Daily Watchlist · On Our Radar · Portfolio Update

2016/10/26 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET `CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
0.32% -1.83% -1.83% 44.48%
    Short Only        
      -0.23% 0.87% 0.87% 35.19%
    Long/Short        
      0.09% -0.81% -0.81% 40.89%
  Medium-Term Long Only        
      0.34% -3.10% -3.10% 17.64%
ETF Short-Term Long Only        
      -0.37% 0.01% 0.01% 30.97%
    Short Only        
      0.55% 1.23% 1.23% 8.03%
    Long/Short        
      -0.14% 0.88% 0.88% 31.01%
  Medium-Term Long Only        
      -0.69% -0.98% -0.98% 24.56%
Futures Short-Term Long/Short        
      1.17% 3.21% 3.21% 9.76%
FX Short-Term Long/Short        
      -0.10% 1.89% 1.89% 17%
SPX Benchmark Index          
      -0.17% -1.33% -1.33% 4.67%
             

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Portfolio Commentary

Heading into the end of the month, we exited positions across asset classes. We are now flat in FX and Futures portfolios. One position which may look curious is our long in Vonage (VG) in both short-term and medium-term portfolio, as well as the short in the same name. So effectively we are long 2x VG and short VG at the same time. We want to elaborate a bit further, first on the double long – It is rare but if our medium-term and short-term signals detect a buy in the same name, we would go long 2 times the same name but in separate portfolios, and it happens that both signals were initiated on the same day (10/14). Next, we shorted VG today after the spike up on earnings, as our signal detects a potential short-term pullback, and hence it acts as a hedge to our long positions.  We will cover VG in our Chart in Focus.

 

 

Chart in Focus

HBI  –  Short-Term Long

Target: 23.89

Entry Point(s): 24.94

Comments:  Grinded back to bottom of descending channel in oversold condition, should bounce towards 20DMA area and top of channel.

20161026-HBI.png

 

VG   – Short-Term Short

Target: 6.5

Entry Point(s):7.08

Comments: Short-term overbought after massive spike on earnings. Historically these spikes have led to corrective moves, and our signal similarly expects one from here.

20161026-VG.png

 

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