VOLATILITY SPECIAL OPPORTUNITIES PROGRAM - VSOP

Quantumrock's Volatility Special Opportunities Program (VSOP) consists of various sub-strategies that follow an absolute return approach and are minimally correlated amongst each other.

The program dynamically invests in S&P500 Futures and Treasury Futures seeking alpha in bullish market phases. Additionally, VSOP aims to provide an effective intraday and short-term tail hedge through situative long VIX exposure. The objective is to predict and to capture volatility spikes induced by downturns in equity markets and to (over-)compensate potential losses. The AI-driven systematic investment process continuously optimizes all relevant trading parameters to ensure that all models adapt to market changes regularly. Signal generation, as well as order execution, are fully automated. VSOP is minimally correlated to most institutional or professional portfolios and therefore provides excellent diversification effects.

VOLATILITY SPECIAL OPPORTUNITIES PROGRAM - VSOP

GROSS PERFORMANCE SINCE 2016*

*Source: Quantumrock; gross performance (BVI method): 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. Unless otherwise specified, all indicated performance data on this website show the gross performance. Please note: Past performance is not a reliable indicator for future performance.

Key Performance Indicators*

-0.20%

January 2021 - MTD Gross Performance

-0.20%

Year-to-Date Gross Performance

91.58%

Total Gross Performance since July 2016

15.26%

Average Gross Return p.a

1.59

Sharpe Ratio rolling 12 Months (gross)

13.00%

Realized Volatility p.a. (gross)

VSOP STRATEGY EXPLAINED BY CIO MICHAEL ZELLER

MONTHLY COMMENTARY - JANUARY 2021

The market experienced a bumpy road in January. While the S&P 500 rallied over +2% in the first half of January, it tumbled -3.3% during the last week of the month amid a short-squeeze on short-sellers and mixed tech earnings. Although the FOMC reiterated its full support of the economy backed by its ultra-accommodative monetary policy, the market sell-off stressed investors and the VIX spiked considerably hitting a peak at 37 on the 27th of January. On the fixed-income side, the 10-year Treasury note yields slightly rose pushed by the Biden administration's stimulus plan.

The portfolio closed the month with -0.2%. The Volatility Intraday strategies performed positively with a contribution of +0.7%, while treasury strategies fell short and underperformed this month with -0.5%. Long equity exposures led to a negative contribution of -0.4%

Monthly Returns (%)

2021

-0.20

-0.20

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

Yearly Performance (%)

*Source: Quantumrock; gross performance (BVI method): 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. Unless otherwise specified, all indicated performance data on this website show the gross performance. Please note: Past performance is not a reliable indicator for future performance.

**Source: Quantumrock; the net performance assumes a model calculation with the highest, default fees with 2.00% management fee and 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.) Please note: Past performance is not a reliable indicator for future performance.

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.

Speculative risk
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.