February 2023 NewsLetter
Management comments
The strategy worked very well in the first half of February when it captured a market mood before the speech by Federal Reserve Chair Jerome Powell on 8-Feb. We believed that a rally would take place throughout February and decided not fix the profit at 2.3% p.m. allowing the algorithm to continue trading. Unfortunately, our bet failed. The market got down on 16-Feb and the strategy faced a daily loss of-1.01%. Somehow it helped to reverse the positions and made a 0.34% profit when the market experienced the biggest decline (-2.0%) on 21-Feb. Then, the market lost momentum and changed directions every day, so the strategy started accumulating losses and finished the month with a negative gross return -0.8%.
The strategy performance was slightly better than the benchmarks when HFRI EH Quantitative Directional Index showed -2.64% and EurekaHedge North America Long Short Equities Hedge Fund Index was -1.37%.
Last Month
The best day was 2-Feb with daily return of 1.69% and 16-Feb was the worst day when daily losses reached -1.01%.
Last 12 months (L12M)
Over the last 12 months, March 2022 is the best month with 6.49% p.m. gross, and October 2022 was the worst month with -3.18% gross.
The full Newsletter can be found here: ARQuant Newsletter 2023-02
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.