US corporate earnings for the first quarter were much stronger than expected. S&P 500 companies reported earnings growth of 47% (y/y) relative to consensus expectations for 20% growth. Despite the strong earnings performance, the S&P 500 rose only +0.7% in May. The US Federal Reserve acknowledged that it will need to think about tapering its bond purchases at some point. Having said that, the April minutes showed the Fed was broadly unmoved in its view on the economic outlook – calming fears of the punch bowl being taken away suddenly. The 10Y Treasury future closed the month with +0.55%.
The portfolio closed the month with -1.16%. Long volatility strategies contributed with -1.29% and short S&P 500 exposures added -0.25%. Autocorrelation strategies with exposures in the S&P 500 and 10Y Treasuries contributed with +0.38%.
Quantumrock VSOP YTD Performance, as of May 31, 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.