ARQuant Monthly NewsLetter - ARQuant Management

March 2023 NewsLetter20230416225543

March 2023 NewsLetter

Andrew Kartashov16 April 20230 comments

March 2023 NewsLetter Management comments March showed a very good performance of 2.96% p.m. before fees – the algorithm has learned lessons fro...

February 2023 NewsLetter20230311182520

February 2023 NewsLetter

Andrew Kartashov11 March 20230 comments

February 2023 NewsLetter Management comments The strategy worked very well in the first half of February when it captured a market mood before the spe...

January 2023 NewsLetter20230209163632

January 2023 NewsLetter

Andrew Kartashov9 February 20230 comments

January 2023 NewsLetter Management comments The strategy became more active this January, as can be seen from higher average exposure, and in principl...

December 2022 NewsLetter20230110124136

December 2022 NewsLetter

Andrew Kartashov10 January 20230 comments

December 2022 NewsLetter Management comments We ended December with small negative return (-0.15% gross). This year our strategy performed very well a...

November 2022 NewsLetter20221211171928

November 2022 NewsLetter

Andrew Kartashov11 December 20220 comments

November 2022 NewsLetter Management comments In November the ARQuant software successfully predicted 14 out of 21 trading days and made profit. Howeve...

October 2022 NewsLetter20221113104544

October 2022 NewsLetter

Andrew Kartashov13 November 20220 comments

October 2022 NewsLetter Management comments In October the strategy faced losses of -3.18% (before fees) after a record of 12 continuously profitable ...

September 2022 NewsLetter20221011132439

September 2022 NewsLetter

Andrew Kartashov11 October 20220 comments

September 2022 NewsLetter Management comments Gross performance in September was positive again, and the trading strategy set a historical record of 1...

August 2022 NewsLetter20220909092705

August 2022 NewsLetter

Andrew Kartashov9 September 20220 comments

August 2022 NewsLetter Management comments August became the 8th positive month since the beginning of this year. Compared to July, in August the algo...

July 2022 NewsLetter20220808183232

July 2022 NewsLetter

Andrew Kartashov8 August 20220 comments

July 2022 NewsLetter Management comments July was a very typical month for our strategy when monthly performance of 2.6% (after fees) was very closed ...

June 2022 NewsLetter20220727143658

June 2022 NewsLetter

Andrew Kartashov27 July 20220 comments

June 2022 NewsLetter Management comments Returns generated by the ARQuant’s strategy in June was like a roller coaster that finally resulted with a mo...

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