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1 Jul 2015

QLAB Invest - Update June 2015

Multi-Asset Absolute Return Strategy Performance as of 30-June-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


The uncertainty surrounding the future of Greece spilled over into US markets during the month with the S&P500 down about -2% and the 5YR US Treasury Bond down -0.25%. The QLAB strategies ended the month down as a result although did set new all-time highs during the month. The active equity exposure to Healthcare, Consumer Discretionary and Financial sectors, which were the best performing sectors, provided a useful buffer. Also YTD the equity sector positioning as well as the 5YR US Treasury exposure have delivered good performance contribution.
Many of the systematic, macro and CTA indices are now down for the year, and although relative performance of the QLAB strategies is good and is positive YTD, it is also useful to talk about diversification properties. In a market environment where diversification is hard to come by, the moderate correlation and low drawdown risks of the QLAB strategies can diversify portfolios against the uncertainty which lies ahead.
The following tables show the correlation and risk statistics of the two QLAB strategies versus a range of indices. QLAB Asset Allocation can be positioned in a portfolio as a replacement for medium term bonds and a diversifier to absolute return funds. QLAB Dynamic Allocation is positioned as a diversifier to equities, Hedge Funds and CTAs.

  • Correlation based on live monthly QLAB index data since 1 January 2011
  • Volatility and maximum drawdown based on maximum daily data available, including simulated QLAB returns prior to live date

Looking forward the strategy positioning remains unchanged and fairly balanced across equities and bonds with the same equity sector allocation.

The article we published last month in Financial Investigator magazine titled "What to do with your fixed income - you used to sleep well", can be downloaded here
QLAB Asset Allocation and QLAB Dynamic Allocation are accessible in two formats via our product partners:
  • RPM Risk and Portfolio Management (www.rpm.semanage 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

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.