HOME
THE LAB
NEWS
SECURED
CONTACT
NEWS & PUBLICATIONS
Back to news list

12 Feb 2016

Performance Flash 11 February 2016
    

Absolute-Return Strategy Performance as of 11 February 2016

MULTI-ASSET LONG ONLY
MTD
YTD
1Y
3Y
5Y
10Y
RISK (10Y)
MDD(10Y)
QLAB Asset Allocation
0.78%
2.45%
1.39%
3.08%
3.34%
7.22%
5.51%
-7.20%
QLAB Dynamic Allocation
0.78%
2.45%
0.10%
5.97%
7.03%
12.98%
12.42%
-13.65%

RETURNS: Annualised if >1Y   |   RISK: Annualised standard deviation or volatility, daily data   |   MDD: Maximum drawdown, peak to trough.
Strategy indices live 1-Jan-2011, see 
www.qlabi.com for more details or QLAB <GO> on Bloomberg.
Indices calculated net of trading costs, gross of product fees. Investable products may have lower returns and shorter track records.


SUMMARY

Given the ongoing risk asset sell-off and current lack of market confidence, we want to assure investors in the QLAB strategies that they remain defensively positioned. Having de-risked already in September last year, the portfolios are fully invested in US Treasuries with no exposure at all to Equities or Commodities.

As a result, year-to-date the index strategies plus the funds and certificates which follow the strategies, are up between 2.2% and 2.5%.

The defensive positioning of the QLAB strategies is a result of the high discipline investment process which reacts to current market conditions, managing risk rather than seeking return. Not relying on economic or other forecasting methods the strategies are run in a rules or evidence-based way, meaning there is no human intervention or override of tactical positioning.

Furthermore there are no neutral or benchmark weights to drag performance down with the markets. If the strategy detects evidence for weak momentum in an asset, it does not hold the asset. This not only protects the downside in a crisis, but provides a way to automatically re-risk when positive momentum returns.

Whilst nobody knows what the rest of the year holds in terms of market conditions, the QLAB strategies will continue to react to manage risk and exposure in a disciplined and consistent fashion, as they have done successfully now for over 5 years.


If you missed the January report, click here -> QLAB_UPDATE_JANUARY_2016.pdf

 
NEWS – QLAB OFFERS CUSTOM STRATEGIES
 
QLAB can build a custom strategy for your institution. These strategies use exactly the same investment models as our live strategies but the models are applied to the investment universe defined by the institution with a corresponding set of investment constraints. These may be set to position the strategies alongside other offerings on the product shelf, or comply with regulations such as UCITS. The resulting strategies add convexity to client portfolios through lower drawdown risk than comparable benchmark investing with strong outperformance across an investment cycle, and are delivered via a simple and low-cost license agreement.

Visit www.qlabi.com or Email us at info@qlabi.com for more information
 

INVESTMENT ACCESS

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.