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1 Oct 2012

Performance figures

August 2012            0.87%
YTD 2012                 3.13%
1 Year                       7.16%
2011                         4.18%
Since inception      4.20% (since 1-Jan-11, annualised)
Risk (volatility)        5.28% (since 1-Jan-11, daily data annualised)

September saw the official return of Quantitative Easing in the US, the fourth such action by the Federal Reserve in as many years. In the past QE1, 2 and Operation Twist had the desired effect of lowering interest rates and boosting equity markets in the US, and that is also the intended impact this time, however only time will tell due to many other factors currently on investors’ minds. Behavioural finance has powerful roots and policy driven intervention such as the QEs can lead to rather steady trends driven by investor herding instincts. For example since QE1 started in November 2008 US equity markets have returned approximately 100%. However, policy driven interventions are not necessarily benevolent, hence the need for constant vigilance, which means smart risk management and diversification.

In the month of September Spectrum delivered a positive performance of 0.87% coming from equity and FX exposure offset slightly against a small reduction in 2yr and 5yr Treasury returns (QE3 it seems has not worked as intended this month). This brings YTD performance to 3.13% and since inception annualised to 4.20% for a stable risk under the target of 6% volatility.

The asset allocation for the coming month is as follows
  • Equity allocation increased from 25% to 31% with new positions in Basic Materials, Industrials and Financials, the latter not present since 2010
  • Commodity allocation remains at zero due to continued poor relative performance as an overall group
  • FX exposure slightly increased from 9% to 10% with positions still in CAD, AUD and NZD plus a new position in GBP
  • Fixed Income exposure to 2YR and 5YR US Treasuries slightly decreased to 14% and 42% respectively with 3% in cash.
See overview SPECTRUM-IDX-OVERVIEW_28Sep2012.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.