Higher yield – lower volatility – higher Sharpe Ratio:
The results clearly show the advantage of the iQ-FOXX Factor Switch indices. iQ-FOXX uses a quantitative model to determine the switch between quality and value. Risk-On and Risk-Off signals control the allocation according to the iQ-FOXX method. Interest rate and commodity data as well as the general profit development flow into the decision-making process. Similar data is included in the model for the switch between developed and emerging markets, but currencies play a greater role here than, for example, interest rate developments. The reason for this is that emerging markets usually perform better when the dollar tends to weaken.
Compared to the World Equity Index with a return of +6.2% p.a., the iQ-FOXX DM / EM Switch Index outperformed the World Equity Index with a return of +11.5% p.a. – with a Sharpe Ratio of 0.97.
Chart sources: iQ-FOXX, Bloomberg. Period 01/2005 – 10/2018
No consultation: This information is for informational and illustrative purposes only and constitutes neither an individual investment recommendation nor an offer to buy or sell securities or other financial instruments. This report does not replace individual investor and investment advice. The information has been carefully compiled. However, no guarantee can be given for the accuracy and completeness of the information.