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5 Mar 2012

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

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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.