Quantumrock’s VSOP update for November (+30.66%)

“What was touted in many 2020 outlooks as the big event of the year, the US election passed without upsetting the markets too much as they awaited the news that Joe Biden is to be the next president. Meanwhile, an end to the Covid-19 crisis is now in sight with the first three vaccines are ready to be deployed. The path to recovery, however, may still be bumpy over the coming quarters as governments grapple to control the virus during the winter months. With the S&P 500 gaining almost +11%, VSOP closed the month with +4.15%. The alpha overlay contributed with +0.48%, trading mainly seasonality patterns on long S&P 500 future exposures. The balanced component of the portfolio added an additional +3.67%.” 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.