May 2013 -1.37%
Since inception 4.24% (since 1-Jan-11, annualised)
Cash 0.19% ( “ )
CPI 2.1% (Jan-11 to Apr-13, annualised)
Risk Figures since inception 1-Jan-11, daily data
Max drawdown -5.08%
May is often in the headlines as an eventful month for the markets and this time was no exception.
The sharp sell-off in US Treasuries, AUD & NZD currencies and also parts of the US equity market, most notably Utilities and Telecomm, negatively impacted the Spectrum return. However, positive returns in other equity sectors where Spectrum is exposed to Cyclicals, Healthcare and Financials showed it is important to remain diversified as well as selective.
It is interesting to note the relative performance difference between some US equity sectors was more than 10% in a single month as shown in the table below ranked by May’s return.
Whilst one month’s return is by no means a sign of things to come, the Spectrum strategy, which is fully systematic and based on longer-term return patterns, has reacted by exiting positions in Utilities, Telecomms and Non-Cyclicals and entered a new position in Industrials, keeping existing positions in Cyclicals, Healthcare and Financials.
- Equity allocation reduced sharply from 31% to 16% with a new position in Industrials and positions remaining in Cyclicals, Healthcare and Financials
- Commodity allocation reappears after 20 months due to good relative performance of the equally weighted CCI index and a resulting position taken in Wheat
- FX exposure increased from 4% to 10% with a new position in EUR and positions remaining in AUD and NZD
- Fixed Income exposure to 2YR and 5YR US Treasuries increased slightly to 17% and 51% respectively with 2% in cash
See overview sheet SPECTRUM-IDX-OVERVIEW_31MAY2013.pdf