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

1 Nov 2016

QLAB Invest - Update October 2016
 
 

Absolute-Return Strategy Performance as of 31 October 2016

MULTI-ASSET LONG ONLY
MTD
YTD
1Y
3Y
5Y
10Y
RISK (10Y)
MDD(10Y)
QLAB Asset Allocation
-0.63%
2.40%
1.68%
1.87%
2.95%
6.16%
5.18%
-6.99%
QLAB Dynamic Allocation
-2.00%
0.59%
-0.12%
3.16%
5.84%
10.43%
11.93%
-13.65%

COMMODITY LONG/SHORT
MTD
YTD
1Y
3Y
5Y
10Y
RISK(10Y)
MDD(10Y)
QLAB COMMODITY L/S
-0.81%
-0.30%
5.17%
6.38%
6.54%
10.78%
12.14%
-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_OCTOBER_2016.pdf

MULTI-ASSET SUMMARY


The multi-asset strategies were down in October as interest rates in the US continued to rise, the USD strengthened and US equities fell 1.6%. There was however positive performance contribution from coffee, zinc and the utilities equity sector.

The 5Y US Treasury yield is now at 1.32% up from its low of about 0.94% in July this year. Whilst this translated into a negative contribution for the strategies as the bond price fell, for those concerned about a significant equity market sell off then this bond together with the 2Y US Treasury can offer a buffer if there is a flight to safety. Also, since commodities were bought in the summer the contribution has been positive, providing diversification against equities and bonds falling together. So in this regard, the portfolio remains rather balanced from a risk perspective and is highly diversified.

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

The portfolios traded during the month, exiting consumer staples and remaining in materials, industrials, technology and utilities sectors, the best performing of the last year. The leverage of QLAB Dynamic Allocation remains at the maximum of 300% as although the strategy is in a drawdown, short term volatility remains rather low.




COMMODITY LONG/SHORT SUMMARY

The commodity long/short strategy had a slightly negative month due primarily to losses in the short wheat and corn positions and also the long sugar position. The long positions in coffee, aluminium and zinc did well but not quite enough to offset those losses.

Whilst performance is flat year to date, over the recommended minimum holding period of 3 years, it is interesting to see what has driven performance. As shown in the performance contribution chart below the short positions have been very effective in generating returns whilst many commodities experienced large losses. Annualised return was 6.38% with realized volatility of 10% which is controlled by dynamic risk budgeting and compares well to individual commodity volatility often exceeding 20%.

PERFORMANCE CONTRIBUTION, LAST 3 YEARS



The Correlation of monthly returns versus US equities over the last 5 years was -0.27 and to 5Y US Treasury bonds it was -0.06, providing good diversification properties.
The allocation at month end is shown below: the short corn and long gold positions were closed and there is a new short position in copper and long position in cotton. Gross exposure remains at the maximum of 100%.



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.