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1 Dec 2015

QLAB Invest - Update November 2015

Multi-Asset Strategy Performance as of 30 November 2015

RISK (10Y)
QLAB Asset Allocation
QLAB Dynamic Allocation
Naive Market Portfolio -2.11% -7.21% -8.86% -1.40% 1.03% 5.15% 8.73% -26.37%

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

Download this Newsletter in PDF with charts by clicking here -> QLAB_UPDATE_NOVEMBER_2015.pdf


US Treasury yields have risen sharply in the last 2 months in anticipation of a decision by the Federal Reserve to raise rates (see chart). Since exiting equities at the end of August, the strategies have remained cautiously positioned 100% in US Treasuries which has lead to slight negative performance as bond prices fell.

US equities had a flat month and over a 12 month horizon are showing similar performance to 5YR US Treasuries, hence relative momentum is not yet sufficient for the strategies to re-purchase equities (see chart).

Commodities as measured by the broad CCI index continue to fall, as do G10 currencies versus the USD, meaning these assets also remain out of the portfolio for the near future (see chart).

Given the strategies are long-only, it’s always useful to look at the consequences of not selling falling assets and we compare the performance of the two active strategies to the Naïve market portfolio, which is the equally weighted investment universe, rebalanced monthly. As shown in the table above, the market performance remains weak over the last 5 years, and it is against this market that the active strategies attempt to manage risk through the active asset selection process. The resulting returns show the relative success of the investment process but that does not always translate into positive returns over shorter timeframes.


Looking forward the strategies continue to be cautiously positioned. The QLAB investment process is reactive rather than predictive and thus does not try to guess whether the Fed will or will not raise rates, or what the impact will be on markets for either decision. Nor do they try to determine in advance what the outcome will be from the geopolitical instability in the Middle East and Europe or the dynamic news coming out of China. Rather, the systematic investment process monitors price momentum and volatility and stands ready to react, without emotion. When stronger relative momentum returns in equities, commodities or currencies, the strategies will re-risk into these assets automatically. If not, then the defensive positioning will protect capital from further losses.


We often get asked what QLAB Invest does as a company and why we develop rules-based or systematic investment strategies which are published as investable indices. To answer these questions we made a short video which you can find at systematic-risk-management.asp

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

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.