VSOP closed the month of June up 0.29%. The 10-year Treasury yield eased throughout the month from over 1.6% to around 1.45% as the market is reevaluating the case for sustained inflation above 2% in the long run. On the equity side, the S&P 500 performed over 2% in its fifth positive month in a row. This market environment with subdued volatility did not offer many trading opportunities for our protection strategies. Nevertheless, VSOP’s capability to contribute positive performance in quiet times was underlined again in June.
Quantumrock VSOP YTD Performance, as of June 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.
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.