May 2023 NewsLetter
Management comments
During May the strategy behaved as expected – generating profits even on short-term trends, and making small losses on a sideways market. The only exception was the period from 26th to 31st May when the robot failed to predict an upward trend in AMZN and TSLA because of intraday reversals. On 26-27 trades started with a strong move up and ended with a downward correction, so stocks purchased during the day showed MTM losses at the close. On 31-May in the morning these stocks traded lower than the previous day and the robot had to sell them with realised losses, and stocks purchased in the afternoon again showed MTM losses at the close.
As to our benchmarks, the strategy underperformed them both where HFRI EH Quantitative Directional Index showed 0.17% (as of June 11, 2023) and EurekaHedge North America Long Short Equities Hedge Fund Index finished with -0.12% (as of June 7, 2023)
Last Month
The best day was 22-May with daily return of 0.77% and the end of the month was the worst day when daily losses reached -0.55%.
YTD
This year March is the best month with 2.96%p.m.gross, and April remains the worst with -0.93% p.m. gross.
The full Newsletter can be found here: ARQuant Newsletter 2023-05
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.