February 2013 0.03%
Since inception 4.08% (since 1-Jan-11, annualised)
Risk Figures since inception 1-Jan-11, daily data
Max drawdown -5.08%
Probably the most overused phrase to describe markets last year was “Risk On / Risk Off” and there was a good example recently as investors were choreographed in their reaction to the Italian elections. However what has been less well covered is the sector rotation that has occurred in Equities and resulting dispersion in returns.
The table below shows the 10 US Equity sectors sorted by 6 month performance, best first, split into two groups of 5. The equally weighted performance over this time was about 9% so with successful selection one can see signification pick-up was available to the active investor. Spectrum makes use of a momentum measure to rank the sectors and had, on average, 3 times the exposure to the best performing sectors compared to the worst performing sectors, whilst maintaining a fairly stable 28% equity exposure over the last 6 months.
A similar effect happened in currencies where selective exposure has allowed relatively good performance to be found, e.g. NZDUSD , and poor performance to be avoided, e.g. JPYUSD. Interestingly the sharp rise recently in the USD against all major currencies has now caused Spectrum to exit CAD, CHF, GBP and EUR for the coming month, remaining only in AUD and NZD.
So despite historically low bond yields and continued weak commodity performance the broad opportunity set of Spectrum still allows for reasonable returns from equities and currencies.
The asset allocation for the coming month is as follows
- Equity allocation remains at 26% with positions in Cyclicals, Healthcare, Financials and Telecomms
- Commodity allocation remains at zero due to continued poor relative performance as an overall group
- FX exposure reduced from 18% to 6% after exiting CAD, CHF, GBP and EUR with remaining positions in AUD and NZD
- Fixed Income exposure to 2YR and 5YR US Treasuries increased to 16% and 50% respectively with 2% in cash.
See overview SPECTRUM-IDX-OVERVIEW_28FEB2013.pdf