Daily Watchlist · On Our Radar · Portfolio Update

2016/10/21 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update


Equities Short-Term Long Only        
-0.80% -2.05% -2.05% 44.26%
    Short Only        
      0.17% 1.34% 1.34% 35.66%
      -0.39% -0.75% -0.75% 40.94%
  Medium-Term Long Only        
      -0.09% -3.01% -3.01% 17.73%
ETF Short-Term Long Only        
      -0.14% 0.01% 0.01% 30.98%
    Short Only        
      0% 0.68% 0.68% 7.48%
      -0.10% 0.75% 0.75% 30.88%
  Medium-Term Long Only        
      -0.27% -0.60% -0.60% 24.94%
Futures Short-Term Long/Short        
      1.91% 4.95% 4.95% 11.51%
FX Short-Term Long/Short        
      0.25% 2.05% 2.05% 17.17%
SPX Benchmark Index          
      -0.01% -1.25% -1.25% 4.76%

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Portfolio Commentary

Rough week for our Equities portfolio as idiosyncratic moves in individual stocks led to our underperformance this week. While our medium-term portfolio is on course to have the 2nd monthly underperformance vs SPX this year, we have no doubt we will be back on track and continue to consistently outperform over the long run. Our signal put on a long position in TWX, which is not to do with the buyout news but rather the price action indicates further gains are likely. Over the weekend, it is reported that AT&T’s buyout price is as much as $107.50 per share, which absent the deal falling apart, TWX’s share likely converges to the buyout price in the near future.


Certainly there is also substantial downside risk if the deal falls apart, but as our portfolio is well diversified, we are comfortable taking the position. Subscribers are advised to be cognizant of the risk and adjust their trading size accordingly. We also went long SWN, one of our favorite names this year, as it plunged back to an area our signal believes is a good opportunity to dip our toes back in.

We are generally pleased with the performance of our ETFs, Futures and FX portfolios, as our signals are largely in the green. We exited XLF for a 3% gain on Friday in our Medium-Term portfolio, and most of our active positions are performing except in IBB where we had an ill-timed entry last month.


Chart in Focus

CF  –  Short-Term Long

Target: 27

Entry Point(s): 25.82

Comments:  Bullish breakout from long-term downtrend signals further gains to next major swing point



SWN  –  Medium-Term Long

Target: 13

Entry Point(s): 11.59

Comments:  One of our favorite names, though we have stayed out of SWN since formation of double top. After recent plunge, a good entry point at 200DMA and ascending channel breakout area for a bounce back to 20DMA.



EBAY   – Short-Term Short

Target: 27

Entry Point(s): 29.06

Comments: A false breakout above 2015 highs suggests further downside in this correction. Downside target at 50WMA




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