December 2023 NewsLetter
Management comments
In December, our trading strategy started using implied volatility and most days were profitable. This improvement helped to reduce losses on December 21 due to short positions in TSLA, NVDIA and SNOW opened the day before. Due to Christmas holidays the robot did not have enough time to recover this loss in full, so the monthly performance was slightly below zero (-0.6% gross).
The strategy underperformed the benchmark EurekaHedge North America Long Short Equities Hedge Fund Index (+3.18% p.m. as published on January 9, 2024). Despite 2023 was the worst year for the ARQuant’s strategy,the strategy is still outperforming the benchmark when investing for a period 2+ years.
Hedge Fund Strategy Report published (on 22-Dec 2023), “top-tier multi-managers have delivered a five-year annualised return of 12%p.a. with 2.4 Sharpe” while over the same period our strategy has delivered 26% p.a. annualised with 1.3 Sharpe. About 58% of U.S. households owned stocks in 2022, and in anticipation of lower interest rates they are returning to the market, so we are optimistic about 2024.
Last Month
The best day was the 14th December with daily return of .70% and 21st December was the worst day when daily loss reached -0.94%
YTD
This year March remains the best month with 2.96% p.m. gross, and July is the worst with -2.66% p.m. gross.
The full Newsletter can be found here: ARQuant Newsletter 2023-12
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.