fLAB fUNDS – 42, Rue de la Vallée L-2661 Luxembourg

Our approach: It’s all about Asset Allocation

In fLAB, Asset Allocation is the centre of all our decisions. We know that the key element to produce consistent returns is building a Disciplined, Global and Flexible Asset Allocation.

The most important debates in Asset Management in the last years have been regarding the existence/lack of Alpha as well as the fight between Active vs. Passive Management.

We don’t participate in these endless debates. Moreover, we have created Betalphing©: Active Asset Allocation using Passive Investments, or how to find Alpha through the best Beta Selection.

We follow closely every advance in asset allocation, and we have worked hard to separate the wheat from the chaff in emerging industry trends; rewarding true innovations and discarding mere marketing claims.

  • Our UCITS funds, fLAB Core & Satellite have outperformed their peers since inception in 2009

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Investment Philosophy

Since 2009, fLAB fUNDS have outperformed their peers.

fLAB Core es un fondo de Asset Allocation global que bajo la metodología Betalphing©, buscar obtener “Alfa” mediante la selección de las mejores “Betas”.

fLAB Satellite has Preservation as its main aim. It is a Relative Return Fund with a Minimum Sharpe Ratio Target.

Want to know more? Please open our:

Factsheet the CoreCommercial Brochure – pdf

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fLAB Core : Global Flexible Asset Allocation Fund through Betalphing©

Betalphing allows investors to outperform a traditional balanced/flexible allocation with a markedly lower volatility and a lower maximum drawdown, through a disciplined, smart and dynamic asset allocation. Betalphing is a two-steps investment methodology that aims to generate outperformance over the benchmark (also called “Alpha”) through an optimized asset allocation model. In other words, to get `Alpha´ through the best `Beta´ Allocation.

1) Strategically guided monthly asset allocation step:

A monthly Stock/Bond Model first generates the allocation to stocks, and then the balance of the portfolio is allocated between bonds and cash based on the reading of the Bond/Cash Model.

Stock returns are proxied by the MSCI World Total Return Index, bonds by the Barclay’s Global Long Term Treasury Total Return Index and cash returns are proxied by an equal-weighted average of the total returns of three-month Treasury securities from the U.S., Japan, U.K., Canada, and the Euro-Zone.

Benchmark used is 55-35-10

Model Transparency: The 22 allocation indicators that we use for our Asset Allocation are the key point of our Fusion Analysis. They are a perfect sample of our 5 types of analysis: trend, valuation, sentiment, economic & interest rate indicators:

2) Tactical Asset Allocation Step:

Once we have designed the Monthly Asset Allocation, we run our sub-models:

  1. The Sector and Geo Equity Models to allocate between Sectors and Countries

  2. The Bond Geographical and Duration Model: Countries and curve strategy

  3. The Currency Hedge Overlay Model

We mainly implement Betalphing through UCITS Compliant ETFs as well as Futures if needed. Benefits of Asset Allocation Using ETFs:

  • Diversification – instant exposure to a variety of asset classes

  • Transparency – exact understanding of the underlying securities

  • Low Expense Ratios – allow for a fully-allocated multi asset portfolio at a lower cost to a single asset class fund

  • Flexibility – high liquidity enables fast, easy moves among asset classes

Choosing an ETF over another is complex and challenging. Once a benchmark is selected, assessing the quality of ETF candidates is a specific task that requires disciplined steps.

Betalphing ETF Selection Criteria:

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fLAB Satellite : Dynamic and Global Flexible Relative Return Fund

Asset Allocation is the center of all our decisions. We know that the key element to produce consistent returns is building a Disciplined, Global and Flexible Asset Allocation.

We know Absolute Return Funds are quite popular, but we think most of them are quiet inefficient. They were created when interest rates were between 3% and 5%. At that time, offering Libor+200bp was usual and achievable if the Manager had the right skills.

Now at current situation, when World Risk-Free Rates are 0% or even negative, we think that offering this type of Absolute Return Funds, trying to deliver hundred times the current Risk Free Rate is not feasible.

Risk-free rates change. We cannot affirm we will achieve T-Bills + 3%, under any level of risk-free rate. We have to adapt our target dynamically. That´s why the excess return we try to obtain above T-Bills changes, as we adapt to different levels of maximum accepted volatility

We have created a new fund concept: a Relative Return Fund with a Minimum Sharpe Ratio Target. In a game of non-stable correlations, fLAB Satellite role is to try and find the best combination between assets to provide positive relative returns. In essence, fLAB Satellite target is to maximize the Sharpe Ratio.

Our minimum Sharpe Ratio target will be always 0.33
(sharpe ratio = excess return over T-Bills / Volatility)

The most important part of the Portfolio is a Fixed Income Portfolio. Then we may add an overlay of liquid assets, mainly through ETFs: Commodities (Metal, Energy, Agriculture, Precious Metals), Currency Products, Inflation Linked, High Yield, Convertible Bonds, Credit Markets, Equity Strategies, and a few more sub-assets.

