Algorithm Performance: 11/03/2022
Performance Rankings
Market Neutral: +0.55%
Variable Market Neutral: +0.33%
Base Algorithm: +0.2%
Long Term Portfolio: +0.12%
Sector Neutral: +0.08%
The Market: -0.12%
Variable Sector Neutral: -0.4%
What Happened And Why?
Today was a total win for us. We’re 3/3 on our main algorithms beating their baselines, and the long term portfolio did great relative to the market. The only oddity is VSN, significantly deviating from where we’d want to see it.
The biggest offenders here are ADBE and STZ. A large amount of the difference in returns is attributable to different allocations in these 2. The modeling between these 2 systems is fairly similar, but not identical - same with MN and VSN. This will lead to slight differences in allocations, but every so often a slight difference in allocations leads to a big difference in results.
We really have to judge the variable hedgers by their long term performance, but in the long run we expect their differences to be a success.
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. Good luck trading tomorrow.
-Asher
