Quantumrock, the German volatility-focused quantitative hedge fund manager, has seen returns soar in the first half of the year, with its flagship fund generating more than 36 per cent in the first half of 2020 following an eye-catching June gain of almost 10 per cent.
The Munich-based firm’s Volatility Special Opportunities Program (VSOP), which uses an equity futures-and-treasuries model built around AI trading throughout the market cycle, advanced 9.87 per cent last month, to bring its year-to-date showing to 36.16 per cent.
The strategy trades a balanced portfolio consisting of S&P 500 futures and treasuries with a duration risk of circa five years, combined with overlay strategies on situational volatility patterns.
As the S&P 500 slumped some 9 per cent over the course of four days last month when the stock market rally came to a shuddering halt, VSOP’s overlay portfolio stemmed losses in its balanced portfolio by capitalising on long volatility patterns with a 9.2 per cent rise. This added to the balanced component of the strategy’s 0.67 per cent gain.
“Although June experienced one of the worst days for stock markets on record, these incredible results clearly demonstrate the robustness of our AI systems and the extent to which they can inform our decision-making processes,” said Quantumrock CEO Stefan Tittel, who pointed to “great opportunities” throughout the market cycle in spite of current volatility.
Launched in 2012, the AI investment technology firm was previously known as RISE Wealth Technologies before rebranding as Quantumrock in June this year.
