March 2024 NewsLetter
Management comments
Our trading system adeptly capitalized on the upward momentum observed in NVIDIA and other stocks in the beginning of March, with a notable trend that optimally aligns with our system’s strengths. However, the market experienced a pronounced intraday reversal on the 8th March, which poses a challenge for our system, as it is designed for holding periods of one to three days and is not optimized for such short-term volatility. In response, the system adapted by reducing market exposure for the remainder of the month, abstaining from any significant trading activity. This conservative approach resulted in a solid monthly gross return of 2%.
Learning from this experiences, we are currently refining our techniques to better manage such reversals and optimize market exposure. Pending internal rigorous validation, we anticipate deploying the enhancements in April.
The strategy marginally trailed the EurekaHedge North America Long Short Equities Hedge Fund Index, which recorded a 2.17% rise in March (as of April 6, 2024) yet continues to deliver two times better YTD performance.
Last Month
The first day of March stood out as the most lucrative, with a daily return of 3.53%. Conversely, a week later, on the 8th March was marked as the least favourable, recording a daily loss of -2.6%.
YTD
January recorded the highest gross monthly return at 5.68%, whereas March saw the minimum with a monthly gross return of 2.01%.
The full Newsletter can be found here: ARQuant Newsletter 2024-03
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.