Algorithm Performance: 09/15/2022
Performance Rankings
Sector Neutral: +0.38%
Experimental Market Neutral: +0.25%
Market Neutral: -0.03%
Experimental Sector Neutral: -0.21%
Base Algorithm: -0.39%
Long Term Portfolio: -0.66%
The Market: -0.72%
What Happened And Why?
Today’s report will be a short one - the only real outlier today is Experimental Sector Neutral. I’d like to look at the overall portfolio to explain this.
While the portfolio was almost all red or very slight green, we did have a few outliers that did great: UNH, JPM, NRG, ELV, and BAC. Our systems lived and died by how much they allocated into these.
Looking at returns by ticker, the results make a lot of sense. Today, Sector Neutral had more than 20% of its portfolio in NRG and ELV - whereas Experimental Sector Neutral had none. With 20% of their respective portfolios differing, it makes total sense that their performance today would be so far apart. And with just a few tickers doing exceptionally well today, I suspect we can chalk this up to the law of small numbers.
Experimental Sector Neutral is also our only system to underperform its baseline today. Even though we took a loss on the pilot, I’m not too shaken by todays results.
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 hope for a greener tomorrow.
-Asher
