While closing 2020 up 30.93 per cent, Quantumrock’s flagship strategy Volatility Special Opportunities Program (VSOP) fell by 0.2 per cent in January.
Michael Zeller, CIO, says: “The market experienced a bumpy road in January. While the S&P500 rallied over 2 per cent in the first half of January, it tumbled -3.3 per cent during the last week of the month amid a short-squeeze on short-sellers and mixed technology earnings.
The distribution of VSOP’s returns shows significantly smaller negative tails than the S&P500. This tail behaviour can be fully attributed to the VSOP’s alpha strategies, which have resulted in less extreme losing days compared to a traditional equity portfolio.”
Whilst the overall monthly performance was down, the overlay portfolio’s performance was positive contributing +0.6 per cent to the portfolio. The beta portfolio lost 0.8 per cent. The underlying reason for this was due to the market sell-off which stressed investors and The VIX spiked considerably hitting a peek at 37 on the 27th of January. However, on the fixed income side, the 10-year Treasury note yields slightly rose pushed by Biden’s administration stimulus plan.
Quantumrock has been ranked in the top 10 in BarclayHedge’s Yearly Performance Awards, ranking No4 in their ‘Financial/Metals Traders Managing More Than USD10M’ category for 2020.
Stefan Tittel, CEO of Quantumrock, says: “We are delighted to be recognised at industry level for our outstanding performance last year. To be ranked fourth in BarclayHedge’s ‘Financial/Metals Traders Managing More Than $10M’ category for 2020 is phenomenal, and further reflects that now, more than ever, is the time to trust the machines to do the work for us.
“What this past month has demonstrated is VSOP’s ability to hold out during periods of extreme market volatility. Although we finished the month of January slightly down, we are confidently committed to our pure AI focus, which stands up strong in difficult conditions.”
