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Q M S Advisors
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This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy.
Av. De la Gare, 1 | 1003, Lausanne | CH tel: 078 922 08 77 e-mail: info@qmsadv.com website: www.qmsadv.com
Global Growth
We ath e
Global Economic Growth indicators Global Energy Intensity factors Supply Capacity: Oil and Gas Extraction, Refinery capacity Term-Structure: Commodity Futures and Global Interest Rates Global Commodity Inventories and SPR builds Producers, Consumers, Exporters and Importers Flows (IEA) US Dollar Currency Basket Global Risk Aversion Parameter Wet freight index Capital Expenditures in the energy complex Exploration Spending CFTC reports - Hedgers and Speculators positions Global weather trends OPEC Policies and Discipline
nNo EC OP pply Su
OPEC Discipline
Wet Freight
Ge op S o ho litica ck s l
Pip
s ne eli
Q.M.S Advisors Evaluates All Aspects of the Energy Complex to Derive Long-term Expectations
Q.M.S Advisors
Relative Value
R e fi nin g
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 1
Integrating Module
Source: Q.M.S Advisors, IEA, EIA These materials do not contain any recommendation to buy or sell or a solicitation of an offer to buy or sell any securities or investment services. Credit Suisse Asset Management, LLC provides no determination of suitability or assurances or guarantees regarding the performance of any investment or investment strategy. You are responsible for conducting your own independent investigation and analysis, taking into account your particular circumstances, before deciding upon a particular investment or investment strategy. Investments in certain asset classes, including hedge funds, carry significant additional risks that you should consider prior to investment. You accept complete responsibility for any investment decisions you may make as a result of your use of this material.
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 2
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 3
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 4
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 5
correlation distances
Grouping asset classes helps reveal the main sources of diversification Maximum portfolio diversification requires incorporating strategies at both ends of the spectrum Commodities offer maximum distances resulting in greatest diversification Caveat Commodities may not provide attractive alpha in all cycles (contango in commodity markets and negative roll-yield) Investing in commodities entails high volatility and more importantly drawdown risk
LESS CORRELATED
1
LESS CORRELATED
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
U.S. Inflation
0
60/40 Portfolio U.S. Mid Cap U.S. Large Cap Emerging Markets
Real Estate
DJ-AIG Commodity
Source: Q.M.S Advisors, Ibbotson, Matlab. Dendrogram based on unadjusted monthly total returns from January 1991 to December 2008.
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
GS Commodity
U.S. Bonds
U.S. Cash
Page 6
Caveat
Investing in commodities should be viewed as a long-term investment to mitigate significant volatility and drawdown risk
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 7
10
8
Expected Return on Current Portfolio
Source: Q.M.S Advisors, Ibbotson. Based on current 60% Fixed Income 40% Equity portfolio. Analysis based on Q.M.S Advisors Asset Class Assumptions. These materials do not contain any recommendation to buy or sell or a solicitation of an offer to buy or sell any securities or investment services. Credit Suisse Asset Management, LLC provides no determination of suitability or assurances or guarantees regarding the performance of any investment or investment strategy. You are responsible for conducting your own independent investigation and analysis, taking into account your particular circumstances, before deciding upon a particular investment or investment strategy. Investments in certain asset classes, including hedge funds, carry significant additional risks that you should consider prior to investment. You accept complete responsibility for any investment decisions you may make as a result of your use of this material.
Q.M.S Advisors
Av. de la Gare, 1 | 1003, Lausanne CH | tel: 078 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com
Page 8