Algorithm Performance: 10/18/2022
Performance Rankings
Experimental Market Neutral: +0.69%
Market Neutral: +0.63%
Experimental Sector Neutral: +0.16%
Base Algorithm: +0.09%
Sector Neutral: -0.25%
Long Term Portfolio: -0.26%
The Market: -1.07%
What Happened And Why?
Today was pretty in-line with expectations for us. Only our sector hedgers lost relative to their baseline, everything else won giving us a 3/5 win rate today. A great sign for technicals in the near future.
It’s a little interesting that market hedging did better than sector hedging today, but looking at sector performances it makes sense. The only sectors to underperform the market are ones we aren’t much exposed to anyways. On a more aggressive portfolio, we would have seen the opposite today - sector hedging would have been a great move.
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 greener tomorrow.
-Asher
