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3 May 2012

Performance figures

April 2012                             0.74%
YTD 2012                             2.67%
1 Year                                   2.52%
2011                                     4.18%
Since inception                  5.20% (since 1-Jan-11, annualised)
Risk (volatility)                    5.86% (since 1-Jan-11, daily data annualised)

Financial news continues to be mixed with poor or worsening economic conditions especially in Europe offset by some positive news on earnings. Spectrum continues to be relatively conservatively positioned with the majority of exposure in US treasuries with stable exposure to US equities and some FX. Commodities are still absent due to recent poor performance.

The asset allocation for the coming month is as follows
  • Equity allocation remains at 31% with no changes to the sector allocation
  • Commodity allocation remains at zero due to poor relative performance properties as an asset class
  • In FX no change to the positions in JPY (3%) and AUD (2%)
  • In Fixed Income no changes to 2YR and 5YR US Treasuries with exposure at 15% and 46% respectively with 3% in cash.
See overview SPECTRUM-IDX-OVERVIEW_30Apr2012.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.