Quantumrock, the Munich-based AI investment technology firm, has announced its fifth month of strong performance for its flagship strategy Volatility Special Opportunities Program (VSOP).Up 37.02 per cent for the year, and by 0.63 per cent for the month, VSOP has continued to prove that it can deliver encouraging results when markets are relatively calm, as well as during times of volatility. This month, the balanced component moved with the market and contributed +2.42 per cent.
VSOP entails a systematic multi-strategy approach in the S&P 500 index volatility market with a real-money track record dating back to July 2016. The program is composed of a Balanced Portfolio consisting of S&P 500 futures and treasuries with a duration risk of circa five years. It also trades overlay strategies on situational volatility patterns. In total the portfolio shows a lower risk profile than the S&P 500, hence VIX long strategies reduce the beta to the S&P 500 by hedging the tail risk.
Michael Zeller, QuantumRock CIO, says: “Despite high-frequency data pointing to a halt in the recovery, particularly in the US, the S&P 500 gained +5.98 per cent in July. While VSOP’s overlay portfolio lost performance trading long volatility, it gained positive results on long treasury strategies – demonstrating that it is able to successfully seek out opportunities in the market and generate alpha even when markets are performing well.”
