|Asset classes||Global equities (including emerging markets, excluding US companies)|
|Investment style||Systematic investing based on stocks’ relative strength|
|Quarterly return||0.48% (net of fees)|
|Annualised volatility (since inception)||22.3%|
The fourth quarter of 2021 saw a continuation of the trends that had been in place for most of the year across asset classes. Global equities generally added to their gains for the year with developed markets continuing their stronger performance than emerging markets.
The trend of large capitalization stocks outperformance continued in 2021. Both growth and value stocks performed quite well for the year, but there were large swings of outperformance from each style. There was a lot of sector rotation during the year. Energy, for example, went from the bottom of ranks, to the top, back down, and finally back up again.
The Nasdaq Global Momentum Portfolio finished 2021 with approximately 76% of the portfolio allocated to developed international markets and 24% allocated to emerging markets as a result of the much stronger relative performance coming from developed markets over the last year or so. From a regional perspective, about 67% of the strategy is allocated to Europe with the remainder spread across Latin America, Asia, the Middle East, and Africa. This strategy does have the ability to invest in large, mid, and small cap companies, but it is heavily tilted towards large caps as those stocks have recently had much better relative strength.
Portfolio performance (net of fees)
Top 10 portfolio holdings (as of 31/12/21)
|ASML Holding NV||6.31%|
|LVMH Moet Hennessy Louis Vuitton SE||4.32%|
|Bicycle Therapeutics Plc ||4.07%|
|Tata Motors Limited ||3.63%|
|Embraer S.A. ||3.62%|
|Ternium S.A. ||3.17%|
|BioNTech SE ||3.04%|
|NXP Semiconductors NV||2.97%|
|ICICI Bank Limited ||2.95%|
Best-performing positions (note performance shown for the quarter reflects the performance of the security during the part of the quarter Nasdaq owned it, not necessarily the performance of the security itself for the full quarter)
- (46.36%) Bicycle Therapeutics Plc, a clinical-stage biopharmaceutical company, develops a class of medicines for diseases that are underserved by existing therapeutics. Bicycle Therapeutics plc was incorporated in 2009 and is headquartered in Cambridge, the United Kingdom.
- (43.20%) Tata Motors Limited designs, develops, manufactures, and sells a range of automotive vehicles. Tata Motors Limited was incorporated in 1945 and is headquartered in Mumbai, India.
- (19.47%) America Movil SAB de CV provides telecommunications services in Latin America and internationally. It was incorporated in 2000 and is based in Mexico City, Mexico.
- (18.06%) ICON Public Limited Company, a clinical research organization, provides outsourced development and commercialization services in Ireland, rest of Europe, the United States, and internationally. The company was incorporated in 1990 and is headquartered in Dublin, Ireland.
- (16.65%) Novo Nordisk A/S, a healthcare company, engages in the research, development, manufacture, and marketing of pharmaceutical products worldwide. The company was founded in 1923 and is headquartered in Bagsvaerd, Denmark.
Worst-performing positions (note performance shown for the quarter reflects the performance of the security during the part of the quarter Nasdaq owned it, not necessarily the performance of the security itself for the full quarter)
- (-35.26%) I-Mab, a clinical stage biopharmaceutical company, discovers, develops, and commercializes biologics to treat cancer and autoimmune disorders. The company was founded in 2014 and is headquartered in Shanghai, the People's Republic of China.
- (-29.40%) Diana Shipping Inc. provides shipping transportation services. Diana Shipping Inc. was incorporated in 1999 and is based in Athens, Greece.
- (-19.49%) Controladora Vuela Compania de Aviacion SAB de CV provides air transportation services for passengers, cargo, and mail in Mexico and internationally. It. was incorporated in 2005 and is headquartered in Mexico City, Mexico.
- (-14.09% CEMEX, S.A.B. de C.V., together with its subsidiaries, produces, markets, distributes, and sells cement, ready-mix concrete, aggregates, clinker, and other construction materials worldwide. CEMEX, S.A.B. de C.V. was founded in 1906 and is headquartered in San Pedro Garza García, Mexico.
- (-13.63%) POSCO Together with its subsidiaries, manufactures and sells steel rolled products and plates in South Korea and internationally. POSCO was incorporated in 1968 and is headquartered in Pohang, South Korea.
Markets had a lot of volatility in 2021 under the surface. This is often difficult for the relative strength, trend following strategy to deal with. The upside is that historically periods of elevated volatility tend to reverse course and move back toward the long-term averages. When that will happen is difficult to determine, but it is anticipated that it is going to happen and for more sustainable trends to emerge.