Daily Watchlist · On Our Radar · Portfolio Update

Portfolio Update – 2016/11/03

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
-1.09% -3.48% -6.19% 40.11%
    Short Only        
      0.13% 3.38% 3.09% 37.41%
    Long/Short        
      -0.60% -0.73% -2.52% 39.17%
  Medium-Term Long Only        
      -1.07% -3.33% -7.29% 13.46%
ETF Short-Term Long Only        
      -0.31% -0.92% -3.01% 27.95%
    Short Only        
      0.27% 2.60% 4.70% 11.50%
    Long/Short        
      -0.21% 0.01% -0.57% 29.56%
  Medium-Term Long Only        
      -0.48% -2.35% -3.40% 22.14%
Futures Short-Term Long/Short        
      0% 0% 3.40% 9.96%
FX Short-Term Long/Short        
      0% 0% 1.89% 17%
SPX Benchmark Index          
      -0.44% -1.76% -3.67% 2.19%
             

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Portfolio Commentary

We continued to clean out positions that were not going our away, and unfortunately we took more drawdowns in the biotech space than we expected due to the DOJ probe on generic drug pricing headline.

http://www.cnbc.com/2016/11/03/doj-examining-role-of-over-12-generic-drug-makers-charges-to-be-filed-by-year-end-report.html

But our quant signals will take out the emotions, move on and look for next opportunities to help us recoup the losses. Today we went long IBB and NQ in our ETF and Futures portfolio respectively, our signal has increasingly more conviction of a short-term bottom.

 

 

Chart in Focus

EQIX  –  Short-Term Long

Target: 359.35

Entry Point(s): 338.71

Comments:  Should bounce off bottom of descending channel and backtest of broken down trendline

 20161104-EQUIX.png


 

AVY  – Short-Term Short

Target: 64.45

Entry Point(s): 70.45

Comments: Backtested broken swing point on this relief rally, and should resume downside towards the next swing point.

20161104-AVY.png

 

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