Fact sheet: ESA QLAB Convexity DL

Fund information
Fund name
ESA QLAB Convexity DL A-X USD
Fund manager company
European SICAV Alliance
Fund type
Offshore Fund
Fund manager
  • QLAB Invest AGsince 01/12/2014
Fund objective
The Sub-Fund’s objective is to track the performance of the QLAB Dynamic Allocation Index (the “Index”) by predominantly investing in Futures. The QLAB Dynamic Allocation Index uses a risk budget driven process to gain dynamic leverage (DL) to the underlying QLAB Asset Allocation Index (see description below) with maximum exposure set to 300% or 3x leverage. The dynamic leverage aims to significantly improve returns without disproportionally increasing risk. The deleveraging process aims to keep risk within the range 12% - 15% volatility and maximum drawdown is targeted at -15%. The QLAB Asset Allocation Index represents a dynamic, multi-asset class solution that aims to deliver convex or absolute returns in relation to its investment universe. Upside capture is intended to be achieved through systematically gaining exposure to rising assets whilst downside risk is mitigated through largely aiming to avoid falling assets. Strict risk budgeting maintains a stable target risk of 4 - 6% volatility. The Index is constructed as a basket of competing assets and targets persistence in risk premium driven by herding, greed and fear amongst investors. The Index is based on a proprietary model that converts relative outperformance between assets into statistical significance in order to avoid some of the drawbacks found in momentum driven investing. Robust risk budgeting principles are an integrated part of the dynamic process of deriving individual monthly asset weightings. The objective is to avoid hidden systematic risks across assets and to keep variability in returns stable regardless of the stage in the economic cycle.
Benchmark
  • Barclay BTOP 50 Index
Investment style
Absolute Return,Passive/Tracking,Flexible
Investment method
Mixed, Physical - Full
Quick stats
1 Year return
-5.1%
1 Year rank in sector
115/131
Sector
FO Absolute Return
Yield
-
Fund size
£0m
FE Risk score
?FE Risk Scores measure the riskiness of instruments relative to the FTSE 100 index of shares. Weekly volatility is measured over three years with recent behaviour counting more heavily than earlier behaviour. Cash-type investments will have scores close to zero. Funds will tend to have scores in the 0-150 range. The FTSE 100 is always scored at 100. There is no upper limit.
61
Top in this sector
Fund name1 Year
SW Mitchell Emerging European16.7%
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Orbis Optimal SA9.3%
Polar Capital UK Abs Eq9%
...more in FO Absolute Return

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-4.7%-6.9%-6.2%-5.1%--
Sector0%-0.5%0.6%0%2.7%9.8%
Rank within sector140 / 140139 / 140134 / 138115 / 131--
Quartile4th4th4th4th
Calendar performance
 YTD - 20162015201420132012
Fund-4.7%----
Sector0.3%0.7%1.2%3.6%3.9%
Rank within sector112 / 131----
Quartile4th
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
-
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
-
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
-
Price movement
52 week high101.62
52 week low91.43
Current bid price-
Current offer price-
Current mid price93.29
Region
No data available.
Industry sector
No data available.
Asset type
No data available.
Individual holdings
No data available.
Management
Fund manager group
European SICAV Alliance
Fund manager company
European SICAV Alliance
Fund type
Offshore Fund
Fund objective
The Sub-Fund’s objective is to track the performance of the QLAB Dynamic Allocation Index (the “Index”) by predominantly investing in Futures. The QLAB Dynamic Allocation Index uses a risk budget driven process to gain dynamic leverage (DL) to the underlying QLAB Asset Allocation Index (see description below) with maximum exposure set to 300% or 3x leverage. The dynamic leverage aims to significantly improve returns without disproportionally increasing risk. The deleveraging process aims to keep risk within the range 12% - 15% volatility and maximum drawdown is targeted at -15%. The QLAB Asset Allocation Index represents a dynamic, multi-asset class solution that aims to deliver convex or absolute returns in relation to its investment universe. Upside capture is intended to be achieved through systematically gaining exposure to rising assets whilst downside risk is mitigated through largely aiming to avoid falling assets. Strict risk budgeting maintains a stable target risk of 4 - 6% volatility. The Index is constructed as a basket of competing assets and targets persistence in risk premium driven by herding, greed and fear amongst investors. The Index is based on a proprietary model that converts relative outperformance between assets into statistical significance in order to avoid some of the drawbacks found in momentum driven investing. Robust risk budgeting principles are an integrated part of the dynamic process of deriving individual monthly asset weightings. The objective is to avoid hidden systematic risks across assets and to keep variability in returns stable regardless of the stage in the economic cycle.
Benchmark
  • Barclay BTOP 50 Index
Investment style
Absolute Return,Passive/Tracking,Flexible
Investment method
Mixed, Physical - Full
Fund manager
NameSinceBiography
QLAB Invest AG01/12/2014
Compliance
No data available.
Domicile
No data available.
Fund for sale in
Belgium, Finland, United Kingdom, Ireland, Luxembourg, Netherlands, Offshore, Sweden
ESA QLAB Convexity DL A-X USD
Initial charge-
Annual charge0.9%
Min single investment£1,000,000
Min regular saving£5,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price93.29
CurrencyUSD
Price updated07/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFWSZ
ESA QLAB Convexity DL B-X EUR
Initial charge-
Annual charge0.6%
Min single investment£1,000,000
Min regular saving£5,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price91.75
CurrencyEUR
Price updated07/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFWTA
ESA QLAB Convexity DL C-X CHF
Initial charge-
Annual charge0.6%
Min single investment£1,000,000
Min regular saving£5,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price89.96
CurrencyCHF
Price updated07/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFWTB
ESA QLAB Convexity DL D-X GBP
Initial charge-
Annual charge0.6%
Min single investment£1,000,000
Min regular saving£5,000
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price93.38
CurrencyGBP
Price updated07/12/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeFWTC
Data provided by

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