US Small Cap, US Large Cap with Leverage and Global High Yield

2017 was a good year for investors. Major equity benchmarks delivered double-digit returns with low volatility throughout the year.

QAS’ active investment strategies adapted for a stable positive market condition and automatically utilized the most aggressive sources of alpha available in the QAS regime menu.

Among our best performing strategies in 2017 were the following:

1. QAS US Small Cap 20 Selection Strategy

Return (2017):        +19.2% vs. +14.5% (Russell 2000)

CAGR% (6-Yr):         +38.5% vs. +23.2% (Russell 2000)

Same as last year, this “long-only” strategy takes advantage of a low-risk environment and provides superior excess return (+22.4% return in 2016).

This strategy is focused on pure stock-selection in combination with an advanced position-sizing technique. The stocks are selected from the US Small Cap universe and show a positive QAS momentum indicator on both an absolute and relative basis.

2. QAS US Equity Multi-Regime Strategy

Return (2017):        +22.7% vs. +21.7% (S&P 500)

Cumulative (2-Yr):  +60.4% vs. +48.3% (S&P 500)

This ETF-based strategy has a great 2-Yr rolling alpha of +12%.

In the first half of 2017, the algorithm behind this strategy was mostly rotating in favor of either a Large or Small Cap exposure. Then starting in October the regime had changed to the most aggressive allocation with 50% in 2X Leverage US Large Cap exposure (ETF: SSO).

This is our most advanced ETF-based strategy that provides investors with up to 5 distinct sources of alpha and relies on our “highly-sensitive” risk analysis to identify various market conditions and appropriate market exposure from highly aggressive to maximum protection.

  1. QAS Global High Yield with Max Protection Strategy

Return (2017):       +6.9%   vs. +3.5% (US Aggr. Bond AGG)

CAGR% (10-Yr):     +14.2% vs. +3.9% (US Aggr. Bond AGG)

Sharpe (10-Yr):       4.5

This diversified Global High-Yield portfolio rotates exposure between US, EU and EM High-Yield ETFs, and also has a designated regime with 100% of US Short-Term Treasury exposure for maximum protection when High-Yield bonds go through negative periods. The powerful combination of the dynamic Global High-Yield exposure with disciplined downside protection is reflected in this portfolio’s superior Sharpe Ratio reading.

Overall, our strategies with multiple sources of alpha and higher risk instruments (Small Cap, Leverage, High-Yield) took advantage of a “Risk-On” environment and delivered great performance in 2017.

Please feel free to contact QAS for more information about our proprietary strategies, licensing programs available for asset management firms, and managed accounts programs for individual investors offered through our business partners – investment management firms.

We offer competitive alpha generation and portfolio risk management techniques.


© QAS 2018. Past performance may not be indicative of future results. Different types of investments involve varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment strategy, or product made reference to directly or indirectly in this article.