Algorithm Performance: 08/18/2022
Performance Rankings
The Market: +0.24%
Base Algorithm: +0.1%
Long Term Portfolio: +0.1%
GoodVibrations: -0.16%
FeelGoodInc: -0.21%
Kokomo: -0.22%
What Happened And Why?
The market as a whole had a solid day today.
Nearly every sector was at least a little bit up by close. That in mind, it’s no wonder our hedgers underperformed our non-hedgers. Our Base Algo matched our Long Term Portfolio’s performance, so I would guess that our technical signals didn’t pay off as well as usual today. To examine our hedgers with some more color, let’s look at our portfolio controlled for market and sector influences.
We can see our portfolio was carried more by market and sector movements than individual stock technicals today - a phenomenon that’s not uncommon on days when most sectors are up.
That said, if we look at intraday returns, we can see that our hedging has made our returns more consistent.
We can see from around 11:45 - 13:00, our Base Algo takes a significant drop, with Kokomo following to a lesser extent. If we refer to the sectors chart above and our exposures from yesterday’s report, we can see Consumer Staples, Healthcare, and Utilities all taking drops in this timeframe. Our Base Algo was highly exposed to all of these, with Kokomo also taking modest exposure. If you held our Base Algo or Kokomo and noticed returns were volatile today, this is the reason. It’s also why our sector hedgers resisted that drop entirely.
Tomorrow’s Outlook
The full algorithm reports will be published tomorrow morning, once Allen has had a chance to vet its recommendations. In the meantime, here are our tentative exposures for the trading day tomorrow:
That’s all for tonight. Thank you all for reading. Wishing everyone good luck trading tomorrow.
-Asher
