Quantumrock : Quantumrock VSOP

Year-to-Date
0.13%
Feb Performance
0.49%
Min Investment
€ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.53%
Sharpe (RFR=1%)
0.67
CAROR
10.87%
Assets
€ 60.7M
Worst DD
-9.91
S&P Correlation
-0.15

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
7/2016
Quantumrock VSOP 0.49 0.13 0.13 3.57 35.84 - - 61.87
S&P 500 5.94 8.65 4.76 33.19 44.98 - - 86.79
+/- S&P 500 -5.45 -8.52 -4.63 -29.62 -9.14 - - -24.92

Strategy Description

Summary

Quantumrock's "Volatility Special Opportunities Program" (VSOP) provides access to crisis alpha (downside protection) via a systematic and AI-optimized alpha overlay portfolio while ensuing stable returns during bullish market phases. VSOP is available to non-US clients via a UCITS... Read More

Account & Fees

Type Managed Account
Minimum Investment € 1,000k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor 4.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors No

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 70.00%
4-12 Months 0%
1-3 Months 0%
1-30 Days 10.00%
Intraday 20.00%

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) provides access to crisis alpha (downside protection) via a systematic and AI-optimized alpha overlay portfolio while ensuing stable returns during bullish market phases. VSOP is available to non-US clients via a UCITS fund (in EUR, USD & GBP) as well as managed accounts and Deutsche Bank's dbSelect platform, which are open for all investors.

Investment Strategy

VSOP is a systematic multi-strategy approach that combines the advantages of a dynamic beta portfolio with the short-term hedging and alpha generating capabilities of a volatility overlay portfolio. The dynamic balanced/beta portfolio component (S&P 500 futures / US bond futures) intends to generate risk-adjusted returns in bullish market phases by capturing positive market trends. The Volatility Alpha Overlay takes long and short positions in the VIX future. The overlay activates situationally in phases of increased volatility, aiming to capture volatility spikes and to generate alpha. Further, it provides downside protection by minimizing or even overcompensating potential losses in equity markets, without the disadvantages typically associated with volatility hedging (due to advanced AI technology enabling VSOP to take positions highly situatively). Quantumrock's VSOP targets a volatility of 10% and is available via a UCITS fund (in EUR, USD & GBP) as well as managed accounts and Deutsche Bank's dbSelect platform.

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:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
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
0.49 1 2/1/2021 2/1/2021
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
-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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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods56.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable57.1466.670.00100.0088.89100.0069.4493.7593.33
Average Period Return0.96-0.06-6.4827.9115.7326.4813.5714.8425.67
Average Gain3.110.0827.9117.9526.4820.4615.9327.50
Average Loss-1.92-0.34-6.48-2.04-2.08-1.62
Best Period22.990.15-3.5035.7931.1050.5644.2151.8372.56
Worst Period-7.61-0.34-9.9122.34-3.461.88-4.22-2.610.00
Standard Deviation4.480.252.044.6711.9416.5216.8417.4320.35
Gain Standard Deviation4.540.094.6710.6716.5215.8417.4519.82
Loss Standard Deviation2.282.042.001.301.22
Sharpe Ratio (1%)0.19-1.21-3.425.761.191.480.630.621.01
Average Gain / Average Loss1.620.258.799.859.83
Profit / Loss Ratio2.160.4970.3022.39147.52
Downside Deviation (10%)2.111.309.144.472.4511.7714.8712.56
Downside Deviation (5%)1.960.377.221.370.033.042.111.32
Downside Deviation (0%)1.930.206.740.831.340.48
Sortino Ratio (10%)0.26-0.99-0.981.826.64-0.19-0.45-0.16
Sortino Ratio (5%)0.45-0.83-0.9710.39922.163.475.1015.53
Sortino Ratio (0%)0.50-0.29-0.9619.0010.1531.21

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.