quantumrock Treasury Alpha Add-On

quantumrock’s Treasury Alpha Add-On combines systematic strategies that predict the US Treasury market and take occasional short positions in the 10-Year US Treasury Future targeting an alpha-driven enhancement of treasury portfolios with focus on rising interest rates.

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THE INVESTMENT APPROACH

quantumrock’s Treasury Alpha Add-On combines systematic strategies that predict the US treasury market’s movements and take short positions in the 10-Year US Treasury Future accordingly.

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 the S&P 500 during sell-offs with high volatility and analyses the behavior of the 10-Year US Treasury future’s volatility during this market phase. The Treasury Alpha Add-On predicts recovery dates in the equity market that will incur a risk off environment and a sell-off in the Treasury market.

The quantumrock Treasury Alpha Add-On further observes typical price patterns that tend to indicate intraday rises in interest rates.

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

Gross Financial Performance | Treasury Alpha Add-On

Source: QRTRA (Bloomberg-Ticker).

Risk Notice

All the benefits of the strategy presented are also offset by significant risks. quantumrock's strategies are generally rated in the second highest risk category (6 out of 7) and carry significant risk of loss. The strategy may suffer similar or even higher losses than a comparable portfolio. All strategies are represented by derivatives. Derivatives generally involve medium default risk and minimal foreign exchange risk, among other risks, in addition to market price risk. All strategies are alpha-driven and require risk tolerance to short-term drawdowns. Past or back-tested performance is not a reliable indicator of future performance

Client Benefits

Alpha-driven Enhancement of Treasury portfolios

focusing on rising interest rates, by occasionally taking short positions in the 10Y Treasury future

Significant reduction of protection costs

by timing the market instead of holding continuous positions

Continuous improvement

through regular retraining and modification by means of comprehensive data analysis

Regular expansion

resulting from high discovery rate of alpha sources due to automated AI Platform

GET IN TOUCH TO LEARN MORE ABOUT quantumrock TREASURY ALPHA ADD-ON!

GET IN TOUCH TO LEARN MORE ABOUT quantumrock TREASURY ALPHA ADD-ON!

Disclaimer

Risk Notice

All the advantages of the presented strategies are also offset by considerable risks. quantumrock’s strategies are generally classified in the second-highest risk class (6 out of 7) and involve considerable risk of loss. If a strategy has the objective of hedging or protecting positions, 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 portfolio. All strategies are 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. All strategies are alpha-driven and require risk tolerance towards short-term drawdowns. Past or backtested performance is not a reliable indicator of future performance.

Definition of gross / net returns

Gross performance takes into account all costs incurred at portfolio level (e.g. trading costs) and assumes reinvestment of any distributions. Costs incurred at client level, such as management and performance fees, are not included. Net performance also takes into account management fees and performance fees. Not included are individual costs of the investor, such as a custody fee.