February factsheet | Algo – algorithmic trading

February factsheet

“The ATP subfund M earned +0.99% in February. The algorithms traded profitably and steadily throughout February, same as in January. All asset classes generated profit except of currencies. A significant profit was earned from agriculture (+0.38%), interest rates (+0.38%) and stock indexes (+0.30%) asset classes. The stock market continued its optimism in February. Most of stock indexes rose. However, the fund’s algorithms succeeded in catching moments when the stocks fell for a short time and exploited these dips. Therefore, profit from short positions was made even in rising market in general. The fund’s algorithms were profitable from both from long positions (+0.48%) and short positions (+0.52%) in all asset classes in total. Individually, the best performing instruments were corn (+0.28%) and EURO STOXX 50 stock index (+0.26%). The profits of both corn and EURO STOXX were made from successfully predicting price declines of these instruments. Contrary algorithms were also able to predict price upswings of coffee (+0.19%) and 30 year Ultra USA treasury notes (+0.18%). The only significant loss came from euros and US dollar exchange rate trading (-0.23%). Untypical swings in exchange rate were not suitable for algorithms. Therefore, they generated loss from both long and short positions. Looking at the overall performance in a last few months it can be seen that algorithms perform profitably both when there is a lot pessimism in the market (December) and when there is a lot of optimism (January, February). We hope that the algorithms will continue to perform well and independently to the global market swings.”, – commented fund manager Dr. Aistis Raudys.

Download the subfund M factsheet:


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