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2 May 2014

QLAB UPDATE APRIL 2014
 



PERFORMANCE COMMENTS
  • The absolute return strategies had a positive month in April reaching all-time highs in the third week helped by the recent new exposure to Oil and Coffee plus the 2YR US Treasury and currency exposure in CHF, GBP and EUR
  • The equity exposure contributed negatively for the month due to Healthcare, Consumer Discretionary and Financials selling off a little, but year-to-date equity exposure is still the main driver of positive performance
  • Equity sector dispersion is still high and recent increases in Energy and Materials will mean new positions will be taken in May in these sectors
  • It is worth mentioning the rise of some commodities most notably Coffee but also Nickel and Zinc, a new position will be taken in Nickel in the absolute return strategies and both Nickel and Zinc will come in to the relative return commodity strategy
  • The equity relative return strategies lost a bit of ground against their benchmarks, again due to Healthcare, Consumer Discretionary and Financials exposure, however performance year-to-date holds up well especially in the US and the Global strategies
  • The commodity relative return strategy gained ground versus its benchmark in April due primarily to Coffee exposure which returned 16% since the position was taken at the start of the month.
 
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. Short-term risk in equities and commodities still remains at or below long-term averages.
 
ABSOLUTE RETURN
  • US Equity allocation slightly increased with new positions in Energy and Materials with existing sectors remaining
  • Commodity exposure increased with a new position in Nickel
  • 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 Equity Sector Rotation:               Financials exited with a new position in Energy
  • US Equity Sector Rotation:                     Financials and Utilities exited with new positions in Energy and Industrials
  • European Equity Sector Rotation:           Financials and Technology exited with new positions in Energy and Healthcare
  • Commodity Rotation:                            Wheat and Cotton exited with new positions in Nickel and Zinc.



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.