October 2022 NewsLetter
Management comments
In October the strategy faced losses of -3.18% (before fees) after a record of 12 continuously profitable months and was behind the the benchmarks HFRI EH Quantitative Directional Index (4.25%) and Eurekahedge North America Long Short Equities Hedge Fund Index (4.59%). However, our YTD return (25.6% gross) is far better than the both benchmarks (-6.9% and -10.7%).
The strategy can make profit if traded stocks have momentum for at least three days. The plot from “Last month” section shows that the most days the traded stocks have no strong signal of momentum (DISCLAMER: the algorithm doesn’t trade on RSI signal which is used for illustration purpose only).
Average daily gross exposure was 21% (47% in September) with the peak of 64% (105% in September) while net exposure varied from -57% to 60% (-93% to +105% in September). As losses accumulated, the robot reduced the portfolio exposure by almost two times compared to the beginning of October.
Last Month
The best day was 4-Oct with daily return of 1.16% and 17-Oct was the worst day when daily losses were -1.28%.
Year-to-Date (YTD)
January remains the best month of the year with 7.84% p.m. gross return, and October became the worst
month with -3.18% gross loss.
The full Newsletter can be found here: ARQuant Newsletter 2022-10
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.