Algorithm Performance: 09/21/2022
Performance Rankings
Sector Neutral: +0.31%
Experimental Sector Neutral: +0.02%
Experimental Market Neutral: -0.12%
Market Neutral: -0.32%
Long Term Portfolio: -1.47%
Base Algorithm: -1.63%
The Market: -2.26%
What Happened And Why?
We all saw it today. The market was having a pretty calm day, but the announcement of another 75 bps rate hike sent it erratic.
As expected, our algorithms underperformed today. They only account for technical signals, so a big news event like today can really throw them off. For this reason, we closed today’s positions on the pilot account prior to the announcement.
We’re actively looking at leaning away from technical analysis, until the market is more stable. This will take the form of holding our whole long portfolio, with some hedging in place.
On the bright side, we see some promise trading that way - especially on days with big news. As you can see, our algo with no hedging in place was the only one that really responded to news of the rate hike.
We’re hoping to do a test run of our whole portfolio hedged tomorrow. We will give an update on its performance.
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
