QAS research is driven by one fundamental principle – we define low risk as a market condition when multiple time frame positive momentum inputs begin to move in the same direction, and therefore – present the highest upside reward potential.
QAS algorithm calculates risk levels on thousands of stocks that are included in all major world indices. QAS Top 20 U.S. Large Cap Index includes stock components derived from the S&P 500 Index universe, selected by using our “low risk” criteria and simply rebalanced to equal-weight on a monthly basis.
We maintain indexes and measure their performance in Bloomberg portal.
2015 was a challenging year for many portfolio managers. The high volatility in S&P 500 Index resulted in only +1.3% return for the year.
Amongst the most important highlights of the Top 20 U.S. Large Cap Index performance we would like to emphasize the following points:
Consistent excess return levels versus S&P 500 Index – mostly above 400 Bps throughout the year, and a high mark of 830 Bps at year end. Top 20 U.S. Large Cap Index delivered a +9.6% return in 2015.
Majority of the 830 Bps excess return (Active Return by Bloomberg definition) was contributed by the “Selection” process behind the index strategy.
QAS risk valuation –based selection process continued to deliver superior results in 2015.