We have the pleasure of informing you about what has happened to our Machine-Learning strategies during this month of October.
During this month of October, the uncertainties related to the US elections as well as the expected interest rate hike jolted the US equity markets. In addition the Q3 reporting brought some surprises.
Overall, the long strategies have been slightly impacted with respect to this last point, especially in the Healthcare sector, but this event driven volatility only has a minor effect on the year-to-date performance, which is well above the SP500 reference. The Long-Short strategy remains robust, well within the range of normal monthly volatility.
Let us restate what we deliver, on a log-return basis:
- We focus on two long-only strategies: the “hedged” one which gradually turns away from the machine-learning algorithm to go into cash when the SP500 becomes too volatile and the “no hedge” one which switches to the SP500 when the SP500 volatility rises.
|Price based ex-devidends||SP500||Long-cash hedged||Long-no hedge|
|Year-to-end of October||3.94%||11.56%||13.61%|
- We run a Long-Short non directional, non leveraged strategy, consistent with the UCITs constraints.
|Long-short Price based|
|Year-to-end of October||4.89%|
Thomson-Reuters operates as the independent calculator of the performance on the Long-Short side.
We are available to discuss with you our work : email@example.com