Algorithm Performance: 09/14/2022
Performance Rankings
Base Algorithm: +0.28%
Market Neutral: +0.14%
Experimental Sector Neutral: +0.04%
The Market: +0.03%
Experimental Market Neutral: +0.02%
Sector Neutral: -0.11%
Long Term Portfolio: -0.28%
What Happened And Why?
The day after a major market shakeup is usually high-variance for our systems. I advised us to go with either cash or the long term portfolio on the pilot account today. This was a bad move, as our base algo did great.
Market hedging didn’t do us a lot of favors today. Technically the market neutral portfolios were hurt by it - but only slightly. To elaborate on this, take a look at SPY. It roughly broke even intraday. Since our algorithms don’t adjust their holdings intraday, none of them had an opportunity to gain or lose much trading the overall market.
Sectors were a little more interesting. With a few sectors up, and the others taking a slight drop, it came down to how we estimated betas. Looking at the whole portfolio, sector hedging was the better move today (albeit not by much).
Ultimately, all 5 of our main algorithms outperformed their baseline by a good margin. I’m happy with today’s performance, though I stand by my decision not to have bet on it.
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. Congratulations to everyone who made money today. Let’s keep it up tomorrow.
-Asher
