March 2023 NewsLetter
Management comments
March showed a very good performance of 2.96% p.m. before fees – the algorithm has learned lessons from the past negative months. Cumulated return was maintained positive throughout March and doubled on the very last day when a portfolio gross exposure was 94% as daily average and at some moment the robot increased it up to 143%, both are the highest levels over L12M. In general, we see a trend of gradual enhancing gross exposure since Nov – 2022. Net exposure daily average was mostly positive or neutral during the month. Descriptive statistics of March (0.13% daily return, 52% positive days, 2.64 Sharpe ratio) are very similar to historical averages of the strategy.
As to our benchmarks, the strategy outperformed them both where HFRI EH Quantitative Directional Index showed +1.41% and EurekaHedge North America Long Short Equities Hedge Fund Index finished with -0.16% (both indices are from the databases as of April 11, 2023)
Last Month
The best day was 31-Mar with daily return of 1.77% and 13-Mar was the worst day when daily losses reached -1.15%.
YTD
This year March is the best month with 2.96% p.m. gross, and February was the worst month with -0.79% p.m. gross.
The full Newsletter can be found here: ARQuant Newsletter 2023-03
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.