Weekly Algorithm Review: 12/09/2023 to 12/15/2023
Performance Rankings
Base Algorithm: +4.19%
Variable Market Neutral: +3.04%
Long Term Portfolio: +2.88%
Variable Sector Neutral: +2.36%
Overall Market: +2.2%
Market Neutral: +2.08%
Sector Neutral: +0.77%
This was an excellent week for us - and unless you were short on the market, it was probably a great week for you as well. The algorithm out-performed by a staggering 131 bps. With the portfolio also out-performing the market by 68 bps, we have a net out-performance of 199 bps this week.
One strong week does not a comeback make for the daily algorithm, but I’ll note that this is its 3rd consecutive week of out-performing the portfolio.
Comparing our returns by ticker, it’s almost exactly what we want to see. The algorithm’s returns are not only more biased towards the green, but also much flatter than the distribution we see from the portfolio. Our goal is a high Sharpe of returns, which means we want to make money and we want to do it consistently. A greener distribution helps us make money, and a flatter one is a good sign for our ability to do it relatively consistently.
All of this said, this week alone doesn’t prove anything on its own. Most of the algorithm’s wins over the portfolio came as a result of Powell’s speech on Wednesday - something our system is not able to account for - and its aftermath. As excited as I am to report performance of this caliber, I wish I could do so under circumstances more similar to that of a normal week. It’s a good sign, and definitely better than an under-performance.
What’s In The Pipeline?
In some more optimistic news, our experimental algorithm had a great week. It’s up 1.06% from this week alone. This negates its losses from the previous 2 weeks by a factor of roughly 14 times.
Like our daily algorithm, this system also made big gains on Wednesday and Thursday, but I’m less inclined to attribute them to Powell and news influence for 1 reason: this experimental algorithm is beta-neutral. It has the ability to long/short every ticker we feed it, and (in theory) should do so with roughly equal propensity. Even though the markets skyrocketed, that just as easily could have screwed it. I’m not convinced of its effectiveness at this time, but this is certainly great to see.
Misc. Data For The Week
