Algorithm Performance: 10/04/2022
Performance Rankings
The Market: +1.5%
Base Algorithm: +1.47%
Long Term Portfolio: +1.34%
Market Neutral: +0.41%
Experimental Market Neutral: +0.25%
Experimental Sector Neutral: -0.04%
Sector Neutral: -0.1%
What Happened And Why?
Only Market Neutral and the base algorithm beat their baseline today, as both of our sector hedgers and experimental market neutral underperformed a baseline.
There isn’t much to dive into on why some of our hedgers underperformed today. In any case, they didn’t have much of a chance of doing well today. With the market so green today, you were always going to underperform if you hedged your betas.
I hate to push consecutive reports with no deep dives, but again there’s not much to dive into. Today was a slight underperformance, but not by much. There also isn’t anything new to report on the new modeling system. The last backtest was on-par with our current model, but after it finished we noticed a mistake. The learning part of the model was optimizing for a transformed version of returns, rather rather than actual returns. A new test, with this corrected, is underway now.
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. Great market today - let’s hope it keeps going.
-Asher
