The 2Q Portfolio

A real portfolio combining systematic trading strategies, quant-driven ideas, and long volatility positions. Live since October 2019.

  • 2Q Portfolio – 26 Feb 2021

YEAR-TO-DATE
+4.58%

SINCE START
+37.75%

SHARPE RATIO
1.25

WORST DD
-22.65%

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 basis can crack and disintegrate when exposed to severe pressure – either suddenly or for too long. To insure against unforeseen market pressure, we always own long volatility positions, allowing us to stay exposed to the upside while having the downside protected at the same time. This is the foundation 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, we sometimes add opportunistic trades in order to exploit a particular market phenomenon or improve the risk-reward characteristics of the overall portfolio. We trade directional and spread-based strategies, mainly in futures, equities, ETPs, and options.

The 2Q Portfolio is traded live and with real money in a dedicated account since October 2019. Most systematic strategies are also live in a PA-setup since more than 10 years.

“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)

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