Daily Watchlist · On Our Radar · Portfolio Update

Portfolio Update – 2016/10/14

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET `CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
-0.82% -2.27% -2.27% 44.04%
    Short Only        
      0.44% 2.33% 2.33% 36.65%
    Long/Short        
      -0.10% -0.14% -0.14% 41.55%
  Medium-Term Long Only        
      -0.18% -3.52% -3.52% 17.23%
ETF Short-Term Long Only        
      -0.65% -0.59% -0.59% 30.37%
    Short Only        
      1.02% 1.22% 1.22% 8.02%
    Long/Short        
      -0.09% 0.33% 0.33% 30.46%
  Medium-Term Long Only        
      -0.58% -2.37% -2.37% 23.17%
Futures Short-Term Long/Short        
      -0.90% 2.15% 2.15% 8.71%
FX Short-Term Long/Short        
      0.13% 1.46% 1.46% 16.57%
SPX Benchmark Index          
      0.02% -1.63% -1.63% 4.36%
             

Portfolio Commentary

Our quant signal is leaning more bearish, as our Long/Short portfolio now has 56% short exposure. We exited 4 short positions, including short-term WDC short position as a hedge to our medium-term portfolio which profited 7.6%, and replaced them with 4 new short positions.  While our Long/Short portfolios have managed to outperform during this choppy environment, our medium-term Long only portfolios have lagged due to underperformance of momentum stocks. We are confident our signal will adapt and adjust the composition of our portfolio as necessary to catch up.

 

 

Chart in Focus

VG  –  Short-Term & Medium-Term Long

Target: 6.51

Entry Point(s): 6.20

Comments:  Grinded back to 50DMA and bullish trendline where there should be solid support. Look for bounce to 20DMA.

20161016-VG.png

 

 

CSX   – Short-Term Short

Target: 28

Entry Point(s): 31.02, 32

Comments: Long-legged doji formed after strong breakout from inverse H&S neckline. Likely pullback towards breakout and up trend

20161016-CSX.png

 

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