Algorithm Performance: 10/27/2022
Performance Rankings
Market Neutral: +0.21%
Variable Market Neutral: +0.03%
Sector Neutral: -0.07%
Variable Sector Neutral: -0.09%
Long Term Portfolio: -0.32%
Base Algorithm: -0.38%
The Market: -0.81%
What Happened And Why?
All of our systems underperformed their baselines today. We hate to see it, but sometimes this just happens. As the results imply, market hedging was much more effective than sector based hedging today. The variable hedgers also did largely what we would expect from them on a day like today.
This has been a tough week in general for technical analysis. We were universally able to beat the market today, but that’s more attributable to the long term portfolio than any of our algorithms.
I suspect that the major earnings of this week have been partly responsible for this. Our system won’t recommend any tickers that have an earnings coming up, because with earnings plays, the result is rarely attributable to technical signals. But with major reports like Meta, Google, Apple, Microsoft, and Amazon, everything feels the effects of those earnings. This gives me an idea. Perhaps it would be useful to hedge against major earnings plays? Calculate our portfolio’s betas to each company of a minimum dollar value with earnings that day, and trade some of its stock as a hedge. It would take too long to be ready tomorrow (or at any time this week), but I’m adding this to the backlog.
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. Thank you for reading and congrats to everyone who made money today. Let’s hope for a little more green tomorrow.
-Asher
