ARQuant Monthly NewsLetter - ARQuant Management

November 2024 NewsLetter20241210093728

November 2024 NewsLetter

Andrew Kartashov10 December 20240 comments

November 2024 NewsLetter Management comments In November, the strategy demonstrated strong recovery and consistent performance, capitalizing on the st...

October 2024 NewsLetter20241210093026

October 2024 NewsLetter

Andrew Kartashov10 December 20240 comments

October 2024 NewsLetter Management comments October began on a steady note, and by mid-month the strategy accumulated a profit above 2%. However, as t...

September 2024 NewsLetter20241010084335

September 2024 NewsLetter

Andrew Kartashov10 October 20240 comments

September 2024 NewsLetter Management comments September almost mirrored August’s pattern, with accumulated profits peaking on September 13th, fo...

August 2024 NewsLetter20240912110533

August 2024 NewsLetter

Andrew Kartashov12 September 20240 comments

August 2024 NewsLetter Management comments August mirrored June’s performance of the strategy, where accumulated profits peaked on the 19th, followed ...

July 2024 NewsLetter20240806084425

July 2024 NewsLetter

Andrew Kartashov6 August 20240 comments

July 2024 NewsLetter Management comments In July, the strategy performed quite well, achieving profits on 13 out of 23 days. However, significant loss...

June 2024 NewsLetter20240708101147

June 2024 NewsLetter

Andrew Kartashov8 July 20240 comments

June 2024 NewsLetter Management comments For the first time this year, the strategy posted a gross loss of -0.65% in June. Historically, the strategy ...

May 2024 NewsLetter20240610102558

May 2024 NewsLetter

Andrew Kartashov10 June 20240 comments

May 2024 NewsLetter Management comments The S&P 500’s 4.8% gain last month represented its strongest May performance since 2009. However, Ma...

April 2024 NewsLetter20240508170714

April 2024 NewsLetter

Andrew Kartashov8 May 20240 comments

April 2024 NewsLetter Management comments April proved challenging for the U.S. stock market with the S&P 500 declining by -4.2% as market momentu...

March 2024 NewsLetter20240408090909

March 2024 NewsLetter

Andrew Kartashov8 April 20240 comments

March 2024 NewsLetter Management comments Our trading system adeptly capitalized on the upward momentum observed in NVIDIA and other stocks in the beg...

February 2024 NewsLetter20240306200149

February 2024 NewsLetter

Andrew Kartashov6 March 20240 comments

February 2024 NewsLetter Management comments February was yet another high-performing month for our trading strategy, which yielded a gross return of ...

The World Wildlife Fund (WWF)	Help to transform the future for the world’s wildlife, rivers, forests and seas
Greenpeace	Protect our natural world for future generations
Save The Children	Help children get the future they deserve
CALM (Campaign Against Living Miserably)	Standing together against suicide
International Rescue Committee	Help refugee families
Cash For Refugees	Give cash directly to people displaced by the war in Ukraine
Zeilen Van Vrijheid	Deliver medical cars and humanitarian aid to Ukraine
Vostok SOS	Humanitarian and psychological help to people in Ukraine
DEC: Unkraine Humanitarian Appeal	Meeting the needs of all refugees and displaced people

Statistics	Inception	Last 36 Months	2018	2019	2020	2021	2022	2023	YTD
Start	2018-03	2021-12	2018-03	2019-01	2020-01	2021-01	2022-01	2023-01	2024-01
End	2024-11	2024-11	2018-12	2019-12	2020-12	2021-12	2022-12	2023-12	2024-11
Cumulative Return	609.30%	47.10%	41.40%	22.50%	148.00%	13.50%	26.80%	-3.80%	19.20%
CAGR%	33.70%	13.70%	51.50%	22.50%	148.00%	13.50%	26.80%	-3.80%
Volatility annualized	17.70%	10.10%	11.30%	11.50%	30.60%	15.70%	10.30%	5.20%
Risk Free Rate	2.35%	3.90%	2.00%	2.10%	0.40%	0.00%	2.02%	5.07%
Sharpe Ratio	1.61	0.95	3.61	1.65	3.19	0.88	2.18	-1.7
Calmar	3.51	2.16	27.42	4.91	35.14	1.58	7.7	-0.68
Sortino	4.08	1.74	40.09	3.53	-	1.21	3.02	-3.35
Kelly criterion	0.1	0.14	0.37	0.17	0.11	0.06	0.25	-0.15
Skew	1.84	0.21	0.11	0.04	0.81	-0.84	0.45	0.64
Kurtosis	6.77	0.11	-0.89	-0.79	0	-0.13	-0.07	0.16
VaR (5%)	2.40%	3.60%	1.70%	3.70%	4.20%	7.30%	2.40%	2.50%
Max Drawdown	-8.80%	-6.20%	-1.60%	-4.30%	-2.80%	-8.80%	3.20%	5.50%	6.20%
Geo. Avg. Monthly	2.40%	1.10%	3.50%	1.70%	7.90%	1.10%	2.00%	-0.30%	1.60%
Volatility monthly	5.10%	2.90%	3.30%	3.30%	8.80%	4.50%	3.00%	1.50%	3.70%
High Month	28.00%	7.80%	9.30%	7.60%	28.00%	6.40%	7.80%	3.00%	5.70%
Low Month	-8.80%	-6.00%	-1.00%	-3.60%	-2.80%	-8.80%	-3.20%	-2.70%	-6.00%
Win rate weekly	69.10%	61.10%	80.00%	66.70%	91.70%	66.70%	83.30%	33.30%	63.60%
Beta (S&P500)	0.28	0.1	0.16	0.64	-0.15	0.82	0.04	0.05