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2 Dec 2013


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%.
Spectrum                   http://www.qlabi.com/spectrum/default.asp
Asset Allocation         http://www.qlabi.com/qaa/qaa.asp
Dynamic Allocation     http://www.qlabi.com/qaa/qda.asp

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DISCLAIMER: This document does not constitute an offer, a solicitation, an advice or a recommendation to purchase or sell any investment products associated with the material described herein. The purpose of this document is to describe the principles, research and ideas behind the QLAB Invest strategy indices. Prior to an investment in any product tracking a strategy index, you should make your own appraisal of the investment risks as well as from a legal, tax and accounting perspective, without relying exclusively on the information provided by QLAB Invest. Investment products tracking the indices must be issued or/and marketed by a regulated company. This document is strictly for informative purpose. The single source of the underlying asset data is Thomson Reuters Datastream and QLAB Invest cannot guarantee the correctness of the underlying asset data and cannot be held legally responsible in this regard. Any references made to historical performance up to the official live inception do not reflect actual live performance and can be subject to selection, curve fitting and other statistical biases. Performance in investment products linked to the indices may be reduced by the effect of commissions, fees or other charges in excess of those already factored into the index calculations. The level of the indices will fluctuate due to the volatility of the underlying exposures and past performance or volatility is not necessarily indicative of future results.