Algorithm Performance: 09/19/2022
Performance Rankings
The Market: +1.65%
Long Term Portfolio: +1.09%
Base Algorithm: +0.87%
Sector Neutral: -0.01%
Market Neutral: -0.11%
Experimental Market Neutral: -0.36%
Experimental Sector Neutral: -0.49%
What Happened And Why?
First and foremost, hedging was a bad idea today - especially if you held through power hour.
This morning, we thought today would be more bearish, and didn’t want to invest in the base algorithm. This was, as can be seen above, a giant mistake. Had we held our whole portfolio market or sector hedged, we would have seen returns of -0.034% and -0.198%. Thus, only sector neutral beat its baseline return today.
This continues a trend I’ve seen the last few days - a lot of the technical indicators we use aren’t performing at the level we expect them to. In the short term, there’s not much we can do about this. We’re looking into holding our entire long term portfolio for the time being, with modified sector hedging in place. We’ll give updates on this at a later time.
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 going tomorrow.
-Asher
