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1 Oct 2015

QLAB Invest - Update September 2015

Multi-Asset Strategy Performance as of 30-September-2015

RISK (10Y)
QLAB Asset Allocation
QLAB Dynamic Allocation


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


Following the equity market correction in August, volatility remained elevated in September with the US equity market ending down 2.5%. Both strategies had already de-risked, exiting equities at the start of September and as a result had a fairly flat month. The US treasury bonds performed well as interest rates declined. Year-to-date performance remains positive and compares well to the major equity markets which are almost all negative for the year.

To judge the success of the asset allocation process over time, performance and risk are analysed over the last year and since inception of the strategies on 1st January 2011 (see below). QLAB Asset Allocation is compared to the Naïve Market Portfolio, defined as the same investment universe held at maximum allowed exposure, which is approximately equally weighted. QLAB Dynamic Allocation is compared to the US equity markets and Commodities (CCI).

Versus the Naïve Portfolio, QLAB Asset Allocation is successful in avoiding the major drawdowns of specific sub-assets and whole asset classes and outperforms with lower risk as a result. QLAB Dynamic Allocation is able to compete well with equities with lower volatility and greatly outperforms commodities.

Because the strategies do not follow a benchmark, the investment model is able to make high conviction asset moves to effectively manage risk. Firstly, by reallocating exposure within asset classes, e.g. not holding energy stocks but holding healthcare stocks, and secondly by being able to exit entire asset classes in periods of instability.

The chart below shows the asset allocation moves since going live. At the asset group level, the following high conviction moves have been made:

Sep-11 Commodities exited, the CCI index fell -16% the next 2 years
Jun-12 Brief equity exit following a 10% drop linked to the Eurozone crisis, the markets recovered quickly and equities were rebought a month later
Jun-13 The 5YR US Treasury was exited following the “Taper Terror” which caused rates to spike and the bonds to fall
Jun-14 Rates declined, the bonds recovered and the 5YR US Treasury was rebought
Jul-14 From Jul- to Sep-14 commodities were exited in several steps as well all FX positions long against USD. Commodities and currencies have continued to fall since
Aug-15 Equities exited and dynamic leverage turned off as the model went defensive in response to a sudden 10% sell-off in Equities.

Whilst any one move on its own might not appear to add immediate value, when executed consistently over time, the asset allocation process effectively manages the risk of the market portfolio by avoiding the weaker assets, resulting in outperformance over time.


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

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 format: QLAB_UPDATE_SEPTEMBER_2015.pdf

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.