November 2023 NewsLetter

Management comments

Despite in November the strategy showed a negative performance of -1.21%p.m. before fees, the algorithm generated profits most days and on the most stocks (9 out of 13 traded). The only reason of the loss is that the robot failed to predict an unexpected +11% gap in SNOW stock on Nov.7 after a sharp decline a day before. Just this stock alone contributed losses of -4% on these two days. The reason behind the gap was that there was a very positive quarterly report of Datadog, a company like SNOW, but not SNOW itself (we don’t trade on report dates just due to this reason – unexpected gaps). We learned this lesson and in the next update the algorithm will be using implied volatility as a parameter to decide which position is to be kept overnight. It will make such gaps less painful (SNOW showed high implied volatility on Nov.6 that is why its position could have been cut a day before the Datadog report).
The strategy underperformed the benchmark EurekaHedge North America Long Short Equities Hedge Fund Index (+5.57% p.m. as published on December 6, 2023).

Last Month

The best day was the 14th November with daily return of 1.44% and 7th November, as above mentioned, was the worst day when daily loss reached -3.06%

YTD

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

The full Newsletter can be found here: ARQuant Newsletter 2023-11