August 2024 NewsLetter
Management comments
August mirrored June’s performance of the strategy, where accumulated profits peaked on the 19th, followed by mostly unprofitable days. The losses were primarily driven by strong intraday reversals, making August the worst month with a gross return of -2.17%.
Given the recurring nature of this pattern, we have tested and are preparing to implement a hedge targeting a 3% monthly return on the reference account, with the option to apply it to client accounts upon request. If this hedge had been applied earlier this year, the summer months would have generated a positive cumulative return exceeding 5%.
The strategy underperformed the EurekaHedge North America Long Short Equities Hedge Fund Index, which reported a positive return of 1.44% (as of 07/08/2024). However, the strategy continues to outperform, delivering a strong year-to-date return of 14.8%, significantly surpassing the benchmark’s 10.7%.
Last Month
The 7th August stood out as the most lucrative, with a daily return of 2.80% gross. However, the next day proved to be as the least favourable, recording a daily loss of -2.14%. Both days an average gross exposure was around 40%.
YTD
January recorded the highest gross monthly return at 5.68%, while August marked the lowest with a negative return of -2.17%.
The full Newsletter can be found here: ARQuant Newsletter 2024-08
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.