The 2Q Portfolio

A real portfolio combining systematic strategies, quant-driven trading ideas, and options positions. Live since November 2017.

  • 2Q Portfolio – 31 Dec 2022





Our Best Shot at the Markets

The 2Q Portfolio is our best shot at the markets. We are convinced that the basis for building a superior portfolio lies in the combination of several uncorrelated return strategies which are properly sized and balanced.

But that’s not enough. Even the strongest foundation can crack and disintegrate when exposed to severe pressure – either suddenly or for too long. To insure against unforeseen market pressure, we combine outright and spread positions with an options-based delta replacement and exposure management process, allowing us to stay exposed to the upside while having our downside protected at the same time. This is the basis on which we manage the 2Q Portfolio.

Most strategies inside the 2Q Portfolio are model-driven and the result of our own quantitative research. However, the option trades are discretionary and we sometimes add opportunistic trades in order to exploit a particular market phenomenon or improve the risk-reward characteristics of the overall portfolio. This is usually done where a very favorable, asymmetric risk-reward ratio is detected.

The 2Q Portfolio is traded live and with real money in a dedicated account since November 2017.

“You can never rest on your laurels. The competition is brutal, and there’s a super high mortality rate in the trading business. As soon as you become complacent or stop pushing forward, the competition will come and eat you. When you are distracted, they will come and bite your leg off. You must keep your eyes on the ball – always! It’s tough.” (Moritz Seibert)