March 2012 0.69%
YTD 2012 1.91%
1 Year 3.91%
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