Algorithm Performance: 08/31/2022
Performance Rankings
Experimental Sector Neutral +0.43%
Experimental Market Neutral +0.18%
Sector Neutral +0.08%
Market Neutral -0.03%
Base Algorithm -0.56%
Long Term Portfolio -0.79%
The Market -1.19%
What Happened And Why?
This was exactly what I was hoping to see today. Our experimental hedgers and base algorithm all use fairly similar modeling - and all succeeded. The experimental hedgers both outperformed their rivals, and the base algorithm outperformed our long term portfolio. This is the second day in a row our base algo has done this, so I’m becoming more optimistic about our future.
At first glance, our base algorithm’s performance might look unimpressive. Of the 17 tickers it held today, only 4 went green. But given the context of our portfolio, the modeling did absolute work today. Only 6 of the tickers on our radar at all made positive returns today - and we got most of them!
Overall market trends are also remaining within expectations for us. Most defensive stocks have done well (when isolated from the sectors pulling them down), but the market is remaining consistently red. Today, energies was the only place to hide. Unless you traded the energy sector or went short, you probably didn’t have a great day.
We’re mostly expecting these trends to continue. On the pilot, I expect we’ll mostly focus on sector-neutral trading for the foreseeable future.
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. Good luck everyone. Let’s keep making money.
-Asher
