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AI-driven hedge fund Quantumrock sees positive performance in February 2021

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Despite difficult market conditions, Quantumrock’s flagship strategy, Volatility Special Opportunities Program (VSOP), has closed February with +0.49 per cent.

At the end of February, the 10-year Treasury yield surged above 1.5 per cent, exceeding the estimated dividend yield on the S&P 500 Index, which stood at about 1.43 per cent. The S&P 500 Index lost 2.5 per cent on one of its worst days so far in 2021 and caused a jump of more than 13 per cent in the VIX Index. One of our tail hedge strategies, “Equity Protect VIX”, which monitors spikes in the VIX index, was able to catch this surge, hedging the portfolio’s long equity and bond exposure highly effectively.

The strategy contributed on that day with +2.2 per cent and compensated the losses in equity and bonds exposures. It has one more time demonstrated its remarkable capacity in providing downside protection and generating alpha in volatile markets.

The portfolio closed the month with +0.49 per cent. Volatility strategies contributed with +1.61 per cent. Autocorrelation strategies on the S&P500 and US Treasuries contributed with -1.11 per cent.

Michael Zeller, CIO of Quantumrock, says: “The drop in infections and the rapid vaccination rollout continued to drive markets higher in February. Equity markets closed the month with positive returns, despite a drop towards the end of the month. The rotation in favour of value and small caps continued as a result of the expected post pandemic normalisation and rising bond yields. The performance insights indicated in the graph above further reflect that our strategies’ tail hedging capabilities are performing well in these unpredictable market conditions.”

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