www.volteq.com

The Company

Volteq Capital is an independent investment management company located in Amsterdam, the Netherlands. The company specializes in managing equity and equity derivative portfolios.

Three of the five partners at Volteq Capital have worked together in the Global Equity Derivatives department of ABN AMRO in Amsterdam, London and New York for a period of 10 years. Before founding Volteq Capital in 2003, Eelco Rooimans (trading) was managing director and global head of equity derivatives trading, and Jan-Ebel Bos (analysis) was a managing director at ABN AMRO responsible for structured products. In addition, Niek Koster (trading) was heading the US equity derivatives trading operation in New York before he joined Volteq. The fourth investment professional to join, Eugène Klerk (analysis), was a number one ranked fundamental analyst and worked at ABN AMRO, Deutsche Morgan Grenfell, DLJ / CSFB and Morgan Stanley. Jean Kuppers (operations) previously worked as an independent consultant, project manager and software system architect in the financial sector for 15 years.

Volteq Capital manages the Volteq GED Long Short Equity Fund, a hedge fund that aims to generate returns uncorrelated with equity markets.

Investment philosophy

Rigorous and extensive analysis of fundamental and technical data forms the basis for the investment approach at Volteq Capital. A structured quantitative approach is used which is based on fundamental beliefs, not a purely statistical approach. Furthermore there is a clear focus on large and liquid stocks which publish a wide range of fundamental data that can be fed into the investment models. Finally there is no style bias. An unbiased intra sector approach is used for alpha generation.

To measure and manage risk, a combination of internally developed programs, as well as a commercial risk management software platform Sophis Value, is used. As a group Volteq has extensive knowledge of and experience in managing risk, including non-linear risks associated with derivatives. They aim to generate strong risk adjusted returns.

Volteq GED Long Short Equity Fund:

A market neutral quantitative approach is combined with a short term trading orientation and a long volatility bias to generate absolute returns uncorrelated with equity markets.

The efficient market hypothesis is based on the assumption that all available information is already reflected in share prices and that arbitrage is therefore not profitable especially after including trading costs. Practical experience, however, suggests that this theory does not always hold. A large number of quantitative equity funds seek to benefit from seemingly mis-priced assets by structuring relative sector or market trades. Such an approach, however, does not truly capture a manager’s ability to pick the right stocks because it includes a degree of beta-related return generation. Volteq’s approach to single stock selection is different as its systematic quantitative relative value strategy uses an intra sector approach. One of the benefits of this approach is that it makes a directional view on a market or sector irrelevant and results in purer stock specific alpha returns.

The fund uses a model which is based on a set of fundamental beliefs relating to stock selection and risk management. A combination of fundamental and technical parameters allows for a balance between trend following and mean reversion characteristics.

Volteq strongly believes in the benefit of adding volatility exposure to a relative value strategy. This is supported by a historical return analysis of their own single stock model as well as a number of long short equity indices, which shows that alpha tends to be lower during months with higher equity market volatility. To counter this effect two additional strategies have been added to the portfolio. First, an index trading strategy is employed that consists of spread trades using a combination of options and futures. This strategy tends to produce better results in more volatile market conditions. In addition, a largely systematic long volatility position is added to gain exposure to the momentum in volatility.

For further information please visit: www.volteq.com

Jan Ebel Bos/Eugène Klerk
Volteq Capital

Tel: + 31 20 548 9295 / 9294
bos@volteq.com / klerk@volteq.com

 

Click here to obtain a copy of Alternative Investment Review