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5 Aug 2013

Performance figures
July 2013                            1.80%
YTD                                      3.59%
1YR                                      4.58%
2012                                     3.00%
2011                                     4.18%                  
Since inception                  4.18%  (since 1-Jan-11, annualised)     
Cash                                    0.19%  (                     “                                )
CPI                                        2.2%    (Jan-11 to Jun-13, annualised)
Risk Figures since inception 1-Jan-11, daily data
Volatility                              4.77% 
Max drawdown                -5.08%
Spectrum was well positioned for the risky asset recovery witnessed in July and gained 1.8% reducing the drawdown seen in May and June which stands at -0.8% under high watermark as of 2-Aug.
All positions held by Spectrum contributed positively to performance, however it is interesting to note the partial equity sector exposure outperformed equally weighted equities showing the sector dispersion is still intact. The table shows the sector performance month and year-to-date (sorted by best YTD first) with the average exposure held during 2013.

The asset allocation for the coming month is as follows, see www.qlabi.com/spectrum-idx.asp
  • Equity allocation remains unchanged at 27% with sector allocation the same in Industrials, Cyclicals, Healthcare and Financials
  • Commodity allocation remains at zero
  • FX exposure increases from 6% to 9% with a new position in CHF and positions remaining in EUR and NZD
  • Fixed Income exposure slightly reduced to 62% in 2YR US Treasuries  plus 2% in cash.

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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.