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1 May 2015

QLAB Invest - Update April 2015


Multi-Asset Absolute Return Strategy Performance as of 30-Apr-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 costs, gross of product fees. Investable products may have lower returns and shorter track records


In the first three weeks of April the S&P500 was rising nicely and the 5YR US Treasury bond was also up as yields fell, allowing new all-time-highs to be reached for both multi-asset absolute return strategies. However in just the last few days the S&P faltered and US yields rose erasing gains for the month and both strategies ended up a fraction down. Year-to-date and over longer horizons both strategies remain in line with expectations.
Realised risk is at the lower end of the expected ranges with QLAB Asset Allocation 1 year volatility at 3.6% and QLAB Dynamic Allocation at 10.6%.
Performance remains well ahead of the naïve market portfolio which we use as an internal performance benchmark (investment universe equally weighted and rebalanced monthly) which has returned -0.2% YTD and  -3.4% over the last year. It is also against this naïve portfolio that we compare contribution to performance of the active positions. For example YTD two thirds of performance has come from the 5YR US Treasury and one third from US equities. Within equities the strong relative performance is still dominated by the Healthcare sector but just in the last month Technology started to catch up. The negative performance seen in the naïve portfolio has been avoided by exiting commodities and FX against the USD. These high conviction active decisions continue to work well which is very satisfactory now that the models have been live and unchanged for 5 years.
A question we often get is how dynamic the correlation is to the equity markets and how quickly will it adapt in a crisis. The answer is that the correlation is highly dynamic and this is covered in a recent
 article featuring QLAB Dynamic Allocation as a replacement for equity holdings, which can be found

The lower risk QLAB Asset Allocation strategy is positioned as a replacement for medium term bonds, as highlighted in an article


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.