Nasdaq DW Global Momentum Q3 2023 commentary
| Instruments traded | Stocks |
| Asset classes | Global equities (including emerging markets, excluding US companies) |
| Investment style | Systematic investing based on stocks’ relative strength |
| Quarterly return | -0.60% (net of fees) |
| Annualised volatility (since inception) | 20.17% |
Market overview
The Nasdaq Global Momentum Portfolio was slightly negative in the third quarter; however, the portfolio did outperform its benchmark.
Of the approximately 35 securities that are held in the portfolio, about half of our current exposure is from developed markets and about half is from emerging markets. We do have the flexibility in this strategy to overweight different regions of the world that are in favour.
Technology (20%), Industrial (16%), and Consumer Staples (15%) are the sectors where we currently have the most exposure. Over the course of the quarter, we added exposure to Basic Materials, Consumer Staples, Energy, Financials, and Technology, and we reduced exposure to Consumer Cyclicals, Healthcare, Industrials, Telecom, and Utilities.
A key objective of this strategy is to use our relative strength process to overweight strong sectors of the global markets with stocks within those sectors that have favourable relative strength. This trend-following approach to global equity exposure seeks to be disciplined and adaptive.
Portfolio performance (net of fees)
| July | 7.07% |
| August | -1.45% |
| September | -5.81% |
Top 10 portfolio holdings (as of 30/09/2023)
| Holding |
| Novo Nordisk |
| POSCO |
| UBS Group |
| Mitsubishi |
| New Oriental Education & Technology |
| YPF SA |
| ABB Ltd |
| Luckin Coffee |
| Fomento Economico Mexicano |
| Banco Bilbao Vizcaya Argentaria |
Best performing positions (note that the position may not have been held for the full quarter, but performance shown for the security is for the full quarter)
(+55.67%) Luckin Coffee Inc. offers retail services of freshly brewed drinks and pre-made food and beverage items in the People's Republic of China. Luckin Coffee Inc. was incorporated in 2017 and is headquartered in Xiamen, the People's Republic of China.
(+48.27%) New Oriental Education & Technology Group Inc. provides private educational services under the New Oriental brand in the People's Republic of China. The company was founded in 1993 and is headquartered in Beijing, the People's Republic of China.
(+38.61%) POSCO Holdings Inc., together with its subsidiaries, manufactures and sells iron and steel rolled products in South Korea and internationally.
(+26.15%) Argenx SE, a biotechnology company, engages in the developing of various therapies for the treatment of autoimmune diseases in the United States, the Netherlands, Belgium, Japan, Switzerland, Germany, France, Canada, the United Kingdom and Italy.
(+21.61%) UBS Group AG provides financial advice and solutions to private, institutional and corporate clients worldwide. It operates through four divisions: Global Wealth Management, Personal & Corporate Banking, Asset Management, and Investment Bank.
Worst performing positions (note that the position may not have been held for the full quarter, but performance shown for the security is for the full quarter)
- (-21.30%) Grupo Financiero Galicia S.A., a financial service holding company, provides various financial products and services to individuals and companies in Argentina.
- (-19.63%) DRDGOLD Limited, a gold mining company, engages in the surface gold tailings retreatment business in South Africa.
- (-18.65%) Copa Holdings, S.A., through its subsidiaries, provides airline passenger and cargo services.
- (-18.62%) ASML Holding N.V. develops, produces, markets, sells and services advanced semiconductor equipment systems consisting of lithography, metrology and inspection systems for memory and logic chipmakers.
- (-17.73%) YPF Sociedad Anónima, an energy company, engages in the oil and gas upstream and downstream activities in Argentina. Its upstream operations include the exploration, exploitation and production of crude oil, natural gas and NGLs.
Outlook
After some underperformance of the Nasdaq Global Momentum Portfolio in Q1, we saw modest outperformance versus its benchmark in Q2, and then we again saw outperformance in Q3. After a period of monetary tightening by several central banks around the world, we believe that we may now be entering a period where monetary policy may tend to be more neutral, which we think could be positive for equity markets. We are confident that our relative strength process will continue to lead us to favourable investment opportunities.