“As the northern hemisphere headed firmly into autumn, the October news flow was dominated by two topics: the resurgence of Covid-19 in Europe, and the upcoming US elections. Markets spent much of the month in wait-and-see mode before the announcement of widespread restrictions across Europe in the final days of the month tipped the balance of risks to the downside. The underperformance was mainly a result of overlay strategies that have been traded on the SP500 and 30Y Treasury during the last week in October. While trading the recovery strategy we kept nearly a 100% S&P exposure from 26th to 28th October. The S&P 500 lost significantly and the strategy contributed to our overall performance with -4.32%. Later that week we traded a treasury seasonality strategy and lost an additional -1.71% on two trading days. The balanced component of the portfolio contributed with -1.52% over the whole month, whereas the overlay component signed the month off with a contribution of -4.96%.” Commenting on the performance, Michael Zeller, CIO
Quantumrock VSOP YTD Performance, as of October 31, 2020
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.
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.