Investo.ai performance in its initial 4 months
Investo.ai has now reached 4 months of activity. The first data to examine is whether it has brought positive or negative results.
The 120 portfolios that have reached maturity have closed on average with about 60 dollars of profit, before commissions.
Considering that each portfolio needs 12 transactions (6 to take position and 6 to exit) and that the commissions at this level can be attested to 5 Dollars per transaction, we can say that in the first 4 months the Investo.ai portfolios have closed at parity.
Not an outstanding performance so far, it is clear that the predicting performance should improve in the stocks selected in the short positions.
The Nasdaq 100 index from the beginning of the experiment is up 4.5%.
Out of 120 portfolios, 55% of them closed with a positive return, however the expected average monthly return (e.g. 0.5%) was not reached.
During the period, on 13 January 2018, an intervention was carried out to reduce the stop loss levels, thus increasing the early closures of the non performing long / short positions.
In the last 4 months the Nasdaq 100 market regime has been essentially a bullish low volatility, with some periods of a few days bearish high volatility (trade tariffs of Trump and Facebook privacy).
At the moment the long open positions for the next 30 days are 4x short positions (64 Long vs 17 Short).
We will see if the Nasdaq 100 will resume its path of low volatility growth.
The annual (60 days average) expected return of Investo.ai is between 6% and 8%. (current 1.6%), we’ll see what happens in the coming months with the current quant (“punctual”) strategy.
2 new strategies will be added in the coming months (see the slides for further details).