AI driven volatility strategy continues to exceed expectations (+36.16% for the year)

Up in June by 9.87% and by an impressive 36.16% for the year, VSOP entails a systematic multi-strategy approach in the S&P 500 index volatility market with a real-money track record dating back to July 2016. It has performed consistently well despite the market pressures brought about by the COVID-19 crisis.

The program is composed of a Balanced Portfolio consisting of S&P 500 futures and treasuries with a duration risk of circa five years. It also trades overlay strategies on situational volatility patterns.

Following the Fed’s deeply concerning economic outlook coupled with the decision to forgo pumping further liquidity in the market, the rebound in equity markets came to an abrupt end in mid-June.

Markets tumbled and the S&P 500 lost ca. -9% in 4 days. VSOP’s overlay portfolio, however, was capable to overcompensate the losses in the balanced portfolio and gained throughout long volatility strategies +9.2%. Meanwhile, the balanced component performed with +0.67%.  

VSOP Performance Chart June 2020 VSOP Performance Chart June 2020
Source: Quantumrock; gross performance (BVI method): The gross performance considers all costs incurred at portfolio level (e. g. trading costs) and assumes reinvestment of any distributions. Costs incurred at customer level such as management and performance fees are not included. Unless otherwise specified, all indicated performance data in this presentation show the gross performance. Please note: Past performance is not a reliable indicator the future performance.
“Although June experienced one of the worst days for stock markets on record, these incredible results clearly demonstrate the robustness of our AI systems and the extent to which they can inform our decision-making processes. Despite the current market volatility, there are always great opportunities to be found throughout all points of the market cycle, and we continue to prove that our business remains well-placed to source them for all of our clients.” Commenting on the performance, Stefan Tittel, CEO