ARQuant Monthly NewsLetter - ARQuant Management

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 ...

January 2024 NewsLetter20240208193151

January 2024 NewsLetter

Andrew Kartashov8 February 20240 comments

January 2024 NewsLetter Management comments In January, we observed a shift in market conditions, which our trading system adeptly navigated, achievin...

December 2023 NewsLetter20240115170533

December 2023 NewsLetter

Andrew Kartashov15 January 20240 comments

December 2023 NewsLetter Management comments In December, our trading strategy started using implied volatility and most days were profitable. This im...

November 2023 NewsLetter20231207095916

November 2023 NewsLetter

Andrew Kartashov7 December 20230 comments

November 2023 NewsLetter Management comments Despite in November the strategy showed a negative performance of -1.21%p.m. before fees, the algorithm g...

October 2023 NewsLetter20231207095645

October 2023 NewsLetter

Andrew Kartashov7 December 20230 comments

October 2023 NewsLetter Management comments This October the strategy showed a positive performance of 1.12% before fees. The first two weeks the robo...

September 2023 NewsLetter20231207095354

September 2023 NewsLetter

Andrew Kartashov7 December 20230 comments

September 2023 NewsLetter Management comments Since the strategy inception, September was always, except 2019, a bad month for our algorithm. This Sep...

August 2023 NewsLetter20230911172724

August 2023 NewsLetter

Andrew Kartashov11 September 20230 comments

August 2023 NewsLetter Management comments The changes we made to the trading system in July have harvested some benefits in August when the robot sho...

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	2024	2025
Start	2018-03	2022-04	2018-03	2019-01	2020-01	2021-01	2022-01	2023-01	2024-01	2025-01
End	2025-03	2025-03	2018-12	2019-12	2020-12	2021-12	2022-12	2023-12	2024-12	2025-03
Cumulative Return	674.40%	33.60%	41.40%	22.50%	148.00%	13.50%	26.80%	-3.80%	21.60%	7.00%
CAGR%	33.50%	10.10%	51.50%	22.50%	148.00%	13.50%	26.80%	-3.80%	21.60%	31.10%
Volatility annualized	17.50%	9.30%	11.30%	11.50%	30.60%	15.70%	10.30%	5.20%	12.20%	14.80%
Risk Free Rate	2.44%	4.34%	2.00%	2.10%	0.40%	0.00%	2.02%	5.07%	4.97%	4.21%
Sharpe Ratio	1.62	0.62	3.61	1.65	3.19	0.88	2.18	-1.7	1.27	1.62
Calmar	3.49	1.62	27.42	4.91	35.14	1.58	7.7	-0.68	3.28
Sortino	4.12	1.09	40.09	3.53	-	1.21	3.02	-3.35	1.71
Kelly criterion	0.1	0.12	0.37	0.17	0.11	0.06	0.25	-0.15	0.15	0.19
Skew	1.84	0.15	0.11	0.04	0.81	-0.84	0.45	0.64	-0.75	0.35
Kurtosis	6.94	0.25	-0.89	-0.79	0	-0.13	-0.07	0.16	-0.13	-1.5
VaR (5%)	2.30%	3.60%	1.70%	3.70%	4.20%	7.30%	2.40%	2.50%	4.70%	3.30%
Max Drawdown	-8.80%	-6.20%	-1.60%	-4.30%	-2.80%	-8.80%	3.20%	5.50%	6.20%	1.40%
Geo. Avg. Monthly	2.40%	0.80%	3.50%	1.70%	7.90%	1.10%	2.00%	-0.30%	1.60%	2.30%
Volatility monthly	5.10%	2.70%	3.30%	3.30%	8.80%	4.50%	3.00%	1.50%	3.50%	4.30%
High Month	28.00%	7.00%	9.30%	7.60%	28.00%	6.40%	7.80%	3.00%	5.70%	7.00%
Low Month	-8.80%	-6.00%	-1.00%	-3.60%	-2.80%	-8.80%	-3.20%	-2.70%	-6.00%	-1.40%
Win rate weekly	69.40%	58.30%	80.00%	66.70%	91.70%	66.70%	83.30%	33.30%	66.70%	66.70%
Beta (S&P500)	0.29	0.03	0.16	0.64	-0.15	0.82	0.04	0.05