July 2023 NewsLetter

Management comments

Last 12 months our strategy has shown near zero gross return because the market growing patterns have been changed –  it grows but not smooth enough for us to catch this movement as well as some stocks stopped performing. That’s why since July we have changed our algorithms for stock selecting and weighting – it did improve a tests performance so going forward the stock weights would change faster and we expect to return on a profitability track.

At the beginning of the month there was a transition period from the old to the new system when the weights of some stocks, in particular AMZN and APPL, remained high. In addition, during the period of 6-12 July there were significant leverage and bets, most of which were unsuccessful. The rest of days the exposure was very low, nevertheless, the losses were partially recovered.

The strategy underperformed the benchmark EurekaHedge North America Long Short Equities Hedge Fund Index (+2.35% p.m. as published on August 8, 2023)

Last Month

The best day was 3-Jul with daily return of 0.74% and 10-Jul was the worst day when daily losses reached  -1.23%.

YTD

This year  March is the best month with 2.96% p.m. gross, and July became the worst  with -2.66% p.m. gross.

The full Newsletter can be found here: ARQuant Newsletter 2023-07