Algorithm Performance: 11/16/2022
Daily Performance
Market Neutral: +0.8%
Variable Market Neutral: +0.68%
Base Algorithm: +0.5%
Long Term Portfolio: -0.14%
Variable Sector Neutral: -0.26%
The Market: -0.34%
Sector Neutral: -0.49%
Today was a very solid day for us. Of our 3 systems, only SN underpeformed its baseline (and was the only of our systems to underperform the market). Both MN and the base algorithm significantly beat their baseline, which is always great to see.
Sector hedging was a bad move for us to begin with today. Our LTP leans into sectors which did fairly well today. Going along with that, our SN algorithm didn’t pick a lot of winners from that list. These 2 factors came together to make SN our biggest loser today, by a large margin.
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
