“The market experienced a bumpy road in January. While the S&P500 rallied over 2% in the first half of January, it tumbled -3.3% during the last week of the month amid a short-squeeze on short-sellers and mixed technology earnings.In the graph below, you can see that the distribution of VSOP’s returns shows significantly smaller negative tails than the S&P500. This tail behaviour can be fully attributed to the VSOP’s alpha strategies, which have resulted in less extreme losing days compared to a traditional equity portfolio.” Commenting on the performance, Michael Zeller, CIO
Quantumrock VSOP YTD Performance, as of January 31, 2021
Whilst the overall monthly performance was down, the overlay portfolio’s performance was positive contributing +0.6% to the portfolio. The beta portfolio lost 0.8%. The underlying reason for this was due to the market sell-off which stressed investors and The VIX spiked considerably hitting a peek at 37 on the 27th of January. However, on the fixed income side, the 10-year Treasury note yields slightly rose pushed by Biden’s administration stimulus plan.
Quantumrock is also pleased to announce that it has been ranked within the top 10 in BarclayHedge's Yearly Performance Awards, ranking #4 in their ‘Financial/Metals Traders Managing More Than $10M’ category for 2020.
Stefan Tittel, CEO of Quantumrock commented:
“We are delighted to be recognised at industry level for our outstanding performance last year. To be ranked fourth in BarclayHedge’s ‘Financial/Metals Traders Managing More Than $10M’ category for 2020 is phenomenal, and further reflects that now, more than ever, is the time to trust the machines to do the work for us.
What this past month has demonstrated is VSOP’s ability to hold out during periods of extreme market volatility. Although we finished the month of January slightly down, we are confidently committed to our pure AI focus, which stands up strong in difficult conditions.”
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.
About Quantumrock
Quantumrock is an AI-driven investment technology asset manager working to disrupt traditional asset management. Founded in 2012, our aim was to develop a systematic scientific investment process to generate sustainable risk adjusted returns for our proprietary trading activities. Now experts in machine learning and artificial intelligence methodologies, our clients turn to us to provide them with a competitive edge in today’s market.
