September 2022 NewsLetter
Management comments
Gross performance in September was positive again, and the trading strategy set a historical record of 12 continuously profitable months since October last year. When in Sep-2021 the robot faced the maximum drawdown of 8.7%, we made some improvements and now reap the benefits. However, net performance is shown negative because performance fees due for Q3-2022 had to be deducted. We apply cash basis for accounting net performance.
Last month the robot outperformed the benchmarks HFRI EH Quantitative Directional Index (-2.60%) and Eurekahedge North America Long Short Equities Hedge Fund Index (-3.61%). Average daily gross exposure was 47% (54% in August) with the peak of 105% (130% in August) while net exposure varied from-93% to +105%. Even when there are fewer positive days than negative ones, the trading system is able to effectively manage risk/return and avoid losses as was the case in September.
Last Month
There were two exceptional days (12th and 23rd) when daily returns exceeded 2.0% and two worst days (13th and 21st) when daily losses were about -1.5%.
Year-to-Date (YTD)
January is still the best month of the year with 7.84% p.m. gross return, and September has become the weakest month with 0.22% p.m. gross return.
The full Newsletter can be found here: ARQuant Newsletter 2022-09
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.