April 2012 0.74%
YTD 2012 2.67%
1 Year 2.52%
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