In April, expectations for economic growth turned from forecast to fact, as the reopening of economies lifted developed market economic data. Markets spent much of the first quarter of the year positioning for such developments and, as such, faded the fact, with 10-year Treasury yields falling back from their March peak of +1.75% to +1.53%, before ending the month at +1.63%. Equity markets had another strong month; the S&P 500 returned +5.3% on the month.
The portfolio closed the month with +2.09%. Intraday strategies trading on the S&P500 Futures contributed with 0.52%. Overall the S&P500 exposed strategies contributed with +2.15%. Treasury strategies on the 10Y and 30Y US Treasury futures gained +0.27%, whereas VIX Future strategies lost -0.33%.
Quantumrock VSOP YTD Performance, as of April 30, 2021
About the Volatility Special Opportunities Program (VSOP)
Quantumrock VSOP is an Equity Tail Hedge strategy. Applying a systematic approach, the strategy’s objective is to predict and capture volatility spikes induced by downturns in equity markets and to (over-) compensate potential losses, while also seeking alpha in bullish market phases.
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.