Daily Watchlist · On Our Radar · Portfolio Update

2016/11/09 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update


Equities Short-Term Long Only        
0.70% -1.85% -4.57% 41.74%
    Short Only        
      -1.58% -1.29% -1.59% 32.73%
      -0.27% -1.46% -3.25% 38.44%
  Medium-Term Long Only        
      0.83% -0.97% -4.93% 15.82%
ETF Short-Term Long Only        
      4.40% 5.51% 3.41% 34.38%
    Short Only        
      -4.34% -1.31% 0.79% 7.59%
      1.12% 3.09% 2.51% 32.64%
  Medium-Term Long Only        
      1.34% 1.83% 0.78% 26.32%
Futures Short-Term Long/Short        
      0.38% 3.11% 6.51% 13.07%
FX Short-Term Long/Short        
      0% 0% 1.89% 17%
SPX Benchmark Index          
      1.11% 1.75% -0.23% 5.84%

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Portfolio Commentary

Today was precisely one of the big reasons why we rely on quantitative signals to aid in our portfolio allocation and trading, as it filters out the noise and fear from the headlines and events such as yesterday’s historic Trump victory. For example, our signal went long the NQ futures heading into the election and our position remains open. In addition, our signal went long the IBB last week both in short-term and medium-term portfolios as the chart pattern and statistics were predicting a sizeable bounce.  Though at the same time, its pitfall is its inability to filter out idiosyncratic moves in individual stocks due to the underlying fundamentals. That’s the pros and cons, hence the recent discrepancy in performance between our ETF and Equities portfolios. However we continue to believe over the long term, with our large number of signals and diversification the idiosyncrasies will even out and lead to consistent outperformance over time.


Chart in Focus

AMT  –  Short-Term Long

Target: 112.49

Entry Point(s): 109.22

Comments:  REITs were smacked across the board on interest rate move, with AMT plunging right to up channel support. Should bounce in ST given rates are deeply oversold and likely stabilize in ST.



CMA  –  Short-Term Short

Target: 50

Entry Point(s): 54.76

Comments:  Impressive rally in regional banks generically, with CMA up at top of up channel in overstretched condition. Like in May and June this year, likely face stiff resistance and pullback in ST.




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