Algorithm Performance: 10/13/2022
Performance Rankings
The Market: +4.8%
Base Algorithm: +4.59%
Long Term Portfolio: +3.81%
Experimental Market Neutral: +0.68%
Market Neutral: +0.3%
Experimental Sector Neutral: -0.05%
Sector Neutral: -0.17%
What Happened And Why?
Short report today. Partly because I’m working on other stuff, partly because we all saw what happened today. CPI drove the market up. Nothing we had beat the market, but I’m all in all happy with performance today. I’m mainly looking at our hedgers (where 2 lost, 1 won, and 1 tied relative to their baselines).
We can see above how hedging was a terrible idea today. If you went beta or sector neutral, you missed out.
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. Thanks for reading and congrats to everyone who made money today. Let’s keep the party going tomorrow.
-Asher
