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QLAB QUADRANT COMMODITY L/S INDEX
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BLOOMBERG: QLABCOLS
CURRENCY: USD
KEY FEATURES

• Long and Short positions in 14 liquid commodities
• QLAB Conviction Score Model to control selective exposure
• QLAB DCRM to optimise commodity futures selection
• Max gross exposure Long and Short = 100%
• Risk budget driven weighting process

DESCRIPTION

The QLAB Quadrant L/S index represents a 3rd generation commodity index solution that seeks to offer stable absolute returns compared to the commodity and CTA hedge fund space. The economic exposure to commodities varies between 50% - 100% driven by a proprietary short term horizon risk budgeting process. The index uses QLAB’s proprietary Conviction Score Model to select L/S commodity exposures from its opportunity set where investor sentiment is strong or weak. The index updates its allocation periodically and weights are driven by a combination of conviction score and risk, where higher risk penalises weight. Index exposures are utilising QLAB DCRM to maximise performance by systematic selection of commodity futures contracts.
 

  YTD 1Y 3Y 5Y 10Y RISK (10Y) MDD (10Y)
  -4.80% -2.37% 4.19% 3.23% 9.60% 12.25% -17.09%
RETURNS: ANNUALISED IF > 1Y
RISK: ANNUALISED STANDARD DEVIATION (VOLATILITY)
MDD: MAXIMUM DRAWDOWN PEAK-TO-TROUGH, 10Y

ALLOCATIONS

MONTHLY STATISTICS [%]

  2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
JAN 0.74 3.25 3.11 -4.86 2.06 -1.26 -0.86 0.92 1.75 1.14 3.44
FEB 2.65 6.59 0.37 -0.15 5.16 -1.70 2.53 -5.30 -0.48 0.98 2.09
MAR 1.95 -6.67 -2.15 3.78 -0.10 6.64 0.31 -3.85 2.05 -1.67 -1.76
APR 3.95 2.27 -2.13 0.76 3.08 1.78 2.67 2.39 -3.39 -3.57 1.05
MAY -1.64 1.85 -4.30 -5.03 -3.68 2.86 1.50 0.39 2.67 5.06 -1.90
JUN -2.65 9.07 -2.26 -2.40 -4.16 -2.62 5.57 -0.71 -4.08 -2.29 -4.54
JUL -1.27 -4.48 1.80 -4.75 4.79 -0.43 -2.37 5.17 6.92 -1.47 -8.40
AUG -0.14 -1.14 8.36 2.56 5.10 0.01 2.10 -0.89 1.39 1.42 5.87
SEP 5.57 5.85 -1.37 7.24 -7.82 -4.34 -1.10 2.38 0.07 1.18
OCT 1.47 7.92 -0.81 7.49 1.03 0.11 0.75 -3.06 -0.21 -0.81
NOV 0.90 2.16 2.13 1.52 3.19 -0.66 1.97 3.68 6.54 0.41
DEC 6.02 2.13 1.70 8.77 0.56 -1.34 0.75 4.06 -0.99 -1.77
IDX YTD 18.57 31.35 3.92 14.50 8.58 -1.37 14.47 4.70 12.27 -1.67 -4.80

Live index performance since 1 May 2016

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.