YTD performance of the Obsidian-Shariah Compliant Portfolio
2020 has been challenging for many reasons, primarily the very real human cost of the pandemic. With a second wave and further disruptions feared many clients are reducing exposure to risky assets. However, the performance of the stock market in general and the Technology sector especially, after the March sell-off, has meant that good opportunities have been available. Clients are looking for resilient strategies which have withstood the worst of the correction without missing too much of the rally.
The Obsidian-Shariah Compliant Portfolio has achieved this through systematic allocation of capital and strategically reverting to cash when necessary.
The YTD performance can be seen below:
The table below shows the significant points during the March sell-off:
Take away points for the Obsidian-Shariah Compliant Portfolio :
It never fell into negative territory and outperformed the SPY by more than 30%.
At its lowest point the drawdown from the high water mark was around -11% when the SPY was-28%.
It recovered back to the high water mark within 32 trading days.
It is +19% from its high water mark whilst the SPY is still -5%.
The following graphs show the breakdown of the portfolio during this period:
The graph above illustrates clearly how reverting to cash opportunistically helped to avoid the worst of the sell-off. The subsequent re-investment allowed enough exposure to capture most of the rally that followed. It is worth noting that a significant cash holding has been in place throughout the year, reflecting the bearish sentiment of the portfolio management system.
Drilling down further we can see the general sectoral allocation over the YTD:
Allocations to the Technology and Healthcare sectors, which have performed well during the recent crisis, and avoiding too much exposure to the Energy and Consumer sectors which have not, has allowed the Obsidian-Shariah Compliant Portfolio to avoid the bulk of the sell-off and still capture the upside.
The YTD out-performance is consistent with the longer term, as illustrated by the five year performance:
The Obsidian-Shariah Compliant Portfolio has outperformed in every measure, most notably, with high Sharpe and Sortino ratios.
Obsidian’s Portfolio Management system is capable of trading through very difficult conditions using systematic and dynamic re-balancing. Further, as the long-term performance illustrates, it achieves this without compromising too much, if anything, during easier to trade bull phases.
It is worth noting that the criteria used for stock selection within the Obsidian-Shariah Compliant Portfolio means that the portfolio works equally well for those keen on adhering to ethical trading standards.