Quantitative Strategy – Automated Portfolio Update
Performance
| ASSET `CLASS | TYPE | LONG or SHORT | DAILY % | MTD % | QTD % | YTD% |
| Equities | Short-Term | Long Only | ||||
| 0.20% | -2.07% | -2.07% | 44.23% | |||
| Short Only | ||||||
| 0.11% | 2.44% | 2.44% | 36.76% | |||
| Long/Short | ||||||
| 0.15% | 0.01% | 0.01% | 41.70% | |||
| Medium-Term | Long Only | |||||
| -0.37% | -3.89% | -3.89% | 16.86% | |||
| ETF | Short-Term | Long Only | ||||
| 0.25% | -0.34% | -0.34% | 30.62% | |||
| Short Only | ||||||
| 0.14% | 1.35% | 1.35% | 8.15% | |||
| Long/Short | ||||||
| 0.24% | 0.56% | 0.56% | 30.69% | |||
| Medium-Term | Long Only | |||||
| 0.25% | -2.12% | -2.12% | 23.42% | |||
| Futures | Short-Term | Long/Short | ||||
| 0.69% | 2.84% | 2.84% | 9.40% | |||
| FX | Short-Term | Long/Short | ||||
| 0% | 1.46% | 1.46% | 16.57% | |||
| SPX | Benchmark Index | |||||
| -0.30% | -1.93% | -1.93% | 4.04% | |||
Daily Trade Signals
Portfolio Commentary
Our long/short portfolios were rewarded by the bifurcation of this market, as both our long and short portfolios were in the green. Our medium-term portfolio continues to lag due to weakness in momentum stocks, though one of our names did explode 20% afterhours post earnings, which should contribute to tomorrow’s return.
We would like to take the time to answer a great question from a subscriber, who asked why we went long the TLT even though we have been vocal in our bearishness in bonds. Please note that all our portfolios are driven by automated, quantitative signals which use statistical and technical analysis to put on long and short positions. On the other hand, our daily commentary contains our personal view which combines both fundamental and technical analysis on a more long-term basis, which may occasionally contrast the positioning of our portfolios. In this case, while we are more long-term bearish on Treasuries due to the chart patterns as well as our opinion inflation would soon creep up, leading to higher interest rates, our short-term quantitative signal was nonetheless suggesting a tradeable oversold bounce. Similarly, both our ETFs and Equities portfolio are long Utilities and REITs names for the same reason.
We have started included Daily Trade Signals section in this newsletter, and provide comments / clarifications where necessary
Chart in Focus
ABBV – Short-Term Long
Target: 62.5
Entry Point(s): 60.14
Comments: Confluence of support from bottom of channel, LT bull trendline as well as 200DMA provides good long entry point for quick bounce towards 20DMA
GPS – Short-Term Short
Target: 24
Entry Point(s): 26.16
Comments: Losing steam after explosive gap up as RSI moves under 70, similar pattern to previous explosive moves which tend to retrace further
