Daily Watchlist · On Our Radar · Portfolio Update

2016/10/12 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET `CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
0.49% -1.46% -1.46% 44.85%
    Short Only        
      -0.89% 1.18% 1.18% 35.50%
    Long/Short        
      -0.29% -0.40% -0.40% 41.30%
  Medium-Term Long Only        
      0.03% -3.07% -3.07% 17.68%
ETF Short-Term Long Only        
      0.59% -0.58% -0.58% 30.38%
    Short Only        
      0.81% 0.61% 0.61% 7.41%
    Long/Short        
      0.66% 0.04% 0.04% 30.18%
  Medium-Term Long Only        
      0.06% -2.27% -2.27% 23.28%
Futures Short-Term Long/Short        
      0.32% 2.39% 2.39% 8.95%
FX Short-Term Long/Short        
      -0.64% 1.05% 1.05% 16.16%
SPX Benchmark Index          
      0.11% -1.34% -1.34% 4.66%
             

Portfolio Commentary

In anticipation for further ST rally in REITs and Utilities, we added more individual names from each sector which have bullish reversals. In our ETF portfolio, we have been also added back IYR on bullish confirmation detected by our quant signal. IBB and XLV were on the defensive once again, but we remain bullish on the latter. In our medium-term portfolio, we added AET which turned deeply oversold.

 

Chart in Focus

SPG  –  Short-Term Long

Target: 205

Entry Point(s): 198.92

Comments:  A rare bullish statistical setup with RSI in oversold levels not seen since Sept 2013 which marked the bottom ever since.

20161013-SPG.png

 

 

DRI   – Short-Term Short

Target: 60

Entry Point(s): 62.8

Comments: At top of trading range and if recent history any indication should drop back towards the bottom.

20161013-DRI.png

 

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