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3 Feb 2014


  • Perhaps a classic fear response, equity volatility picked up in January with a corresponding sell-off in US, European and Global equity indices of about -3.5% accompanied by strengthening of USD and US Government bonds
  • The absolute return strategies consequently had a negative month but were helped somewhat by positive returns in healthcare stocks and the 2YR US Treasury exposure
  • The equity relative return strategies outperformed their benchmarks thanks to favourable sector positioning, again mostly due to healthcare stocks
  • The commodity relative return strategy slightly underperformed its benchmark due in part to exposure to copper which had a particularly negative month, causing the position to be exited at month-end.
On another note, the performance of QLAB Dynamic Allocation attracted some attention in 2013 with the question attached of “Don’t these high returns come with high risk?”. The simple answer is that the risk is lower and more stable than that of equities in general and shows low correlation properties to equities thus providing good diversification to equity-only strategies. For more details and charts, please see the attached 2-pager.


Equity risk increased in January but is still not excessive compared to the long term average and the major trends are intact hence the allocations remain similar.
  • US Equity allocation reduced slightly with the exit of Consumer Staples exposure. Positions remain in Industrials, Consumer Discretionary, Healthcare and Financials
  • Commodity allocation remains at zero due to continuing poor overall trend
  • FX exposure (long against USD) unchanged with positions in CHF, NZD, EUR and GBP
  • Fixed Income exposure unchanged with relatively short duration stance in the 2YR Treasury bond
  • The dynamic leverage exposure in the Dynamic Allocation strategy remains at 300% keeping volatility similar to that of global equities.
  • Global Equities:                 Financials exited with a new position in Utilities and remaining positions in Industrials, Healthcare, Consumer Discretionary and Technology
  • US Equities:                       Exposure remains the same to Industrials, Healthcare, Consumer Discretionary, Technology and Financials
  • European Equities:             Exposure remains the same to Industrials, Healthcare, Consumer Discretionary, Telecoms and Financials
  • Commodities:                    Copper exited with a new position in Coffee and remaining positions in Soya Beans, Cotton, Cocoa, Oil, Nat. Gas and Zinc.

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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.