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5 Apr 2012

Performance figures

March 2012                          0.69%
YTD 2012                             1.91%
1 Year                                   3.91%
2011                                      4.18%
Since inception                   4.89% (since 1-Jan-11, annualised)
Risk (volatility)                     6.00% (since 1-Jan-11, daily data annualised)

Stock markets in the US continue to post gains ending the month up 3% and the year up 12%. US Treasuries sold off a little mid-month representing a rise in yields from very low levels but then reversed again before month end. Commodities in general turned down in March after sharp rises in recent months but are still below highs from about 1 year ago. The USD after first weakening at the start of the year strengthened again during March leaving few established FX trends.

This mixed bag of performance reiterates the need to remain diversified and not be tempted to jump entirely onto one bullish bandwagon or another. Spectrum remains close to its maximum allowed equity exposure (risk budget limited) but has diversification into US treasuries and FX positions. Commodities, whilst diversifying in the long term, are not currently selected due to weak trend characteristics.

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 the 2% NZD position was sold bringing total FX exposure down slightly to 5% with remaining positions in JPY and AUD
  • In Fixed Income there were small changes to 2YR and 5YR US Treasuries with exposure now 15% and 46% respectively with 4% in cash.
See overview SPECTRUM-IDX-OVERVIEW_30Mar2012.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.