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Although the first half of 2021 was characterised by a bull market with low volatility, the VSOP strategy closed the last six months at +4.01%.

Michael Zeller, CIO of Quantumrock said: "At first glance what seems little compared to the S&P 500, is, if you look closer, a proof of the robustness of the VSOP strategy. It was designed as a hedge for volatile markets, but it shows that it brings a positive contribution to the portfolio even when volatility is low."

In 2020, in one of the most volatile markets in the last 10 years, VSOP has delivered a performance of more than 30%. Here, the strategy's ability to generate substantial returns in all market conditions while providing efficient downside protection had been clearly demonstrated. It has now proved this ability, year to date, in a market with low volatility.

Despite a normalisation of equity volatility, Quantumrock's long volatility strategies contributed 0.8% year-to-date to positive performance, which highlights their robustness in different market environments, in addition to their tail-hedging capabilities at low cost.

Michael Zeller continued: "In principle, we expect the equity market to remain strong in the second half of the year. However, we see that a lot of optimism is already priced in. If economic data were to disappoint, that could also lead to price declines and more volatility."

The distribution of VSOP's returns (illustrated in the graph below) shows significantly smaller negative tails than the S&P 500. The negative tail of VSOP is in line with a balanced portfolio, while its positive tail outperforms the positive tail of such a balanced portfolio and bears more resemblance to the S&P 500's positive tail.

Quantumrock believes the VSOP strategy is well positioned to benefit from future market stresses, while also performing satisfactorily in the current low volatility environment.