July 2013 1.80%
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
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.
- 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.