VOLATILITY SPECIAL OPPORTUNITIES PROGRAM - VSOP

Quantumrock's Volatility Special Opportunities Program (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's Volatility Special Opportunities Program (VSOP) intends to provide an effective equity tail hedge through situative long VIX exposure, which offers downside protection, without a negative carry compared to traditional long volatility approaches. During bullish market phases, VSOP’s long equity bias tends to generate positive returns.

VSOP has a minimal correlation to the equity market, which should ultimately lead to reduced risks and higher expected returns at the overall investor portfolio level.

Risk notice

The VSOP strategy is classified in the second highest risk class 6 out of 7 risk classes and involves considerable risks of loss.

The tail hedge strategy has the objective of hedging equity positions, but as a result of the strategy's methodology, it must not be understood as a "guaranteed hedge". The strategy can incur similar losses or even more than a comparable pure equity portfolio.

The tail hedge strategy is represented by derivatives. Derivatives in general include, among other things, mid-market default risk and minimal exchange rate risks in addition to market price risk.

Past performance is not a reliable indicator of future performance.

VOLATILITY SPECIAL OPPORTUNITIES PROGRAM - VSOP

The VSOP strategy has been traded in various investment products since 07|2016. The figures for gross and net returns over the total term are made up of the product trading the largest volume in the respective time period, the managed account U1512035 at Interactive Brokers (07|2016 to 02|2018) equipped with seed money and managed by Quantumrock Capital GmbH, the Opus Charter. Iss. S.A. Cpmt90 certificate with ISIN DE000A2HPGN7 (02|2018 to 04|2020) and the Deutsche Bank certificate on the dBSelect platform with Bloomberg ticker FXSTQRK1 (04|2020 to date). All of the aforementioned investment products as well as the UCITS fund "Quantumrock VSOP" trade the same strategy. Definition of gross and net returns see at the bottom of this page.

ROLLING 12-MONTHS RETURNS (%)

GROSS AND NET PERFORMANCE SINCE 07|2016

KEY PERFORMANCE INDICATORS

1.06

Sharpe Ratio Since Inception

12.36%

Realized Volatility p.a.

GROSS MONTHLY RETURNS (%)

2021

-0.20

0.49

2.47

2.09

-1.16

0.29

2.24

-1.42

-2.57

-1.29

0.82

Year

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

2020

4.23

-7.47

23.21

3.06

1.19

9.87

0.63%

1.83

-3.86

-6.47

4.15

0.20

30.93

2019

-0.09

-0.40

2.05

1.62

2.42

3.43

-0.25

6.16

0.19

0.47

1.06

0.47

18.30

2018

-3.09

8.41

-0.33

0.30

0.69

0.13

-0.98

-0.58

-0.11

2.52

-1.92

-1.28

3.36

2017

2.38

-0.24

0.13

1.33

1.68

-1.92

0.17

-2.08

2.34

2.45

-2.18

0.83

4.83

2016

12.55

-7.26

3.76

-1.10

3.44

3.25

14.39

GROSS AND NET YEARLY PERFORMANCE (%)

Start 07|2016. Current year always at the time of the previous month.

Definition of Gross and Net Performance

The returns of the VSOP strategy are composed of the managed account U1512035 at Interactive Brokers (07|2016 to 02|2018), the Opus charter. Iss. S.A. Cpmt90 certificate with ISIN DE000A2HPGN7 (02|2018 to 04|2020), and the Deutsche Bank certificate on the dBSelect platform with Bloomberg ticker FXSTQRK1 (04|2020 to date). 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. The net performance additionally considers 2.00% management fee, 20.00% performance fee. It does not include individual costs of the investor, such as a securities account fee. (To this effect, please refer to the price list of your securities account provider).
VSOP Factsheet

VSOP Factsheet

Download the current VSOP Factsheet

Disclaimer

General disclaimers
All product related information in this presentation is solely intended for professional investors in the EEA within the meaning of the Financial Instruments Directive 2014/65/EU (MiFID II Directive) of the European Parliament, to Accredited Investors in the U.S. as defined in Rule 501 of Regulation D promulgated under the Securities Act or persons which are authorized to receive such information under any other applicable laws.

The information and any disclosures provided in this document are in summary form and have been prepared solely for marketing and informational purposes only. Neither information nor any opinion expressed in this presentation has a binding character or constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. Such an offering of will be made only by means of a definitive confidential private offering memorandum and only in those jurisdictions where permitted by law.

This document serves as promotional material and is not mandatory. The strategy information provided in this presentation has been prepared for investors' general information. It is not designed to replace the investor's own market research nor any other legal, tax or financial information or advice. It does not contain all information required to make important economic decisions and may differ from information and estimates provided by other sources or market participants. We accept no liability for the accuracy, completeness or topicality of this document. All statements are based on our assessment of the present legal and tax situation. All opinions reflect the current views of Quantumrock and can be changed without prior notice.

In the case of any inconsistency between the information and disclosures contained herein and the information and disclosures contained in any relevant offering memorandum, the offering memorandum will control. Any purchase made on the basis of information and any disclosures not contained in or consistent with the offering memorandum will be solely at own risk.

Investment performance
The performance representations contained herein are not representations that such performance will continue in the future or that any investment scenario or performance will even be similar to such description. Any investment described herein is an example only and is not a representation that the same or even similar investment scenarios will arise in the future or that investments made will be profitable. No representation is being made that any investment will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between prior performance results and actual results achieved by a particular trading program.

Performance shown is gross. 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.

Because clients have different fee arrangements and depending upon the timing of a specific investment, net performance for an individual client may vary from the gross performance stated herein. Actual returns will vary among clients in accordance with the terms of the pertinent investment management agreements. Investment returns and the principal value of an investment will fluctuate and may be quite volatile and depend, among other things, on the tax treatment of the personal circumstances of each investor. In addition to exposure to adverse market conditions, investments may also be exposed to changes in regulations, change in providers of capital and other service providers. Investors risk loss of their entire investment. Past performance is no guarantee of future results.

Indices
References to indices contained herein are not intended to compare to the actual performance of Quantumrock, but solely for the purpose of comparison to certain industry segments. Reference to indices are for comparative purposes only. Holdings may vary significantly from the holdings that comprise the index above. Past performance of an index should not be construed as an indicator of future performance of your account.

Forward looking statements
Certain information contained in this material constitutes forward-looking statements, which can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “target,” “project,” “estimate,” “intend,” “continue,” or “believe,” or the negatives thereof or other variations thereon or comparable terminology. Such statements are not guarantees of future performance or activities. Due to various risks and uncertainties, actual events or results or the actual performance of the firm may differ materially from those reflected or contemplated in such forward-looking statements.

Illustrative purposes only
Examples of our processes and any other ideas presented herein are for illustrative purposes only. There is no guarantee that Quantumrock will acquire a position referenced in such examples or ideas or that any such position would be profitable.