October 2023 NewsLetter

Management comments

This October the strategy showed a positive performance of 1.12% before fees. The first two weeks the robot steadily generated profits and all days were profitable except two. Until 5-Oct a net exposure of the portfolio was negative, then positive till 13-Oct; while gross exposure never exceeded 50% in the first half of the month. On the third week the strategy tried to stay long, but it resulted in a loss accumulation. During the rest of days, the portfolio was short thatallowed to fully recover losses and finish October with the profit.
In October we slightly changed the optimization process of algorithms as well as made a quarterly update of traded stocks (when MSFT, AVGO, PANW were added).
The strategy outperformed the benchmark EurekaHedge North America Long Short Equities Hedge Fund Index (-1.43% p.m. as published on November 6, 2023).

Last Month

The best day was the 25th October with daily return of 1.07% and 17th October was the worst day when daily losses reached -0.91%.

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 2023-10

The World Wildlife Fund (WWF)	Help to transform the future for the world’s wildlife, rivers, forests and seas
Greenpeace	Protect our natural world for future generations
Save The Children	Help children get the future they deserve
CALM (Campaign Against Living Miserably)	Standing together against suicide
International Rescue Committee	Help refugee families
Cash For Refugees	Give cash directly to people displaced by the war in Ukraine
Zeilen Van Vrijheid	Deliver medical cars and humanitarian aid to Ukraine
Vostok SOS	Humanitarian and psychological help to people in Ukraine
DEC: Unkraine Humanitarian Appeal	Meeting the needs of all refugees and displaced people

Statistics	Inception	Last 36 Months	2018	2019	2020	2021	2022	2023	YTD
Start	2018-03	2021-12	2018-03	2019-01	2020-01	2021-01	2022-01	2023-01	2024-01
End	2024-11	2024-11	2018-12	2019-12	2020-12	2021-12	2022-12	2023-12	2024-11
Cumulative Return	609.30%	47.10%	41.40%	22.50%	148.00%	13.50%	26.80%	-3.80%	19.20%
CAGR%	33.70%	13.70%	51.50%	22.50%	148.00%	13.50%	26.80%	-3.80%
Volatility annualized	17.70%	10.10%	11.30%	11.50%	30.60%	15.70%	10.30%	5.20%
Risk Free Rate	2.35%	3.90%	2.00%	2.10%	0.40%	0.00%	2.02%	5.07%
Sharpe Ratio	1.61	0.95	3.61	1.65	3.19	0.88	2.18	-1.7
Calmar	3.51	2.16	27.42	4.91	35.14	1.58	7.7	-0.68
Sortino	4.08	1.74	40.09	3.53	-	1.21	3.02	-3.35
Kelly criterion	0.1	0.14	0.37	0.17	0.11	0.06	0.25	-0.15
Skew	1.84	0.21	0.11	0.04	0.81	-0.84	0.45	0.64
Kurtosis	6.77	0.11	-0.89	-0.79	0	-0.13	-0.07	0.16
VaR (5%)	2.40%	3.60%	1.70%	3.70%	4.20%	7.30%	2.40%	2.50%
Max Drawdown	-8.80%	-6.20%	-1.60%	-4.30%	-2.80%	-8.80%	3.20%	5.50%	6.20%
Geo. Avg. Monthly	2.40%	1.10%	3.50%	1.70%	7.90%	1.10%	2.00%	-0.30%	1.60%
Volatility monthly	5.10%	2.90%	3.30%	3.30%	8.80%	4.50%	3.00%	1.50%	3.70%
High Month	28.00%	7.80%	9.30%	7.60%	28.00%	6.40%	7.80%	3.00%	5.70%
Low Month	-8.80%	-6.00%	-1.00%	-3.60%	-2.80%	-8.80%	-3.20%	-2.70%	-6.00%
Win rate weekly	69.10%	61.10%	80.00%	66.70%	91.70%	66.70%	83.30%	33.30%	63.60%
Beta (S&P500)	0.28	0.1	0.16	0.64	-0.15	0.82	0.04	0.05