January 2023 NewsLetter
Management comments
The strategy became more active this January, as can be seen from higher average exposure, and in principle it worked well, despite a decline at the end. The algorithm recognized an upward monthly trend and net exposure was mostly long. However, daily trends were unstable- 12 out of 20 days it turned the opposite direction on the next day. That’s why the strategy showed daily losses often than usual, but they were small and quickly recovered. The strategy successfully caught the movement on 23-Jan and 27-Jan, and the results for those dates are very good, unfortunately the movement didn’t last long and turned around again.
The strategy performance in January was behind the benchmarks when HFRI EH Quantitative Directional Index showed 3.70% and EurekaHedge North America Long Short Equities Hedge Fund Index was 2.96%. However, ARQuant’s L12M performance 17.25% gross is still better than the benchmarks (both are negative).
Last Month
The best day was 23-Jan with daily return of 1.36% and 30-Jan was the worst day when daily losses reached -0.86%
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 loss.
The full Newsletter can be found here: ARQuant Newsletter 2023-01
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.