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1 Sep 2016

QLAB Invest - Update August 2016
 
 

Absolute-Return Strategy Performance as of 31 August 2016

MULTI-ASSET LONG ONLY
MTD
YTD
1Y
3Y
5Y
10Y
RISK (10Y)
MDD(10Y)
QLAB Asset Allocation
-0.69%
2.46%
1.57%
2.90%
2.62%
6.41%
5.21%
-6.99%
QLAB Dynamic Allocation
-2.14%
2.05%
0.58%
6.55%
4.90%
11.10%
11.94%
-13.65%

COMMODITY LONG/SHORT
MTD
YTD
1Y
3Y
5Y
10Y
RISK(10Y)
MDD(10Y)
QLAB COMMODITY L/S
1.42%
-0.66%
4.65%
6.13%
4.96%
10.40%
12.24%
-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_AUGUST_2016.pdf

MULTI-ASSET SUMMARY


Performance was negative for the month driven by falling Treasury bond prices and falling Utility stock prices, both of which are declining in anticipation of an interest rate increase later this year. USD also strengthened and so most of the FX positions lost a little, with the exception of NZD which strengthened against the dollar.

The portfolios traded during the month, further reducing exposure to Treasury bonds (down from 90% a few months ago to 50% now) and buying commodities, not present in the portfolio for 2 years. The exposure as of month end is shown below, zinc and sugar contributed positively for the month whilst gold was slightly negative.

The portfolio is now highly diversified across all asset classes.

Realised volatility over the last 3 years remains stable at the lower end of the expected ranges, 3.5% for QLAB Asset Allocation and 10% for QLAB Dynamic Allocation.



COMMODITY LONG/SHORT SUMMARY

The commodity long/short strategy had positive performance thanks to changes to the portfolio made at the beginning of the month, mainly due to taking short positions in wheat and corn which fell -11% and -10% respectively and also due to the long positions in sugar and zinc which gained. There was some negative contribution from the other long positions, notably cotton and gold which fell during the month. The portfolio is actually trading today reducing exposure to cotton and exiting the long position in coffee.

Realised volatility year to date and over 3 years is about 10% compared to individual commodity volatility of more than 20% thanks to the risk budgeting techniques employed in constructing the portfolio.

Correlation of monthly returns versus US equities and Treasury bond and also the QLAB multi-asset strategies remains low, actually between -0.10 and +0.04 over the last 5 years, providing great diversification properties.



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.