ARQuant Monthly NewsLetter - ARQuant Management

July 2023 NewsLetter20230812104512

July 2023 NewsLetter

Andrew Kartashov12 August 20230 comments

July 2023 NewsLetter Management comments Last 12 months our strategy has shown near zero gross return because the market growing patterns have been ch...

June 2023 NewsLetter20230710074251

June 2023 NewsLetter

Andrew Kartashov10 July 20230 comments

June 2023 NewsLetter Management comments In June, the strategy showed a monthly performance of +0.89% gross. This is not bad but to be honest, our exp...

May 2023 NewsLetter20230612165033

May 2023 NewsLetter

Andrew Kartashov12 June 20230 comments

May 2023 NewsLetter Management comments During May the strategy behaved as expected – generating profits even on short-term trends, and making small l...

April 2023 NewsLetter20230509123251

April 2023 NewsLetter

Andrew Kartashov9 May 20230 comments

April 2023 NewsLetter Management comments April started with the biggest daily loss of -1.57%. The loss was mainly contributed by Tesla (-1.32%) becau...

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 ...

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