August 2020: AI driven strategy up by +1.83% in August (+39.53% YTD)

 

“August marked the end of the second-quarter of US stock market earnings season, which surprised on the upside relative to weak expectations.

Even though earnings per share were down 33% year-on-year, 84% of companies beat analyst expectations and a large number of firms also revised their guidance higher for the coming quarters.

Unsurprisingly, the healthcare and information technology sectors were particularly strong while the energy sector’s earnings were the hardest hit. The S&P 500 and the NASDAQ rallied +7.2% and +9.7% respectively over the month.

While VSOPs overlay portfolio lost performance trading long volatility, it gained positive results on long treasury strategies. Overall, the overlay strategies gained +0.1%, while the balanced component moved with the market and contributed +1.73%, resulting in an overall performance in August of +1.83%.” Commenting on the performance, Michael Zeller, CIO

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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. 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.
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.

About the Volatility Special Opportunities Program (VSOP)
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. 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. In total the portfolio shows a lower risk profile than the S&P 500, hence VIX long strategies reduce the beta to the S&P 500 by hedging the tail risk.