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

1 Jun 2016

QLAB Invest - Update May 2016

 

Absolute-Return Strategy Performance as of 31 May 2016

MULTI-ASSET LONG ONLY
MTD
YTD
1Y
3Y
5Y
10Y
RISK (10Y)
MDD(10Y)
QLAB Asset Allocation
-0.69%
1.61%
-0.79%
2.53%
2.75%
6.24%
5.44%
-7.20%
QLAB Dynamic Allocation
-0.69%
1.61%
-4.02%
4.74%
5.53%
11.19%
12.02%
-13.65%

COMMODITY LONG/SHORT
MTD
YTD
1Y
3Y
5Y
10Y
RISK(10Y)
MDD(10Y)
QLAB COMMODITY L/S
5.06%
1.74%
11.44%
8.82%
6.61%
10.93%
12.32%
-17.09%

[1] Live performance since 1-Jan-11, simulation prior, source www.qlabi.com/qaa, www.qlabi.com/qda, Bloomberg QLABQAA, QLABQDA
[2] Live performance since 1-May-16, simulation prior, source www.qlabi.com/qcls, Bloomberg QLABCOLS
Indices calculated net of trading costs, gross of product fees. Investable products may have lower returns and shorter track records
RETURNS: Annualised if > 1Y ꞁ RISK: Annualised standard deviation, or volatility, daily data ꞁ MDD: Maximum drawdown, peak to trough


Download this update as PDF here > QLAB_UPDATE_MAY_2016.pdf

MULTI-ASSET SUMMARY


The two strategies are both up 1.6% for the year, after ending the month down due mainly to recent falling US Treasury prices in anticipation of a Fed rate rise later in June. The interest rate rise seen in the last few weeks is smaller than witnessed in December. The FX positions also lost a little as the US dollar strengthened and the portfolio lowered exposure to FX during the month in response.

US equities did increase during the month extending recent gains, but over the longer term still show weaker momentum relative to US Treasury bonds and so remain out of the portfolio.

Although some commodities did continue climbing, as a whole, commodities are still rather weak over the longer term and so also remain out of the portfolio.

Looking forward, the two strategies remain cautiously positioned in US treasury bonds and FX. If US equity markets do break out and exceed last year’s highs the portfolios will re-risk into equities automatically. Commodities need to increase a little more as most are still recovering from their largest drawdown for decades.

It’s worth reminding ourselves that the QLAB investment process is evidence based and statistically driven, which is a great diversifier to discretionary processes that can be influenced by recent events and over-optimism.


COMMODITY LONG/SHORT SUMMARY

The The strategy was launched at the beginning of the month along with a collateralised certificate seeded with QLAB shareholder money and had a very strong first month. The positive performance of over 5% was driven by being short natural gas, copper, aluminium and coffee and being long soybeans, cotton and sugar.

Looking forward, the portfolio remains short gas, metals and coffee and long gold and agriculturals.

The high dispersion seen in commodities is especially well suited to exploitation by the relative momentum investment process that QLAB has been using in other strategies for over 5 years now. Commodities do need special exposure and risk management treatment due to the potential for high volatility spikes and sharp reversals. The strategy therefore employs no leverage and can actually lower exposure below a notional of 100% when volatility is very high or the exposure becomes concentrated in a particular direction.

The result is stable risk solution with 12-14% volatility able to deliver truly uncorrelated returns throughout the entire market cycle.


NEWS


CTA Intelligence article covering the launch of the Commodity L/S strategy here > CTA_Intelligence_Commodity_LS_Launch.pdf

INVESTMENT ACCESS

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 is avilable to European investors
  • Fully collateralized against issuer risk and UCITS eligible (transferable security).
All these investment solutions have daily liquidity and offer full position transparency.

CUSTOM STRATEGIES

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 UCITS compliant. 

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.