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
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.