QAS MODEL PORTFOLIO PROGRAM 2024 YEAR-END SUMMARY
TOP 3 OUTPERFORMING QAS STRATEGIES FOR 2024
- QAS GOLD LONG-SHORT STRATEGY
- QAS INDIA 20 STOCK SELECTION STRATEGY
- QAS US HIGH-YIELD BOND 50/50-30 TILT STRATEGY (SYNTHETIC US BOND EXPOSURE)
1. QAS GOLD LONG-SHORT STRATEGY
QAS Gold Long-Short strategy performed remarkably well in 2024. There are several important aspects of this strategy that we wanted to highlight in this year-end summary report.
Alpha Generating Leader (2024 and 3-Yr Return)
Source: Bloomberg
QAS Gold Long-Short strategy returned +39.9% in 2024 vs. +26.6% GLD benchmark. Its’ 3-yr cumulative return was +112.4% vs. +41.6% of its benchmark. This nearly 3x outperformance was achieved with a 4-regime allocation algorithm (including leverage) that analyzes gold price momentum only once a week, completely disregarding the “daily noise”. This strategy had an average of 1.8 trades (regime switches) per month in 2024. This is a fraction of typical trading activity by a CTA fund.
Outperforming All Asset Classes
As we mentioned in our alerts during 2024, this strategy significantly outperformed vs. all asset classes during the 2022-2024 period. The 3-yr cumulative return against SPY is a good illustration of this track record. The QAS Long-Short Strategy gained almost a 4x excess return vs. SPY during this period.
Source: Bloomberg
A year-by-year comparison against major equity, fixed income and commodity benchmarks shows the strong alpha generation ability of this quantitative strategy over the years.
Source: Bloomberg
The total 3-yr cumulative return comparison table is even more impressive. Although there is some single year underperformance vs. DBC in 2022 and vs. QQQ in 2023, this was completely balanced out with the strategy’s overall performance during the 3-yr period. The cumulative return difference across all asset classes is in the range between 70%-147% (!!). This means that the QAS Gold L/S strategy can potentially improve the risk-return profile of any multi-asset portfolio.

Source: Bloomberg
Ultimate Hedge
The QAS Gold Long-Short strategy is well positioned to serve as an ultimate hedge for any multi-asset portfolio structure. We can make this conclusion not based solely on its performance during 2022 (when there was literally nowhere to invest), but based on its 3-yr correlation matrix across all asset classes.

Source: QAS Research
These noticeably low correlation numbers vs. major benchmarks across all asset classes support the idea that this quantitative strategy can be used as an effective hedge in various multi-asset portfolios. Its’ consistent alpha generation capability suggests a potentially sizeable allocation within a portfolio, especially during prolonged negative market conditions.
It is very easy to replicate regime changes driven by this strategy. Each of the four regimes is represented by only one ETF:

Source: QAS Research
As of 01-07-2025, this strategy was in Regime 3 (Cash, SHY).
Our outlook for 2025 remains very positive for Gold. Gold made an important multi-year breakout and achieved an all-time high in 2024. This is a new era for Gold, and the new playbook is in place, which takes into consideration some new geo-political, economic and other aspects that did not previously exist.
However, despite a clear upside potential for Gold in the near future, we have to be prepared for possible deep and long corrections that are typical for this commodity instrument. We are confident that our multi-regime strategy is well-equipped to provide investors with an adequate level of risk management.
2. QAS INDIA 20 STOCK SELECTION STRATEGY
Source: Bloomberg
In response to our institutional clients’ requests, we’ve made significant improvements to our India stock market database of roughly 400 main companies (in local currency) in all market-cap categories. Currently, this database consists of various points of analysis, including the “quantamental-ready” QAS Score, Level 2 Sector analysis and more.
The QAS India 20 Stock Selection Strategy ended 2024 with a strong +14.3% return vs. +10.2% NIFTY 50 TR. Its’ 3-year cumulative return is currently +111.1% vs. +42.1% NIFTY 50 TR and +15.9% iShares MSCI India ETF (INDA).
This is a concentrated 20 stock selection “long-only” model portfolio with monthly rebalancing. Each month, all stocks go through an automatic review for the unique combination of – (a) QAS absolute and (b) QAS relative momentum parameters. Stocks with a positive “(a)+(b)” configuration remain in the portfolio, while stocks with a negative reading (s) will be replaced according to the QAS Score ranking system.
The current portfolio composition is as follows (January 2025 Rebalancing):

Source: QAS Production
3. QAS S-126 US HIGH-YIELD BOND 50/50-30 TILT STRATEGY (SYNTHETIC US BOND EXPOSURE)
Source: Bloomberg
The US Bond market has been in a spiral of decline since 2020 with a substantial drawdown in 2022 responding to a high inflation/ high interest rate economic environment. All major US bond benchmark ETFs delivered very low returns on a 3-yr annualized and cumulative return basis:

Source: Bloomberg
In contrast, QAS US High-Yield Tilt 50/50-30 Strategy had a positive return (+2.1%) during that same period (2022-2024). This strategy returned +5.4% in 2024 vs. -0.6% (IEF) and +1.3% (AGG), thus becoming one of the Top “alpha-generation” strategies within the QAS Model Portfolio Program.
These positive returns were achieved by our unique 3-regime “exposure-tilting” algorithm, where a hypothetical 50/50 benchmark, consisting of US High-Yield Bond (HYG) and US Treasury 7-10yr (IEF), was periodically tilting a 30% exposure to overweigh an instrument with a better momentum configuration according to the QAS risk methodology.
This strategy is currently in Regime 3 – 50/50 allocation.
This quantitative approach allowed us to create a synthetic US bond exposure strategy with improved risk-return characteristics. We believe that often-overlooked high-yield bonds can be effectively used by investment managers. We offer a comprehensive risk framework that allows for identification of “Risk On/Off” periods in order to generate better returns.
Happy New Year from all of us at QAS!
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