April 2013 1.45%
Since inception 5.02% (since 1-Jan-11, annualised)
CPI (to Feb-13) 2.30%
Risk Figures since inception 1-Jan-11, daily data
Max drawdown -5.08%
With US government bond yields so low and commodities currently not selected the performance of Spectrum is currently driven to a great extent by the US equity market. However it’s interesting to analyse the upside capture.
Over the last 6 months the average allocation to equities was 28% and the S&P500 has returned 13% which would imply a return potential of 3.6% in beta terms. However Spectrum returned 5.1% which is an upside capture of 39%. Where did this additional upside come from?
The largest contribution was from the equity sector selection. For example, over the last 6 months Healthcare and Cyclicals have returned 20% and 18% respectively whilst Energy and Technology returned 9% and 6% respectively. Spectrum had exposure to the former, but not the latter.
The other is aspect is currency exposure. Due to general strengthening of the USD Spectrum exited all long FX positions except for AUD and NZD which have returned 1.6% and 5.4% respectively over the last 6 months.
But let’s not forget these are active decisions, just has not holding commodities for 18 months now, and one should also compare performance to the portfolio that would be held in the absence of views. We consider this “Naïve” portfolio to be the equally weighted opportunity set of Spectrum. Here the comparison is striking and we argue shows the benefits of active management.
The asset allocation for the coming month is as follows
- Equity allocation remains at 31% in Cyclicals, Non-Cyclicals, Healthcare, Financials, Telecomms and Utilities
- Commodity allocation remains at zero due to continued poor relative performance as an overall group
- FX exposure remains at 4% with positions in AUD and NZD
- Fixed Income exposure to 2YR and 5YR US Treasuries remain at 15% and 47% respectively with 3% in cash.
See overview sheet SPECTRUM-IDX-OVERVIEW_30APR2013.pdf
You can find this item and other news and articles on our blog at www.qlabi.com/news.asp
Also, our low risk strategy Fusion (which is the Fixed Income and FX part of Spectrum) is also now published daily on our website at www.qlabi.com/fusion-idx.asp