We will add ETFs that invest in these type of assets, to our Fixed Income Risk Off Portfolio, only if our fLAB Satellite Indicators allow us to do so. We have to keep the Sharpe Ratio above the promised target. We use 3 type of indicators to evaluate if we are to add those ETFs:

1) In House Momentum Indicators of each asset class (ETFs/ETNs) to be added short-term (up to 6 months) or mid-term.

2) Correlation Matrix between the assets included in fLAB Satellite and the traditional ones, and also correlation and covariance between all assets.

3) Volatility Windows of all assets and the aggregated one.

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The Funds

fLAB Core, Global Flexible Asset Allocation Fund:

Our long-term allocation to stocks, bonds and cash, based on our goals and tolerance for risk. Sometimes called investment policy, it shouldn’t change just because the market moves up or down. We call it CORE, and our product is fLAB Core:

The performance of the fLAB Core UCITS fund is impressive. Both real data since inception (June 2009) and previous model performance demonstrates one of the most robust patterns in the industry.

fLAB Satellite, Global Flexible Relative Return Fund:

We have learnt that an exposure to a fixed income diversified portfolio + an overlay composed by some ETFs that invest in other asset classes has proved to be a good hedge to adverse market movements, in order to produce Absolute & Relative Return patterns. We call it SATELLITE, and our product is fLAB Satellite.

The fLAB Satellite UCITS fund’s Risk Profile is very different from its peers. fLAB Satellite´s main aim is Preservation, following a Minimum Sharpe Ratio Target.

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Current Portfolio

 

fLAB Core

fLAB Satellite

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FactSheets & NAVs

Factsheet the CoreFactsheet the Core   download pdf file

 

Factsheet the CoreFactsheet the Satellite   download pdf file

  • UCITS established in accordance with the provisions of the 2010 Law on undertakings for collective investment, as amended. All dividends and investment revenues are capitalized
  • Base Currency: EUR, Available also in USD, GBP and SGD (hedged classes)
  • Management fee:

– fLAB Core 0.66% (EUR A share); 1.66% (EUR B share); 1.16%  (EUR C share & Hedged share classes: H-USD, H-GBP and H-SGD)

– fLAB Satellite 0.66% (EUR A share); 1.16% (EUR B share); 0.91% (EUR C share & Hedged share classes: H-USD, H-GBP and H-SGD)

  • Performance fee: a percentage of the annual performance of the compartment:

– 5% (A share); 10% (B share); 7.5% (C share, H-USD, H-GBP & H-SGD shares) all subject to a high watermark principle.

  • Subscription & Redemption fee: 0%
  • Taxation: no withholding tax
  • Management Company: Casa4Funds
  • Investment advisor: Market LAB Luxembourg sarl
  • Depositary Bank: Banque et Caisse d’Epargne de L’Etat Luxembourg (BCEE: Aa2/AA+)
  • Regulator: Commission de surveillance du Secteur Financier (CSSF)
  • Registrar & Transfer Agent: EFA – European Fund Administration
  • Auditor: Ernst & Young
  • Net Asset Value, Reporting & Liquidity: daily

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About us

 

Who is Who

 

1) Management Company

  Casa4Funds

Casa4Funds is our Luxembourg based Management Company.

2) Research

Ned Davis Research

We only use independent research provided by Ned Davis Research for our Asset Allocation decisions. Since 1980, NDR has worked with some of the world’s largest investment managers to provide a full range of sophisticated analytical tools, a high level of data integrity and highly responsive customer support.

3) Custodian Bank

Banque et Caisse dEpargne de lEtat

Our Custodian Bank is Banque et Caisse d´Epargne de l´Etat, Luxembourg. Aa2/ AA+ by Moodys and S&P. This makes BCEE one of the most highly rated financial institutions in the world.

4) Auditor

Ernst&Young

Ernst&Young is the Auditor of the Funds since inception

5) Regulator

cssf

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fLAB News & Media

 

  • Speakers at Expert Investor Spain, Madrid June 2016

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  • Speakers at 11th Private Banking Asia Conference, Marina Bay Sands, Singapore March 2015

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  • Speakers at Singapore Expert Investor Seminar, October 2013

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  • Speakers at Dubai Financial Summit, March 2013

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  • Star newcomers in Europe’s elite, Luxembourg Feb 2013

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  • ETF&Indexing Investments, Madrid Junio 2011

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Contact

 

fLAB fUNDS Sicav

Société d’investissement à capital variable

Registered office: 42, rue de la Vallée, L-2661 Luxembourg

Grand-Duchy of Luxembourg

R.C.S. Luxembourg B 171.733

info@flabfunds.com / www.flabfunds.com

 

Casa4Funds SA

Management Company

42, rue de la Vallée, L-2661 Luxembourg

Grand-Duchy of Luxembourg

+352 27 726 100

info@casa4funds.com / www.casa4funds.com

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