Volatility

Crisis Alpha through Long Volatility

quantumrock has been developing trading models with the goal of enhancing clients’ portfolios since 2016. Multinational partners like Deutsche Bank and niche experts deploy the tailored strategies within their own investment products and portfolios.

Equity Alpha

The Equity Alpha strategy combines various alpha sources from long volatility (VIX Futures), short equity (S&P500 Futures), and equity recovery strategies (S&P500 Futures). quantumrock’s proprietary Machine Learning Platform screens the markets for trading signals predicting market corrections to generate so-called Crisis Alpha by timing positions according to the identified trading signals.

Equity Alpha aims to enhance client portfolios in crisis times showing its capabilities best when added to a portfolio. Investors tend to typically see an improvement in their portfolio metrics, particularly in the form of an improvement in average returns and a reduction in volatility and maximum drawdown of the portfolio.

Instead of holding fixed exposures, quantumrock´s AI Platform predicts the market’s short-termed movements and enters/exits positions accordingly, with the aim of minimising the cost of protection and bleed-out during non-volatile periods. This technologically driven approach has allowed the Equity Alpha to outperform other protection approaches significantly in the past.

quantumrock’s Equity Alpha is, therefore, an optimal diversifier in broader asset allocations and expected to improve the risk-return ratio of most client portfolios.

Indicative Historical Performance

Source: QREQA (Bloomberg ticker). Please refer to our disclaimer on the right for important legal notices. The strategy is trading as part of the quantumrock Absolute Return strategy which has a track record since 02|07|2016. The quantumrock Equity Alpha strategy’s gross returns are published daily on Bloomberg (Ticker: QREQA) and result from a frozen calculation algorithm, which is stored in an audit-proof manner with a timestamp and, if necessary, is traceable/reproducible for third parties upon request. The metrics depicted below reflect gross performance unless indicated otherwise. The gross performance considers all costs incurred at portfolio level (e. g. trading costs) and assumes reinvestment of any distributions. Costs incurred at customer level such as management and performance fees are not included. Net figures additionally include a management fee of 0.95% p.a. and 15% performance fee. For product-specific returns, please contact our respective product partners. The returns of individual products and share classes may differ due to deviating cost structures.

Absolute Return

The Absolute Return strategy targets market-independent returns via a dynamic combination of the most liquid asset classes: US equities (S&P500 Futures), US fixed income (10-Year US Treasury Futures) and volatility (VIX Futures).

The AI-driven investment approach aims to identify the optimal allocations to the three asset classes on a daily basis to generate market-neutral returns. To achieve this goal, the strategy combines long equity and bond bias (beta) and alpha-generating sub-strategies resulting in highly dynamic allocations to the three asset classes. In addition to market-neutral returns, the quantumrock Absolute Return strategy tries to generate so-called Crisis Alpha during market turmoil by combining various crisis alpha sources from long volatility, short equity, and equity recovery sub-strategies.

A multi-asset investment strategy combining performance sources in equities, fixed income and volatility with a 7+ year track record.

Instead of holding fixed exposures, quantumrock´s AI Platform predicts the market’s short-termed movements and enters/exits positions accordingly, with the aim of minimising the cost of protection and bleed-out during non-volatile periods. This technologically driven approach has allowed the Absolute Return to outperform other protection approaches significantly in the past.

Indicative Historical Performance

Source: QRABSR (Bloomberg ticker). The strategy has been traded in various investment products since 02|07|2016. The figures for gross and net returns over the total term are made up of the product trading the largest volume in the respective time period, i.e. the managed account U1512035 at Interactive Brokers (02|07|2016 to 09|02|2018), the Opus Charter. Iss. S.A. Cpmt90 certificate with ISIN DE000A2HPGN7 (09]02|2018 to 29|04|2020) and the Deutsche Bank certificate on their dBSelect platform with Bloomberg ticker FXSTQRK1 (since 29|04|2020). The quantumrock Absolute Return strategy’s gross returns are published daily on Bloomberg (Ticker: QRABSR) and result from a frozen calculation algorithm, which is stored in an audit-proof manner with a timestamp and, if necessary, is traceable/reproducible for third parties upon request. The metrics depicted below reflect gross performance unless indicated otherwise. The gross performance considers all costs incurred at portfolio level (e. g. trading costs) and assumes reinvestment of any distributions. Costs incurred at customer level such as management and performance fees are not included. Net figures additionally include a management fee of 2% p.a. and 20% performance fee with high watermark. The returns for individual products and share classes may differ due to deviating cost structures.

Disclaimer & Legal Notice