Algorithmic Week In Review: 10/09/2022
Recent Performance - Friday
Experimental Sector Neutral: +0.69%
Experimental Market Neutral: +0.61%
Sector Neutral: +0.5%
Market Neutral: +0.42%
Long Term Portfolio: -1.36%
Base Algorithm: -1.41%
The Market: -1.67%
Friday was a great day to hedge, and a terrible day to be long the market. All of our hedgers outperformed their baselines, and the base algo only underperformed the portfolio by a slight margin. And with the long term portfolio doing great, even with that you would have beat the market. I’m calling Friday a strong win for us . . . with an asterisk.
Thanks for your patience with all that scrolling. As you can see above, 3 of our 4 hedgers just . . . didn’t trade much on Friday. Each had 1 ticker hard carry their values. I don’t think this negates our win on Friday - they all would have beaten their baselines even without their biggest winner - but it’s worth noticing.
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. Best of luck this week. I’ll keep you all posted on any new developments on the quant end.
-Asher
