Many risky assets continue to do well, though not at the same pace as at the start of the year. It seems hope and optimism are triumphing currently. Although some commodities and currencies are moving rapidly, the markets seem relatively quiet. Perhaps too quiet, given the unprecedented liquidity the ECB still needed to make available in an attempt to contain the Greek debt crisis.
The wait for more concrete news may soon be over as later this month Greece will reach some key milestones. Whilst many risk measures are low, common sense still says to stay diversified but ready to react.
Spectrum is highly diversified and systematically ready to react. The month finished with a positive performance of 0.28% bringing the YTD performance to 1.21% with a volatility on target of around 6%. Equity positions were profitable, offset a little by minor losses in some currency positions.
The asset allocation for the coming month has changed as follows
- Equities increased from 24% to 31% with a new position of 4% in Technology stocks and small increases to existing positions in Non-Cylicals, Healthcare and Utilities
- Still no exposure to commodities due to insufficiently established upward trend
- Small reduction in existing FX positions versus USD down from 9% to 7%
- Small decrease in US treasury exposure with 5yr down from 49% to 44% and 2yr down from 16% to 14%.
See overview SPECTRUM-IDX-OVERVIEW_29Feb2012.pdf