|2 Jun 2014|
QLAB UPDATE MAY 2014
- The absolute return strategies had a positive month in May helped by good performance in US Equity Sectors, Crude Oil, Nickel and the 2YR US Treasury Bond. Negative contribution came from Coffee and the FX positions. YTD and 1YR returns remain strong and in line with expectations with stable and low risk
- Amongst the equity relative return strategies Global and US had a good month helped by favourable sector positioning. The European equity strategy lost some ground in May due to negative contribution from Healthcare exposure
- the commodity relative return strategy was ahead of its benchmark in May due to strong relative contribution from Crude Oil, Nickel and Cocoa, however overall performance was negative due to high volatility in coffee.
The medium to long term trends are still in place in equities and currencies with continued strength in selected commodities. The 5YR US Treasury Bond has rallied somewhat with performance now again ahead of the 2YR and well ahead of cash. Short-term risk in equities and most commodities is still unusually low.
- US Equity allocation remains the same but Financials are exited with a slight increase in the remaining sectors Energy, Materials, Industrials, Healthcare and Consumer Discretionary
- Commodity exposure remains the same in Crude Oil, Coffee and Nickel but with a shift in underlying contract months to optimize roll yield
- FX exposure (long against USD) remains the same in CHF, NZD, EUR and GBP
- In fixed Income the 5YR US Treasury makes a comeback due to the recent rally with a corresponding smaller position in the 2YR Treasury
- 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: Industrials exited with a new position in Telecom
- US Equity Sector Rotation: Industrials exited, no new positions
- European Equity Sector Rotation: Healthcare exited with a new position in Technology
- Commodity Rotation: Corn exited with a new position in Crude Oil.