% with positions still in CAD, AUD and NZD
  • Fixed Income exposure to 2YR and 5YR US Treasuries slightly increased to 16% and 48% respectively with 2% in cash.
See overview SPECTRUM-IDX-OVERVIEW_31Aug2012.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.