|2 May 2014|
QLAB UPDATE APRIL 2014
- 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.
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.
- 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.
- 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.