Tue, Nov 30, 2021
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Quantumrock: where AI pays

Thursday, April 29, 2021

Nadine Korehnke
B. G., Opalesque Geneva:

We have been reporting since the beginning of the pandemic on an artificial intelligence program called VSOP, which runs an equity tail hedge strategy. And for good reasons; it finished 2020 up more than 30%, and it is still on a roll with a Q1-2021 performance of +2.77%.

VSOP is managed by Quantumrock, a German hedge fund manager.

"We are convinced that artificial intelligence (AI) will be a key driver of exceptional performance in asset management," Quantumrock's Nadine Korehnke tells Opalesque. "Already today, we can attribute a significant part of our positive performance to AI technologies.

"Artificial intelligence has disrupted most industries in recent years and the asset management industry will be no exception. In the process of developing new strategies, AI can deliver better return and risk characteristics by its ability to process large amounts of data and by understanding complex and multidimensional patterns."

Mrs. Korehnke, Head of Family Office Relations at Quantumrock, will be presenting in Opalesque's next webinar, Small Managers - Big Alpha, on Tuesday 11th May.

She spent much of her career at Merrill Lynch in New York and London as well as at Deutsche Bank and Unicredit in Munich. Before Quantumrock, she built a single-family office in Munich, worked for a family-owned project developer, and fundraised equity for the DACH Family Office.


"With Quantumrock VSOP, we offer protection against extreme losses in equity markets through a situational hedging mechanism and therefore provide investors with an effective equity tail hedge," she says.

VSOP (Volatility Special Opportunities Program) uses a systematic multi-strategy approach in the S&P 500 index volatility market with a real-money track record dating back to July 2016.

The program consists of several proprietary algorithmic and fully automated sub-strategies. Returns among the sub-strategies are low-correlated, internally diversifying the program. VSOP provides an intraday and short-term tail hedge through situative long VIX exposure while generating returns via its long equity bias during bullish market phases.

The first quarter of 2021 was dominated by rising bond yields and a value-led equity market rally says a March manager commentary. The two key drivers of the program's performance were the Democrat victory in Georgia at the start of the year, paving the way for massive further US fiscal stimulus, and the success of the vaccine rollout in the US. The rise in bond yields has been closely correlated with significant outperformance for financials and value stocks. Value stocks are up +9.8% YTD compared with +0.3% for growth stocks.

The Volatility strategies contributed with +1.79% to the +2.4% March 2021 return, profiting mostly from the volatility spike in late February. Autocorrelation strategies on the S&P500 and US Treasuries contributed with +0.98%.

The strategy's total gross performance since its June 2016 inception is 97%, averaging 15% p.a. with a realised volatility of almost 13% p.a. It currently manages about $68m.

Quantumrock GmbH is an AI investment technology company founded in 2012 and based in Munich. The firm has been since the beginning focusing on a systematic, algorithmic-driven investment process underpinned by proprietary technology and quantitative approaches such as machine learning.

Artificial intelligence

Artificial intelligence is a suite of technologies, enabled by adaptive predictive power and exhibiting some degree of autonomous learning, that dramatically advance our ability to recognize patterns, anticipate future events, create good rules, make good decisions, and communicate with other people.

A number of hedge funds are using AI to analyse masses of data, predict corrections in supply and demand imbalances, and forecast market movements for tactical asset allocation. This has the potential to assist a CIO's team to combine different strategies and tailor allocations.

Asset managers that have implemented a full range of artificial intelligence techniques - including data mining, signal generation, and optimisation - are generating 3 percent in alpha, reportedly says a recent Accenture report.

The Eurekahedge AI Hedge Fund Index, an equally weighted index of 14 funds, was down 2% in Q1-2021 after returning +11% in 2020 and +6% in 2019.

By comparison, the Eurekahedge Hedge Fund Index (2,305 funds) returned almost +5% in Q1, +12.5% in 2020 and+ 9% in 2019.

Next webinar:

Small Managers - Big Alpha

With larger quantities of capital chasing the same alpha strategies and continuing to erode Alpha, savvy investors are turning to smaller and/or emerging managers as they look for alternative sources of return. Opalesque presents a carefully screened panel of investment managers worth taking a look at.
Nadine Korehnke, Quantumrock
Elias Nechachby, Icon Asset Management
Paul Lucek, Ridgedale
Richard Simmons, Derby Street

When : Tuesday, May 11th, 2021 at 10:30 am ET
Free registration here: www.opalesque.com/webinar/

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. PE/VC: Moody's warns of 'systemic risks' in private credit industry, Sequoia to restructure itself away from traditional VC model, Modeling private equity market beta, VC investors pour money into Chinese start-ups despite regulatory crackdown[more]

    Moody's warns of 'systemic risks' in private credit industry From FT: The burgeoning private credit industry of lending to buyout groups has grown to about $1tn, but opacity, eroding standards and the difficulty in trading these slices of debt pose "systemic risks", according to rating

  2. PE/VC: Private equity M&A frenzy has cautious undertones, Venture capital exit values soar, Private equity and venture capital drove outsized returns at Bowdoin, Harvard, and the University of Pennsylvania, Private equity tops explosive tech growth as returns rocket[more]

    Private equity M&A frenzy has cautious undertones From Reuters: Private equity dealmakers are in two minds. Buyout barons, led by titans like Blackstone boss Steve Schwarzman, are on track for a record year for takeovers. Yet they're also offloading companies at a much faster pace than

  3. SPACs: Trump-tied SPAC seeks Wall Street support, Nextdoor surges in public market debut after SPAC merger, Barrows Hotel Enterprises considers SPAC merger, Aussie SPAC targets big deal after NASDAQ IPO[more]

    Trump-tied SPAC seeks Wall Street support From Al Jazeera: Day traders and Reddit enthusiasts helped fuel a spectacular rally in Digital World Acquisition Corp shares, which reached a closing high of $94.20 last month before leveling out to recently trade around $60. The blank-ch

  4. Tiger funds change some stripes, Melvin Capital's comeback plan, What's behind Sachem Head's surge?, One of Asia's oldest hedge funds is buying distressed China debt[more]

    Tiger funds change some stripes From Institutional Investor: Falcon Edge, Light Street, Lone Pine, Viking, and Hound made significant buys and sells in the third quarter. Falcon Edge Capital Management exited its two largest U.S. long positions in the third quarter, according to

  5. Opalesque Exclusive: TRF - the right product at the right time (part 1)[more]

    B. G., Opalesque Geneva: Eurex, an international derivatives exchange and a member of the Deutsche Börse Group, has been churning out its pioneering Total Return Futures (TRF) since 2016. In a