22 Sep, 2020
In our effort to ensure optimal performance of our Kristals, we have updated our algorithm for the Katalyst Kristal with the latest price data. The algorithm has proposed an extension of duration for the fixed income allocation in the Kristal, while removing the gold allocation. The overall distribution between fixed income and equity remains broadly unchanged in the 39:61% area. With increased tension in the Middle East, we are also taking in profit on our Wisdom Tree Middle East ETF position, which was initiated based on an algorithm recommendation on 5th November, to return around 3.3% at the close of markets on 1st January. The sector allocation to health care equipment is new with a 12% allocation. We have also increased the allocation to the iShares US Technology Software ETF from 8% to 16%.
22 Sep, 2020
The strategy has done well throughout the year. Despite the major sell off in March, we are as of 2. June up +4% since Jan 1st, a very respectable result for a balanced portfolio. We have consistently achieved a positive alpha over a Benchmark consisting of 50% ACWI and 50% LQD which is representative of the investment strategy. (+14% alpha in May, +5% YTD)
To ensure that this stays the way, We have updated earlier this week our Advisory Algorithm with the latest market data and are rebalancing the Katalyst now accordingly. Based on our Genetic Algorithm, the allocation to Fixed Income Instruments has been reduced by 18%, with 10% moving to Gold and 8% towards additional Equity Allocation.
within the Equity Sector allocation, where we are reducing the exposure to the technology sector, which has been a large contributor of the Performance in May, and shift towards an allocation of 18% to the SPDR Utilities Select ETF (XLU). The Utilities sector has been outstanding in Q1 with regards to its earnings compared to the other sectors in the S&P, and is one of the last sectors that still shows a flat to slightly positive expectation of Earnings growth in Q2.
10 Sep, 2020
There have been only minor changes to the existing portfolio in terms of asset allocation since the last adjustment in June. In our equity allocation, our Algo is switching from the SPDR Utilities ETF to the State Street Financials ETF, as well as a slight increase in tech sector exposure from 22.5% to 30%.
In addition to these changes, under our discretionary mandate we are slightly over-weighting the allocation to Gold over Fixed Income (6%). The risk mitigating properties of Fixed Income instruments at the zero rates boundary have changed, so in line with our investment committee's strategic views, we are maintaining a slightly higher allocation to this asset class.
The second adjustment is that we are adding to our tech sector exposure by diversifying from US domiciled Tech companies to include the Emerging Markets Internet and E-commerce ETF (EMQQ). This ETF has been proposed through our model which measures the attractiveness of an ETF within its sector based on its relative momentum, strength of trend and historic performance.