Quantitative Global Macro Strategy
Rationale:
- Many institutional investment portfolios remain dominated by equity and interest rate risks, and their allocations tend to remain static over time irrespective of market conditions. Unless a strict liability matching approach is to be taken, establishing a portfolio of alternative alpha sources is vital to enhance portfolio efficiency in this context. qCIO®, QMS Advisor’s Global Macro program provides investors with a series of exposures that may not be present in our clients’ portfolios, and an ability to exploit the fact that performance differentials between asset classes are frequently substantial. QMS Advisors manages these exposures in the most liquid international markets and provides an opportunity for the generation of active returns that are modestly correlated with traditional asset classes and other sources of active returns.
Strategy Overview:
- qCIO® is a global investment strategy which seeks to generate excess returns relative to cash through a quantitative and systematic investment process that enables clients to gain tactical exposure to a broad variety of markets. Potential investment opportunities are identified using a combination of economic and financial factors. The Fund's investment process identifies the impact of short and medium term imbalances and temporary shocks, which cause markets to deviate from long-term equilibrium conditions, through an analysis of the macro-economic, financial and technical factors influencing returns. These imbalances may be due to growth, inflation, monetary and fiscal policies, underlying supply and demand shocks, investors' positioning, as well as short-term trends. qCIO® is a global investment strategy that offers portfolio diversification benefits by seeking to produce uncorrelated returns to equity and fixed income markets.
Benefits:
- Increase potential for portfolio efficiency:
- High and consistent information ratio: Uncorrelated alpha source driven by economic signals and relative value analysis.
- Significant total portfolio diversification potential.
- A highly liquid and customizable solution.
- State-of-the-art dynamic risk management systems.
- Robust analytical model: continually adapted to structural changes in global markets.
- Dedicated research, portfolio and implementation team: a team of quantitative experts with global expertise and deep investment experience.
Risks:
- No capital protection
- Depending on the targeted risk, the fund’s returns can be volatile
Implementation:
- Underlying Instruments:
qCIO® can be implemented in mainly two ways, whether by taking long and short positions in highly liquid futures and forward contracts across equity indices, fixed income and currencies in developed and emerging markets, or by taking long and short positions in liquid levered and unlevered cash ETF funds, as qCIO® is a quantitative strategy that can be mapped to any appropriate beta instrument.
- Investment Vehicle:
Investors can incorporate qCIO® to their investment portfolio either by investing in the fund – in development- or by utilizing our overlay service, which calibrates the program to the investor’s current Strategic Asset Allocation.
- qCIO® overlay:
When implemented as an overlay program, qCIO® acts similarly to a Global Macro program; an activity undertaken by most managers of multi-asset, multidisciplinary funds. In this format, qCIO® aims at enhancing our clients’ investment outcomes by overweighting and underweighting asset classes, depending on the expected future performance over relatively short time periods.
qCIO®: an objective, dispassionate and methodical Chief Investment Officer able to systematically integrate hundreds of macro-economic, financial and technical factors, and to scientifically infer robust market expectations.
|
|
