August 2022 NewsLetter
Management comments
August became the 8th positive month since the beginning of this year. Compared to July, in August the algorithm performed much better then average where 65% of days were profitable. The algorithm was more confident about statistical patterns for the selected stocks, and as a result daily gross exposure was 54% on average (43% in July) however the maximum was only 130% (122% in July). Daily net exposure varied from -103% to +104%.
This year our robot generated net return 24.67% YTD and far outperformed our benchmarks HFRI EH Quantitative Directional Index (-8.38% YTD) and Eurekahedge North America Long Short Equities Hedge Fund Index (-10.18% YTD).
Last Month
August 20 was the best day when daily return reached 2.12% and the worst day happened on August 8 when a loss was -2.31%.
Year-to-Date (YTD)
January is still the best month of the year with 7.84% p.m. return (before fees), and June remains
the weakest month with 0.72% p.m. return (before fees).
The full Newsletter can be found here: ARQuant Newsletter 2022-08
Warning: Past performance is not a guarantee or a reliable indicator of future results. All investments contain risk and may lose value. Investing in foreign denominated and/or domiciled securities may involve heightened risk due to currency fluctuations. Currency rates may fluctuate significantly over short periods of time and may reduce the returns of a portfolio. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. Diversification does not ensure against loss. There is no guarantee that these investment strategies will work under all market conditions and each investor should evaluate their ability to invest for a long-term especially during periods of flat market or downturn in the market.