September 2024 NewsLetter

Management comments

September almost mirrored August’s pattern, with accumulated profits peaking on September 13th, followed by a series of unprofitable days. However, this time, the strategy effectively reduced portfolio exposure after surpassing the 3% monthly return target, ending the month with a 2.93% profit before fees. The update introduced last month, aimed at capping profits to secure gains, proved successful. Unfortunately, clients who opted out of this safeguard experienced less favourable results.

The VIX volatility index also followed a similar trend for the last two months — soaring like Mount Everest in the early days, then flattening out like Scotland’s rolling hills in the latter half. Our strategy performs better in the peaks.

The strategy outperformed the EurekaHedge North America Long Short Equities Hedge Fund Index, which reported a monthly profit of 0.48% (as of 09/09/2024). The strategy continues to demonstrate strong YTD performance of 18.1% (after fees), significantly outperforming the benchmark’s 10.4%

Last Month

On September 11th, we honoured the memory of those who lost their lives in the horrific 2001 terrorist attacks in the US. By coincidence, on this day, our strategy achieved its highest daily return of 2.5% gross when gross exposure exceeded 200%. Two days before proved to be as the least favourable, recording a daily loss of -1.59%.

YTD

January recorded the highest gross monthly return at 5.68%, while August marked the lowest with a negative return of  -2.17%.

The full Newsletter can be found here: ARQuant Newsletter 2024-09