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1 Dec 2014

The roller coaster continues with November witnessing severe declines in Crude Oil (-17%) and US Energy equities (-8%), with other US equity sectors and US Treasury bonds strengthening providing a chance for reasonable returns for the long-only strategies. The commodity long/short strategy was able to benefit from continuing high dispersion among commodities. 

QLAB Absolute Return Strategy Performance

                                                         YTD             3Y             VOLATILITY
QLAB Asset Allocation                      2.21%        4.97%             3.75% 
QLAB Dynamic Allocation                 5.33%       10.99%          10.58%
QLAB Commodity Long/Short          4.83%         3.65%             9.06%
(3Y compound annual return and volatility measured over 3 years of index history, daily data)

  • The two strategies were well positioned having exited Crude Oil in July, all other commodities and Energy equities in September and at the same time benefitting from continued exposure to US Treasury bonds and Healthcare, Technology, Utilities and Financial equity sectors
  • QLAB Asset Allocation annualised return over 3 years is close to 5% with a volatility of 4%, both figures in line with expectations
  • QLAB Dynamic Allocation annualised return over 3 years is 11% with a volatility of 11%, also in line with expectations
  • Our recent video http://www.qlabi.com/videos/ explains why drawdowns are an important risk factor and they currently stand at -0.8% for Asset Allocation and -2.7% for Dynamic Allocation, recovering well from the October lows
  • The models continue to react with an exit of the GBP FX position for the coming month, however the good performance of all other positions means they will stay on for the time being
  • Despite recent spikes, US equity volatility is not abnormally high, hence the dynamic leverage model maintains a maximum exposure of 300% in the QLAB Dynamic Allocation strategy
  • More information at www.qlabi.com/qaa and www.qlabi.com/qda

  • The Commodity Long/short strategy also had a positive month benefitting mainly from being short Oil, Sugar and Copper and being long Coffee. The overall long/short tilt is actually quite neutral due to moderate average risk and flat short-term trend of the broad set of commodities
  • QLAB Commodity Long/Short  annualised return over 3 years is 3.7% with a volatility of 9% which compares well to the equally weighted long opportunity set annualised return of -5% and volatility of 11%
  • For the coming month, the short Oil and Gold positions stay on, Coffee remains long. Wheat and Nickel switch from short to long, Soybeans and Cotton switch from long to short whilst the overall long/short tilt moves to slightly net long
  • More information at www.qlabi.com/qlcls

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.