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2 May 2016

QLAB Invest - Update April 2016

Absolute-Return Strategy Performance as of 30 April 2016

RISK (10Y)
QLAB Asset Allocation
QLAB Dynamic Allocation
Naive Market Portfolio [1] 2.05% 4.97% -2.32% 0.03% -0.13% 4.45% 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_APRIL_2016.pdf


Performance was positive in April, thanks to the long FX exposure against the USD which continued to decline against many currencies. JPY gained over 5.8% whilst EUR also contributed positively. The 2Y and 5Y US Treasury positions declined slightly as interest rates in the US edged higher, although it seems now that the Fed will be quite cautious on raising rates quickly.

Year to date performance now stands at 2.3% at the strategy index level. Note that solutions tracking the strategies will lag the index due to fund or certificate administration costs and currency hedging effects, which are higher for the CHF and EUR share classes due to the negative interest rate situation in these currencies.

Whilst US Equities staged a strong recovery during the month, and over 1 year are now just positive again, the relative strength of performance versus the 5YR US Treasury over the last 12 months is still not quite enough to cause a re-purchase of equities.


We still get this question a lot: “When will you buy equities?” as if this very act will cause equities to increase further or we know when equities will rise, which we don’t. Equities need to show a stronger increase first and then the strategy will re-risk. Shorter term moves over just a few weeks have little influence on the strategy positioning, and for good reason, whilst equities remain range-bound it would be dangerous to over-trade until stronger upward momentum is established. This high discipline is built into the strategy design and cannot be overridden.

What of the rest of the year? For now the strategy remains defensive in US Treasuries and FX, with a new CAD position being bought today, so for now the upside must come from the modest yield on the Treasuries and momentum in FX. If equities continue to rally then we could see a purchase at any time now. Commodities have also increased recently but still not yet enough to be bought. So the strategies still offer the potential to capture additional upside if it comes from equities and commodities later in the year, but at the same time can always return to a defensive position to protect capital should markets slump and volatility increase. This multi-asset and long-only absolute return approach works well as a diversifier against buy and hold strategies which generally follow the range bound markets closely.


We are proud to announce the launch of a new Commodity Long/Short strategy index www.qlabi.com/qcls and QLABCOLS on Bloomberg. We have also launched a certificate tracking the strategy, seeded by the shareholders of QLAB. Managed by Neue Helvetische Bank the certificate has continuous liquidity and is fully collateralised through a segregated account structure.

Based on the existing QLAB relative momentum approach with additional risk management techniques to tame the tail risk, the Commodity Long/Short strategy offers the potential for good returns exhibiting very low correlation to commodities, equities and bonds. Volatility, worst month and maximum drawdown are controlled through enhanced exposure management techniques giving investors the confidence to stay invested, diversify their existing portfolios and provide a source of uncorrelated returns in any market environment.

If you are interested in a closer look at how we can transform exposure to an otherwise volatile asset class like Commodities into a strategic allocation you can hold with confidence, we invite you to look at the research we have undertaken on this which is available on request.


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)
QLAB Quadrant Commodity Long/Short:
  • An actively managed and collateralised certificate 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.