Algorithm Performance: 11/07/2022
Performance Rankings
Long Term Portfolio: +0.61%
The Market: +0.59%
Variable Sector Neutral: +0.59%
Base Algorithm: +0.37%
Sector Neutral: +0.36%
Variable Market Neutral: +0.15%
Market Neutral: -0.12%
What Happened And Why?
Only SN beat its baseline, giving us a 1 out of 3 win rate today. However, I don’t think this is a particularly bad sign, because there’s a clear reason this happened today.
The biggest problem here is $SRE - the base algo bet disproportionately on it, and it was the biggest loser in the LTP today. That aside, the base under—allocated into some of the bigger winners today. While underperformance is always bad to see, it’s better that it was due to a few specific mistakes, rather than just generally missing the mark. Looking at MN below, you’ll see fairly similar patterns.
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 keep it going tomorrow.
-Asher
