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1 Jul 2016

QLAB Invest - Update June 2016
 
 

Absolute-Return Strategy Performance as of 30 June 2016

MULTI-ASSET LONG ONLY
MTD
YTD
1Y
3Y
5Y
10Y
RISK (10Y)
MDD(10Y)
QLAB Asset Allocation
1.49%
3.12%
1.40%
3.42%
2.96%
6.66%
5.27%
-6.99%
QLAB Dynamic Allocation
1.49%
3.12%
-1.07%
6.66%
5.70%
11.41%
11.97%
-13.65%

COMMODITY LONG/SHORT
MTD
YTD
1Y
3Y
5Y
10Y
RISK(10Y)
MDD(10Y)
QLAB COMMODITY L/S
-2.29%
-0.59%
13.52%
6.04%
7.02%
11.05%
12.26%
-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_JUNE_2016.pdf

MULTI-ASSET SUMMARY


In an eventful month, the two strategies posted strong performance thanks to a flight to safety in US Treasury bonds which contributed 1.1% to performance. Even though the USD strengthened in the last week due to Brexit, the long FX positions against USD also contributed positively, thanks to increases in JPY, NZD and CAD versus the USD. Actually the NZD position was put on during the month, the only change. There was no GBP exposure in the portfolio at the time of Brexit as GBP had been showing relatively weak momentum already.

Year to date, the performance of a little over +3% is quite satisfactory with low realized risk, thanks to the defensive positioning of the portfolios.

As there is currently no equity or commodity exposure the portfolios were not affected by the increase in volatility seen in both assets. However despite the pickup in volatility US equities and most commodities ended the month up, and over a year now show stronger momentum than recently.

Looking forward, the portfolios will continue to react to changing market conditions in an evidence based fashion, without any emotional interference. If the equity and commodity momentum continues then they could reappear at any time, and so the second half of the year may look quite different to the first half in terms of portfolio composition.



COMMODITY LONG/SHORT SUMMARY

The commodity long/short strategy was largely unaffected by Brexit, up 1.5% immediately following. However the month saw the strategy lose over 2%. The long positions in soybeans, cocoa, sugar and gold all contributed positively, over 4%. However it was the short positions in coffee, gas and industrial metals which lost around 6% together due steep increases throughout the month.

This high dispersion seen in commodities is exactly why it is an asset well suited to exploitation by a relative momentum investment process. However, as we have just witnessed in June 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.

Looking forward we expect the portfolio will soon react to these changing market conditions, as always without emotion and with a strictly evidence based approach, as with all our strategies.


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.