Quantumrock : Quantumrock VSOP

Year-to-Date
2.86%
Jun Performance
0.00%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
15.05%
Sharpe (RFR=1%)
0.68
CAROR
10.71%
Assets
$ 65.0M
Worst DD
-9.91
S&P Correlation
-0.14

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2016
Quantumrock VSOP 0.00 0.57 2.86 -1.97 38.70 66.29 - 66.30
S&P 500 2.22 8.17 18.13 43.11 63.21 109.25 - 102.05
+/- S&P 500 -2.22 -7.60 -15.26 -45.08 -24.51 -42.95 - -35.76

Strategy Description

Summary

Quantumrock's Volatility Special Opportunities Program (VSOP) consists of various sub-strategies that follow an absolute return approach and are minimally correlated amongst each other. The program dynamically invests in S&P500 Futures and Treasury Futures seeking alpha in bullish... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 4.00
Management Fee 1.50%
Performance Fee 15.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD 3.50%
Worst Peak-to-Trough -10.69%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 70.00%
Intraday 30.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Pattern Recognition
20.00%
Seasonal/cyclical
15.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Interest Rates
40.00%
Stock Indices
30.00%
VIX
30.00%
Composition Pie Chart

Summary

Quantumrock's Volatility Special Opportunities Program (VSOP) consists of various sub-strategies that follow an absolute return approach and are minimally correlated amongst each other. The program dynamically invests in S&P500 Futures and Treasury Futures seeking alpha in bullish market phases. Additionally, VSOP aims to provide an effective intraday and short-term tail hedge through situative long VIX exposure. The objective is to predict and to capture volatility spikes induced by downturns in equity markets and to (over-)compensate potential losses. The AI-driven systematic investment process continuously optimizes all relevant trading parameters to ensure that all models adapt to market changes regularly. Signal generation, as well as order execution, are fully automated. VSOP is minimally correlated to most institutional or professional portfolios and therefore provides excellent diversification effects.

Investment Strategy

Quantumrock's Volatility Special Opportunities Program (VSOP) consists of various sub-strategies that follow an absolute return approach and are minimally correlated amongst each other. The program dynamically invests in S&P500 Futures and Treasury Futures seeking alpha in bullish market phases. Additionally, VSOP aims to provide an effective intraday and short-term tail hedge through situative long VIX exposure. The objective is to predict and to capture volatility spikes induced by downturns in equity markets and to (over-)compensate potential losses. The AI-driven systematic investment process continuously optimizes all relevant trading parameters to ensure that all models adapt to market changes regularly. Signal generation, as well as order execution, are fully automated. VSOP is minimally correlated to most institutional or professional portfolios and therefore provides excellent diversification effects.

Risk Management

VSOP is fully automated ensuring best possible performance as well as immunity to human biases. Advanced Artificial Intelligence and Machine Learning methodologies are used to generate robust strategies and to minimise overfit. The strategies are self-optimising and adapt to market changes. The whole program is optimized for Sharpe ratio using a 10% target volatility. There is no "blackbox" involved anywhere in the investment process, neither during development nor execution. Human monitoring is an integral part of risk management.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-9.91 2 - 8/1/2020 10/1/2020
-7.61 1 1 1/1/2020 2/1/2020
-7.44 1 5 7/1/2016 8/1/2016
-4.91 3 1 10/1/2017 1/1/2018
-4.43 9 3 5/1/2018 2/1/2019
-4.29 3 2 5/1/2017 8/1/2017
-0.69 1 1 6/1/2019 7/1/2019
-0.66 1 1 9/1/2019 10/1/2019
-0.65 2 1 1/1/2017 3/1/2017
-0.41 1 2 2/1/2018 3/1/2018
-0.12 1 1 3/1/2020 4/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
22.99 1 3/1/2020 3/1/2020
12.39 1 7/1/2016 7/1/2016
10.54 4 5/1/2020 8/1/2020
9.12 4 3/1/2019 6/1/2019
8.77 3 11/1/2016 1/1/2017
8.11 1 2/1/2018 2/1/2018
6.01 2 8/1/2019 9/1/2019
5.16 3 11/1/2019 1/1/2020
4.49 2 9/1/2017 10/1/2017
4.33 3 2/1/2021 4/1/2021
3.99 2 11/1/2020 12/1/2020
2.68 2 4/1/2017 5/1/2017
2.34 1 10/1/2018 10/1/2018
2.12 1 9/1/2016 9/1/2016
0.66 1 12/1/2017 12/1/2017
0.64 2 4/1/2018 5/1/2018
0.01 1 7/1/2017 7/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.91 2 9/1/2020 10/1/2020
-7.61 1 2/1/2020 2/1/2020
-7.44 1 8/1/2016 8/1/2016
-4.28 4 11/1/2018 2/1/2019
-3.26 1 1/1/2018 1/1/2018
-2.44 4 6/1/2018 9/1/2018
-2.35 1 11/1/2017 11/1/2017
-2.26 1 8/1/2017 8/1/2017
-2.09 1 6/1/2017 6/1/2017
-1.26 1 10/1/2016 10/1/2016
-1.05 2 5/1/2021 6/1/2021
-0.69 1 7/1/2019 7/1/2019
-0.66 1 10/1/2019 10/1/2019
-0.65 2 2/1/2017 3/1/2017
-0.41 1 3/1/2018 3/1/2018
-0.36 1 1/1/2021 1/1/2021
-0.12 1 4/1/2020 4/1/2020
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Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.