Algorithm Performance: 09/27/2022
Performance Rankings
Experimental Sector Neutral: -0.08%
Sector Neutral: -0.15%
Experimental Market Neutral: -0.16%
Market Neutral: -1.2%
The Market: -1.26%
Base Algorithm: -1.3%
Long Term Portfolio: -1.67%
What Happened And Why?
Would you kill me if I said this was great news? Sure we lost money everywhere, but this was a great day for technicals. If we did the algo-style market or sector hedging on our long term portfolio, we’d have seen returns of -0.81% and -0.09%, respectively. That means that today, our base algo and both experimental hedgers beat their baselines. That’s a success rate of 3/5 on technical modeling - and all 3 that use raw price as their independent variables!
One good day does not a return to technicals make, but it’s hard to deny that this is a great sign for the quant team.
I take a little bit of pause here because of the ticker-attributed returns of our long term portfolio and our base algorithm.
Of the 50 tickers in our portfolio, only 2 went green intraday today. The base algorithm allocated into these 2. This isn’t why the base won (it would have beaten the long term portfolio even without these 2), but it’s interesting to examine algorithms on high-variance days like this. When only a few tickers are green or red, whether a system chooses those is often a huge factor in its success.
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. Congrats to everyone who made money today, let’s hope for a better tomorrow.
-Asher
