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2 Feb 2015

QLAB Invest - Update January 2015

Multi-Asset Absolute Return Strategy Performance as of 31-Jan-2015 

RETURNS: Annualised if >1Y
RISK: Annualised standard deviation or volatility, daily data
MDD: Maximum drawdown, peak to trough
Strategy indices live since 1-Jan-2011, net of trading fess, gross of product fess. Investable products may have lower returns and shorter track records

Quite an eventful start to the year with the S&P500 trading in a +/-3% range ending the month down 3%. US treasuries soared, most commodities were considerably down but gold was up. The USD continued to strengthen against most currencies and of course there was the Swiss National Bank’s decision to remove the Euro peg.
Firstly on the SNB, there was no impact on products tracking QLAB strategies due to the CHF move as the various share classes employ full currency hedging. The strategies only hold US equities so no equity impact either. Our Switzerland-based investors thus benefitted from good diversification against Swiss products that have a home equity bias or do not hedge foreign assets into CHF.
Performance YTD of the two absolute return strategies has been good thanks to selective exposure to Healthcare and Utilities equity sectors plus the 5YR US treasury. Some negative contribution came from Consumer Discretionary and Financial equities but not enough to warrant an exit of those sectors. The sector Consumer Staples will come in for February increasing the equity exposure slightly. Despite the CHF surge against most currencies, over a longer horizon of about a year the CHF is down against USD so it will not be bought. Risk is not generally elevated despite recent choppiness and the dynamic leverage in QLAB Dynamic Allocation remains at the maximum of 300%.
All-time highs were reached on 26th January ending the drawdown that started in September. This was due to exiting Energy equities, Commodities and FX positions. What would have happened had these high-conviction actions not occurred? We compare the drawdown of the QLAB Asset Allocation strategy against the naïve market portfolio which is defined as the same investment universe held approximately equally weighted, rebalanced monthly. The chart below shows the difference in drawdowns over the last 12 months. Both portfolios were rather similar until September when the reversal occurred. The QLAB models reacted, selling the falling assets with the result that the drawdown was curtailed.
A nice reminder that the QLAB models are designed to focus on managing risk rather than returns and that they are reactive, not predictive.


QLAB has been nominated for the AIF Factor award hosted by ABN Amro Clearing and QLAB CEO Steven Bates will present the QLAB Convexity DL Fund at the conference on February 11th . If any of you will attend we look forward to seeing you there with our fund management partner RPM Risk & Portfolio Management.
Steven will also join Neue Helvetische Bank, our Swiss certificate management partner, at the Swiss Derivative Awards on 26th March where the QLAB Dynamic Allocation certificate has been nominated for an award. We hope to see some of you there also.


QLAB Asset Allocation and QLAB Dynamic Allocation are accessible in two formats via our product partners:
  • RPM Risk and Portfolio Management (www.rpm.se) manage two Luxembourg funds: QLAB Convexity Fund and QLAB Convexity DL Fund  available to professional investors
  • Neue Helvetische Bank (www.nhbpro.ch) manage two listed certificates traded on the SIX stock exchange available to Swiss domiciled retail and professional investors
Please contact us at info@qlabi.com if you would like to receive product information directly from our partners.

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.