Quantumrock gives VSOP update for February 2021: February: +0.49% / +26.53% LTM

“The drop in infections and the rapid vaccination rollout continued to drive markets higher in February. Equity markets closed the month with positive returns, despite a drop towards the end of the month. The rotation in favor of value and small caps continued as a result of the expected post-pandemic normalization and rising bond yields. The performance insights indicated in the graph above further reflect that our strategies’ tail hedging capabilities are performing well in these unpredictable market conditions.” Commenting on the performance, Michael Zeller, CIO

At the end of February, the 10-year Treasury yield surged above 1.5%, exceeding the estimated dividend yield on the S&P 500 Index, which stood at about 1.43%. The S&P 500 Index lost 2.5% on one of its worst days so far in 2021 and caused a jump of more than 13% in the VIX Index. One of our tail hedge strategies, "Equity Protect VIX", which monitors spikes in the VIX index, was able to catch this surge, hedging the portfolio's long equity and bond exposure highly effectively.

The strategy contributed on that day with +2.2% and compensated the losses in equity and bonds exposures. It has one more time demonstrated its remarkable capacity in providing downside protection and generating alpha in volatile markets.

 

The portfolio closed the month with +0.49%. Volatility strategies contributed with +1.61%. Autocorrelation strategies on the S&P500 and US Treasuries contributed with -1.11%.

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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 peak 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.

Please note that for illustrative purposes the inofficial NAV from Friday, February 26, 2021, 10 pm CET was used. This is after the official NAV at 5 pm CET and therefore the change in performance was realized the next day, on March 1, 2021.

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 for 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 for 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 for future performance.