The S&P MARC 5% Excess Return (ER) Index started the year firing on all cylinders, with positive returns across all asset classes for the quarter—dimming memories of 2018, when all the underlying indices ended the year in red.
Its asset class diversification and weighting strategy helped the index to stay positive throughout the quarter, despite a slight dip early on in the equities market. For all asset classes, the main contributors to performance continued to be equities and fixed income, with gold ending the quarter relatively flat.
When comparing the component assets to the S&P MARC 5% (ER) Index to see what periods the components outperformed or underperformed the index, the story is similar. In the middle of the quarter, we saw gold pick up in performance, which, when combined with equities, helped to offset some of the lower relative performance on the fixed income portion.
Looking at the rolling 252-day performance, for the 61 days in the quarter, we can see that in January of this year, the 252-day return would have been negative. This was due to the strong performance of the index from December 2017 through January 2018, which drove the index levels higher until volatility entered the market in February 2018. The 252-day performance from February 2019 through the end of the quarter maintained a somewhat upbeat trend, with the overall quarter having 54% of the days positive.
Looking at the index allocations of the quarter, after the year-end volatility of 2018, the equity allocation of the index was exceptionally low, at just 12.4% to start 2019 when compared with the historical average of 22%. Despite this tempered start, the index ended the quarter at 20.8%, close to its historical average, and with an average over the quarter slightly above 16%.