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1 Apr 2016

QLAB Invest - Update March 2016

Absolute-Return Strategy Performance as of 31 March 2016

RISK (10Y)
QLAB Asset Allocation
QLAB Dynamic Allocation
Naive Market Portfolio [1] 3.49% 2.86% -1.78% -0.62% -0.05% 4.67% 8.78% -26.37%

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
[1] A buy-and-hold performance reference, comprising 25% US equities, 25% Commodities, 20% FX, 30% US Fixed Income

Download this update as PDF here > QLAB_UPDATE_MARCH_2016.pdf


Writing investor updates on the 1st April is always perilous, but I can assure you the following is absolutely true, however remarkable it may appear!

Performance was positive during March, the third month in a row, bringing year to date performance in both strategies to over 2%. So despite the defensive stance of the portfolio currently positioned out of equities and commodities, there are still reasonable returns to be had whilst staying safely invested in US Treasury bonds and FX.

Many risk assets have recovered sharply recently, as shown by the Naïve Market Portfolio above, which is comprised of the equally weighted investment universe. However over 1 year and upwards, returns are still weak, reminding us to be careful chasing short-term returns, an urge driven by the recency behavioural bias. It also nicely demonstrates the value add of the QLAB process over a buy & hold strategy.

The two QLAB strategies have been live as exchange traded products in Switzerland for almost 3 years and performance is collected and analysed by Investment By Objectives, an independent company who have pioneered transparent performance comparison. Importantly, they collect daily data to accurately measure rolling risk-adjusted returns and results are analysed after all costs.

In this report since inception IBO_QAA_INCEPTION-25MAR16.pdf QLAB Asset Allocation in CHF is ranked number 1 versus a representative peer group of Swiss multi-asset strategy funds and anonymised managed accounts with the same low risk profile.

This report IBO_QAA_31DEC14-25MAR16.pdf shows performance over the last 15 months, arguably a more difficult period to be an active manager. QLAB Asset Allocation is still ranked number 1 but more importantly it is the only strategy to show positive performance during this time, thanks to the active asset allocation process which can exit entire asset classes to avoid large drawdowns.

These independent reports show us and our clients that the QLAB strategies follow a different, higher conviction and more defensive investment process than the larger branded solutions. The QLAB strategies can thus not only diversify broader client portfolios but offer wealth preservation whilst still providing competitive returns.


Although equities and most commodities rallied in March, the longer term performance over the last year is still not sufficient for the QLAB strategies to buy either asset class, and so the portfolios remain defensive going in to April in US Treasury bonds and FX.

In addition to JPY which was bought a month ago, we shall also see AUD and EUR FX positions against the USD as the US dollar continues to weaken.

If the recent stronger momentum in US equities or Commodities does continue the strategies will re-risk into these assets automatically. It is impossible to predict exactly when this will happen which is why an evidence based indicator such as momentum is such a useful investment style to have as part of any portfolio.


QLAB Asset Allocation and QLAB Dynamic Allocation are accessible in two formats via our product partners:
  • Luxembourg funds: QLAB Convexity Fund and QLAB Convexity DL Fund available to professional investors and managed by RPM Risk and Portfolio Management (www.rpm.se)
  • Swiss exchange traded certificates: QLAB Asset Allocation and QLAB Dynamic Allocation available to Swiss domiciled retail and professional investors managed by Neue Helvetische Bank (www.nhbpro.ch)
These investment solutions have daily liquidity and offer full position transparency.


QLAB builds custom strategies for institutions. These strategies use exactly the same investment and risk management techniques as our live strategies but they are applied to the investment universe defined by the institution with a corresponding set of allocation and risk constraints.

This enables institutions to position these strategies alongside other offerings in their product range, or be compatible 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.

View the latest QLAB video at www.qlabi.com/videos/systematic-risk-management.asp

For more information on QLAB Invest, visit www.qlabi.com or Email us at info info@qlabi.com

You can also find the QLAB strategy indices on Bloomberg by typing QLAB <GO>

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.