Nasdaq DW Global Momentum Q1 2022 commentary
|Asset classes||Global equities (including emerging markets, excluding US companies)|
|Investment style||Systematic investing based on stocks’ relative strength|
|Quarterly return||-5.95% (net of fees)|
|Annualised volatility (since inception)||22.8%|
Among the key themes affecting the global equity markets in the first quarter were the continued fallout from Russia’s invasion of Ukraine, persistently high inflation, and tightening or less accommodative central bank policy in many parts of the world, as well as the positive effect of the continued reopening of global economies from the pandemic.
The Nasdaq Global Momentum portfolio finished the quarter with approximately 75 percent of the portfolio allocated to developed international markets and 25 percent 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 69 percent of the strategy is allocated to Europe, with the remainder spread across Latin America, Asia, the Middle East and Africa.
From a sector perspective, the portfolio gained exposure to Financials, Energy, Utilities and Industrials over the course of the quarter. At the same time, exposure to Healthcare, Consumer Cyclicals, Technology and Telecom was reduced. Consumer Staples exposure remained about the same.
Portfolio performance (net of fees)
Top 10 portfolio holdings (as of 31/03/22)
|ASML Holding NV ADR||5.71%|
|LVMH Moet Hennessy Louis Vuitton SE||4.06%|
|Sasol Limited Sponsored ADR||3.99%|
|Ternium S.A. Sponsored ADR||3.59%|
|Tata Motors Limited Sponsored ADR||3.46%|
|Tenaris S.A. Sponsored ADR||3.33%|
|Bicycle Therapeutics Plc Sponsored ADR||3.13%|
|Novo Nordisk A/S Sponsored ADR Class B||3.13%|
|ICICI Bank Limited Sponsored ADR||3.02%|
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)
- (+47.44%) Sasol Limited, together with its subsidiaries, operates as an integrated chemical and energy company in South Africa. The company operates through Mining, Gas, Fuels, Chemicals Africa, Chemicals America and Chemicals Eurasia segments. Sasol Limited was founded in 1950 and is headquartered in Johannesburg, South Africa.
- (+44.15%) Tenaris S.A., together with its subsidiaries, produces and sells seamless and welded steel tubular products, and provides related services for the oil and gas industry, along with other industrial applications. Tenaris S.A. was incorporated in 2001 and is based in Luxembourg, Luxembourg.
- (+42.46%) Equinor ASA, an energy company, engages in the exploration, production, transportation, refining and marketing of petroleum and petroleum-derived products, and other forms of energy in Norway and internationally. Equinor ASA was incorporated in 1972 and is headquartered in Stavanger, Norway.
- (+38.82%) Diana Shipping Inc. provides shipping transportation services. The company transports a range of dry bulk cargoes, including commodities such as iron ore, coal, grain and other materials in shipping routes worldwide. Diana Shipping Inc. was incorporated in 1999 and is based in Athens, Greece.
- (+37.41%) Danaos Corporation, together with its subsidiaries, owns and operates container ships in Australia, Asia, Europe and the United States. The company offers seaborne transportation services, such as chartering its vessels to liner companies. Danaos Corporation was founded in 1963 and is based in Piraeus, Greece.
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)
- (-66.59%) Public Joint Stock Company Gazprom, an integrated energy company, engages in the geological exploration, production, processing, storage, transportation and sale of gas, gas condensates and oil in Russia and internationally. Gazprom was founded in 1993 and is headquartered in Moscow, Russia.
- (-39.12%) BioNTech SE, a biotechnology company, develops and commercialises immunotherapies for cancer and other infectious diseases. BioNTech SE was incorporated in 2008 and is headquartered in Mainz, Germany.
- (-28.96%) Embraer S.A. designs, develops, manufactures and sells aircrafts and systems in Brazil, North America, Latin America, the Asia Pacific, Brazil, Europe and internationally. Embraer S.A. was incorporated in 1969 and is headquartered in São Paulo, Brazil.
- (-27.91%) 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, United Kingdom.
- (-25.07%) ING Groep N.V., a financial institution, provides various banking products and services in the Netherlands, Belgium, Germany, Poland, Rest of Europe, North America, Latin America, Asia and Australia.
As the likely economic implications of the war in Ukraine become more apparent and as global economies move beyond the pandemic, we expect trends to become more established. The portfolio is trend-following in nature and more sustainable trends could lead to favourable results for the strategy in the months to come.