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4 Mar 2014


  • February was another example of an emotional reversal versus the previous fear-driven month with developed market equities, US government bonds and commodities all rising with USD weakening
  • The absolute return strategies consequently had a strong positive month with both QLAB Asset Allocation and QLAB Dynamic Allocation hitting all-time highs at month-end, helped especially by selective exposure to US healthcare and US consumer discretionary stocks as well as the CHF, NZD, GBP and EUR currency exposure
  • The equity relative return strategies increased their lead against their benchmarks thanks to favourable sector positioning, again mostly due to healthcare and consumer discretionary stocks
  • The commodity relative return strategy performed well due to general commodity price increases but especially due to selective exposure to coffee.
Whilst March has started on a negative, at the end of February at least, equity risk was stable and the major trends were intact hence the allocations remain similar for the coming month.
  • US Equity allocation remains the same with exposure to Industrials, Consumer Discretionary, Healthcare and Financials
  • Commodity allocation remains at zero for now, however if recent gains continue then they may return next month
  • FX exposure (long against USD) slightly increased with the same 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 increases slightly to the maximum of 300% keeping volatility similar to that of global equities.

Global Equities:                 Exposure remains the same to Industrials, Healthcare, Consumer Discretionary, Technology and Utilities
US Equities:                       Financials exited with a new position in Materials and remaining exposure to Industrials, Healthcare, Consumer Discretionary and Technology
European Equities:            Consumer discretionary exited with a new position in Utilities and remaining exposure to Industrials, Healthcare, Telecoms and Financials
Commodities:                    Exposure remains the same to Soya Beans, Cotton, Coffee, 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.