Algorithm Performance: 10/26/2022
Performance Rankings
Base Algorithm: +0.48%
Variable Market Neutral: +0.35%
Long Term Portfolio: +0.2%
Market Neutral: +0.14%
The Market: +0.1%
Variable Sector Neutral: -0.09%
Sector Neutral: -0.19%
What Happened And Why?
Our base algo and MN beat their baselines today, giving us a 2/3 win rate. I’m not including variable hedgers in that because as you’ll see in just a second, their performance is very predictable from their non-variable counterparts.
We hedged 71.3% of our exposures in the variable hedgers. We can see here, VMN’s performance is just about ~70% of the way from the base algo to MN. It’s not exact - there is some modeling difference between them - but it’s pretty close. We can see VSN doing largely the same thing.
I expect our variable algos to do better in the long run, but it’s unlikely they’ll do much on a day-to-day basis. For this reason, I’m not including them in our win rate, and will mostly gloss over them except in weekly reviews.
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:
I’ve excluded the variable hedgers because we’re still deciding how much to hedge today. Whatever the decision, exposures will be reduced universally by the percentage stated.
That’s all for tonight. Thank you for reading, and best of luck trading tomorrow.
-Asher
