August 2012 0.20%
YTD 2012 2.24%
1 Year 2.04%
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