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4 Jun 2013

Performance figures
May 2013           -1.37%
YTD                      3.02%
1YR                      4.31%
2012                    3.00%
2011                    4.18%
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
Volatility                4.83%
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.

The asset allocation for the coming month is as follows, see www.qlabi.com/spectrum-idx.asp
  • 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

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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.