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4 Feb 2013


Performance figures

January 2013      1.58%
2012                      3.00%
2011                      4.18%
Since inception   4.22% (since 1-Jan-11, annualised)
Risk (volatility)     5.03% (since 1-Jan-11, daily data annualised)

Spectrum started the year well positioned with positive performance from equity and currency exposure. US treasuries posted a small loss but maintaining a
diversified portfolio is arguably healthy given the continuing level of uncertainty in such policy-driven times.

As promised last month, now the 2012 index data is available please see below a since-inception comparison of Spectrum versus 4 indices plus inflation using
monthly data. The indices chosen represent the industry aggregate of absolute return strategies. The goal of Spectrum is to safely navigate risky assets to
outperform inflation with a stable level of risk in the range 4-6% volatility.

The asset allocation for the coming month is as follows

  • Equity allocation decreased 7% to 26% due to exiting the Basic Materials position, with remaining positions in Cyclicals, Healthcare, Financials and Telecomms
  • Commodity allocation remains at zero due to continued poor relative performance as an overall group
  • FX exposure increased from 16% to 18% with positions in all available currencies except for JPY
  • Fixed Income exposure to 2YR and 5YR US Treasuries increased slightly to 13% and 39% respectively with cash is at 4%.

See overview SPECTRUM-IDX-OVERVIEW_31JAN2013.pdf

Close disclaimer

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.