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2 Apr 2014

QLAB UPDATE MARCH 2014
 





PERFORMANCE COMMENTS
  • Sailors might describe the markets in March as “choppy” with (perhaps refreshingly) mixed performance amongst equity sectors, currencies and especially high dispersion amongst commodities which allows for diversified multi-asset portfolios to carry on their set course with less worry than single asset or focused portfolios
  • The absolute return strategies are positive year-to-date but had a slightly negative month due to exposure to Healthcare and Consumer Discretionary equities which sold off rather quickly plus minor negative performance in 2YR US Treasuries, and most currencies, however the losses were partially offset by exposure to Industrial and Financial equities plus NZD which performed well
  • The equity relative return strategies lost a bit of ground against their benchmarks, again mostly due to Healthcare and Consumer Discretionary exposure, however performance year to date holds up well especially in the European and the Global strategies
  • The commodity relative return strategy also lost ground versus its benchmark in March due primarily to not being exposed to Wheat which shot up over 13% in March, however it is worth noting that short term volatility in some commodities is very high currently and not necessarily indicative of trends.
 
 
ASSET ALLOCATION
The medium to long term trends are still in place in equities, US treasuries and the currencies with improved strength now showing in some commodities. Despite the choppiness recently, short-term risk in equities and commodities still remains at or below long-term averages.
 
ABSOLUTE RETURN
  • US Equity allocation slightly reduced now that commodities have come in due to the risk budgeting process, however the relative sector exposure remains the same
  • Commodities make a come-back due to general strengthening with allocations to Oil and Coffee
  • FX exposure (long against USD) remains the same in CHF, NZD, EUR and GBP
  • Fixed Income exposure is similar with continuing low duration in the 2YR Treasury bond
  • The dynamic leverage exposure in the Dynamic Allocation strategy remains at the maximum of 300% keeping volatility similar to that of global equities.
 
RELATIVE RETURN
  • Global Equities:               Consumer Discretionary exited with a new position in Financials with remaining exposure to Industrials, Healthcare, Technology and Utilities
  • US Equities:                     Consumer Discretionary and Industrials exited with new positions in Utilities and Financials with remaining exposure to Material, Healthcare and Technology
  • European Equities:          Healthcare exited with a new position in Technology and remaining exposure to Industrials, Utilities, Telecoms and Financials
  • Commodities:                  Zinc and Oil exited with new positions in Wheat and Corn with remaining exposure to Soya Beans, Cotton, Coffee, Cocoa and Natural Gas.

Close disclaimer

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.