Why doesn't setLocation() move my label?

I have the following code where I try to place a JLabel in a custom location on a JFrame.

public class GUI extends JFrame 
{

    /**
     * 
     * @param args
     */
    public static void main(String args[]) 
    {
        new GUI();
    }
    /**
     * 
     */
    public GUI() 
    {
        JLabel addLbl = new JLabel("Add: ");
        add(addLbl);
        addLbl.setLocation(200, 300);
        this.setSize(400, 400);

        // pack();
        setVisible(true);
    }
}

It doesn't seem to be moving to where I want it.