AI-fueled gains of 37% propel German hedge fund strategy

Munich-based Quantumrock announced that its flagship strategy Volatility Special Opportunities Program (VSOP) is on track for its best returns in its four-year history, with gains of 37% for the year-to-date through July. Earlier this year, the $50 million VSOP strategy took in $500 million of institutional capital as returns of the systematic multi-strategy portfolio attracted attention with its artificial intelligence-sourced investments. A UCITS fund based on the strategy is expected to launch in September. With a real-money track record dating back to July 2016, the program is composed of a balanced portfolio consisting of S&P 500 futures and Treasuries with a duration risk of circa five years. It also trades overlay strategies on situational volatility patterns relying on artificial intelligence and machine learning methodologies. In total the portfolio shows a lower risk profile than the S&P 500, officials said. The VIX long strategies reduce the beta to the S&P 500 by hedging the tail risk. “Despite high-frequency data pointing to a halt in the recovery, particularly in the U.S., the S&P 500 gained 5.98% in July,” commented Quantumrock CIO Michael Zellner. “While VSOP’s overlay portfolio lost performance trading long volatility, it gained positive results on long treasury strategies – demonstrating that it is able to successfully seek out opportunities in the market and generate alpha even when markets are performing well.” By comparison, hedge fund indices have reported essentially funds breaking even in July with returns staying essentially flat so far in 2020. For Zellner, being up 37.02% for the year, and by 0.63% in July, is proof that VSOP can deliver encouraging results when markets are relatively calm, as well as during times of volatility.

AI-fueled gains of 37% propel German hedge fund strategy

Continue Reading With a Free Trial

NJ pension system invests in data infrastructure, ILS

Former Bessemer CIO joins Bridgewater

Welcome to Alternatives Watch

Buck hires former AndCo exec for manager research

Legendary trader Salem Abraham opens Fortress strategy to outside investors

GCM Grosvenor to go public on NASDAQ

Ropes & Gray: U.S. loan origination leading credit strategy

H.I.G. closes European PE fund at €1.1bn

Stanhope, FWM merger to combine alts businesses

NJ pension system invests in data infrastructure, ILS

Private credit firms set to finance $100bn in loans this year

Continue Reading With a Free Trial

Be an Alts Watcher

Subscribe to our mailing list and know first!

FTV invests in enterprise workflow specialist Agiloft

Carried interest impact reassessed as new IRS rule sparks renewed analysis

Related Articles

Get our daily news digest in your inbox

Get our daily news digest
in your inbox