Algorithm Performance: 10/31/2022
Performance Rankings
Variable Sector Neutral: +0.59%
Sector Neutral: +0.57%
Market Neutral: +0.21%
Variable Market Neutral: +0.16%
Base Algorithm: +0.1%
The Market: -0.06%
Long Term Portfolio: -0.09%
What Happened And Why?
Today was great for us - we went 3 for 3. The only really unusual thing about this is Variable Sector Neutral. We expect that, with its goal of being midway between Base and SN, that its performance should lie between them - and yet this isn’t the case.
The reason for this is that their modeling is slightly different. If we’re doing a 50% hedge with our variables, for instance, they aren’t going to take everything the Base recommended and then try to hedge 50% of their exposures. Instead, they’ll look at which signals tend to perform well when their returns are adjusted for a 50% hedge, and then give recommendations based on that. There’s more to it than [X% of the way from Base to Sector Neutral or Market Neutral], but in that long run that’s what we expect to see. Outliers like today aren’t a sign that something is wrong, however.
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 good luck trading tomorrow.
-Asher
