As investment products tracking the QLAB Asset Allocation Index and the QLAB Dynamic Allocation Index use S&P futures to take exposure to equity sectors, we have taken the decision to replace the proxies used in the index calculation from DataStream US Sector Indices to CME-S&P E-MINI US Sector Indices.
The result of this action is a reduction in the tracking error of products replicating the indices. The replacement proxies are based on price changes in nearby S&P US Sector future contracts, corresponding precisely with replication guidelines. The update will affect the index histories from January 2015 onwards, effective as of 06/05/2015.
This change has no effect on performance of any products tracking the indices and there are no changes to any parts of the signalling or risk management methodologies.
Although the replacement may have short term effects on aggregate index performance, we do not anticipate any meaningful difference over a longer term horizon, as shown by the tables and graphs below.
Effect YTD on index returns as of 06/05/2015
1 Performance after proxy replacement | 2 Performance prior to proxy replacement
Effect on annualised index returns if the replacement was made as of 31/03/20111
1 Maximum available window
Tracking error analysis from 31/03/2011