According to Quantumrock's CEO Stefan Tittel, his firm is an AI-driven tech company in asset management rather than an asset management company applying “a bit” of technology. He quickly adds that this is “not a subtle but a major difference.”
Founded in 2012, Quantumrock's aim was to develop a systematic scientific investment process to generate sustainable risk-adjusted returns for their proprietary trading activities. Their flagship strategy VSOP (Volatility Special Opportunities Program) has now a four-year track record with an 18% annualized return and achieved a significant outperformance: the COVID crisis of 2020 has been playing to Quantumrock's strengths with VSOP performing in both crash and recovery environments.
Since the beginning, Quantumrock has focused on machine learning and artificial intelligence methodologies to make an asset manager’s core function truly scalable: the discovery process of new trading models. However, Quantumrock's experts are quick to point out that simple “out of the box” Machine Learning applications will fail when it comes to trading signal generation. Therefore, development, implementation and trading are closely monitored and supervised by the firm's in-house capital markets and risk management experts, which you will get to know in this video as well.
VSOP is a systematic multi-strategy approach that combines the advantages of balanced portfolio long-term risk-returns with the short-term hedging and alpha capabilities of a volatility overlay portfolio. It is designed to optimize the Sharpe ratio but also for asymmetric returns. The balanced/beta portfolio component (US equities via S&P 500 futures with US bond futures) is intended to generate risk-adjusted returns in bullish market phases by capturing positive market trends while 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 from the balanced portfolio, without the disadvantages typically associated with volatility trades. In addition, trading models are dynamic (parameterized) and adaptive to changing environments, explains Dr. Dr. Roman Gorbunov, Head of AI-Systems at Quantumrock.
In this video, we'll discuss:
- How is VSOP different from competitors and traditional volatility products?
- How are the two strategies - Beta and Crisis Alpha - weighed?
- Why process automation is the key to the industrialization of trade signal generation
- How does Quantumrock apply machine learning and artificial intelligence?
- Three ways Quantumrock is modifying ML for signal generation & trading going beyond “Vanilla Machine Learning”
- How to add meaningful risk management to AI-driven investing
- Data governance, reporting governance and strategy control governance
Quantumrock's VSOP targets a volatility of 10% and is available via their new UCITS fund (in EUR, USD & GBP) as well as managed accounts and on Deutsche Bank's dbSelect platform where it is the only AI player and one of the top performers.
Stefan Tittel – CEO & Founder Quantumrock
Stefan is the founder and CEO of Quantumrock. His background consists of continuously building successful FinTech enterprises. Stefan’s insights and understanding of high technology have led him to start and run many technology orientated financial companies like Crossgate AG, Masterpayment AG, Traxpay AG and Quantumrock. His continuous focus on long-term leadership and management development gives him the experience needed to start, build and scale companies where applied science can bring paradigm shifts in benefits.
Michael Zeller – Chief Investment Officer
Michael brings more than 20 years’ experience in quantitative fund management in different asset classes to Quantumrock. During that time he has researched, developed and implemented numerous different systematic trading systems and has also worked for the following asset management firms and institutions: BayernInvest, CM Equity Munich, Corebot GmbH, Lupus Alpha, Credit Suisse. Key tasks at Quantumrock include optimizing and advancing current strategies and developing new strategic approaches. Michael holds a Finance degree from Augsburg University.
Dr. Dr. Roman Gorbunov – Head of AI Systems
Roman has more than a decade of practical experience in applying machine learning to a very broad range of problems in both academia and industry. Two PhDs in Game Theory and Quantum Chemistry and a Master’s Degree in Theoretical Physics. His main interests lie in building intelligent systems based on state-of-the-art techniques in Deep Reinforcement Learning.
Fabio Balloni - Chief Risk Officer
Fabio works in the Financial Industry for a decade and as a Risk Manager at Quantumrock, he works on the development of advanced Risk and Reporting algorithms to analyze and monitor the Investments. Before Quantumrock, he gained his first experience developing a Risk Management Software for APL Italiana (now Simcorp Italiana SpA). After spending 2 years as a Portfolio Analytics Support Specialist with Factset Datasystems, he moved to the Asset Management as Quantitative Risk Manager by joining Quaestio Capital Management in Milan, Italy. Fabio graduated from the Technical University of Darmstadt with a Master’s Degree in Physics.
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