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October witnessed a continuation of the current equity rally as well as increases in US government bonds coupled with a slight strengthening of the US dollar. The QLAB absolute return strategies shown above were well positioned with positive contributions from all equity and bond positions as well as the EUR position with only minor negative contributions coming from CHF and NZD exposure. Year-to-date, all positions show positive performance contribution. Despite a small increase in short term volatility which is a good sentiment indicator, the level remains below long term averages and all major trends are still intact and thus our absolute return strategies maintain the same exposure for the coming month.
- Equity allocation remains unchanged with sector allocation in Industrials, Cyclicals, Non-Cyclicals, Healthcare and Financials
- Commodity allocation remains at zero due to continuing poor trend
- FX exposure remains moderate with positions in CHF, NZD and EUR
- Fixed Income exposure remains the same with relatively short duration stance in the 2YR Treasury bond
- The dynamic leverage exposure in the Dynamic Allocation strategy remains at 300%.
FURTHER INFORMATION AND INDEX FACTSHEETS