QLAB’s asset allocation strategies had another strong month driven primarily by exposure to US equities and although the S&P500 showed good performance, some sectors were relatively weak, re-iterating the need to be selective. For example Utilities and Basic Materials were negative for the month. The QLAB strategies remain exposed to the 5 best performing sectors not only month-to-date but also year-to-date. Further positive performance contribution came from the exposure to CHF, EUR and the 2YR Treasury with only negative contribution from the NZD exposure, although that position has had strong positive performance contribution since it was put on.
Equity risk generally remains low and stable and the major trends are intact hence the allocation remains similar except for a new position in GBP due to increasing strength against the USD.
- Equity allocation remains unchanged with sector exposure to Industrials, Cyclicals, Non-Cyclicals, Healthcare and Financials
- Commodity allocation remains at zero due to continuing poor trend
- FX exposure (long against USD) increased with positions in CHF, NZD, EUR and GBP
- Fixed Income exposure remains similar with relatively short duration stance in the 2YR Treasury bond
- The dynamic leverage exposure in the Dynamic Allocation strategy remains at 300%.
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