quantumrock’s Absolute Return strategy, which targets market-independent returns via a dynamic combination of the most liquid asset classes, performed at +5.0% in the first month of this year. Moreover, the strategy’s Crisis Alpha sub-strategies were able to improve on the already positive performance of the base beta portfolio, enabling quantumrock Absolute Return to post outstanding results. Through the combination of long equity and bond bias (beta) and alpha-generating sub-strategies, the AI-driven investment strategy shows highly dynamic allocations to the three asset classes: US equities (S&P500 Futures), US fixed income (10-Year US Treasury Futures) and volatility (VIX Futures).

Producing an unexpected but welcome result, the quantumrock Equity Alpha strategy, a Crisis Alpha strategy which combines various alpha sources from long volatility (VIX Futures), short equity (S&P500 Futures), and equity recovery strategies (S&P500 Futures), performed at +0.3% in January, ending the month with a small, yet remarkable, plus. The performance is noteworthy as it shows that quantumrock’s Crisis Alpha strategies do not necessarily have a negative carry in months where equities rise strongly, further demonstrating the benefits of a well-diversified approach. Enhancing investor portfolios in times of crisis, the quantumrock Equity Alpha strategy typically boosts portfolio metrics through an improvement in average returns and a reduction in volatility and maximum drawdown.

Finally, after a very negative year, the quantumrock Treasury Alpha strategy (also known as the Fixed Income Alpha strategy), which combines systematic sub-strategies that predict the US Treasury market’s short-termed movements and take short positions in the 10-Year US Treasury Future accordingly, boasted a positive sigma-2 performance to end the first month of the new year with, performing at +3.6%. This clearly demonstrates that while the strategy only trades short duration risk, it tends to be slightly positively correlated with the bond market on a weekly or monthly basis. The strategy is a strong diversifier of broad bond portfolios and, in most fixed income portfolios, demonstrates portfolio-enhancing characteristics.