Treasury Alpha Add-On

Quantumrock's Treasury Alpha Add-On times the market to achieve an alpha-driven protection of clients' portfolios against rising interest rates, and significantly reduce the cost of protection compared to traditional hedging approaches, such as Interest Rate Swaps.

Traditional hedging approaches entail significant challenges, especially high costs or protection. Continuous short exposure (or put options), come at a hefty price (negative cost of carry) that will offset any expected returns during periods of low volatility. Interest Rate Swaps provided by banks are expensive protection tools due to high banking fees.

Using advanced and highly proprietary Artificial Intelligence and Machine Learning technics, we developed systematic strategies that predict the market and take short positions in the 10-Year US Treasury Future situatively rather than continuously.

By timing the market instead of holding continuous positions, we achieve an alpha-driven protection of clients' portfolios against rising interest rates, and significantly reduce the cost of protection compared to traditional hedging approaches, such as Interest Rate Swaps.

The Treasury Alpha Add-On observes the current levels of the implied volatility of the 10-Year US Treasuries and the implied volatility of the S&P 500. By comparing those figures closely, the Alpha Add-On takes opportunistic short position in US 10-Year Treasury Futures. It further observes typical price patterns that tend to indicate intraday rises in interest rates.

Such anomalies occur on average once or twice a week. Accordingly, the Alpha Add-On takes short positions in the 10-Year US Treasury Future to protect clients' portfolios against rising interest rates intraday.

The strategies are alpha-driven and require risk tolerance towards short-term drawdowns.