Looking back at 2015

Happy New Year, guys!

It most definitely is time to give an update to this blog. Rest assured, I’m still here, just been rather busy working on my ranking algorithm (and I found it a bit boring to do, almost mechanical, monthly updates as I tried for a while.) I alluded to some of the direction I was going in one of my previous blog posts. We’ll see how or if that pans out publicly here or on the GitHub repository, but good progress has been made. The results might be too good to share freely.

I thought I’d summarise 2015 with regards to the opportunity index. 2015 was, well, pretty flat. It’s difficult to beat an index by being either long, short, or out of the market on that index, when things are generally flat. But there was some significant movement, a couple of times, and over all, as in 2014, we ended our portfolio value higher than the benchmark. With 2015 starting at 2071.13, it ended at 2052.67 for the S&P 500, while the active strategy managed 2124.46.

AOMOI-2015

In addition to that, we also logged a positive alpha at 3.43%, still sticking to the default settings.

Other potentially interesting observations:

  • The general trend for the opportunity index has been going down throughout 2015.
  • This has towards the end manifested itself as us being out of the market for the majority the last two months.
  • We are now very close to and slightly below an indicator value of 30. Things might jump up again quickly. But generally, all of 2015 showed little sign of wanting to be too far above this level.

2016 certainly didn’t get off to the best start (if you’re long), but it will be interesting to continue to follow its development.

Posted in Analysis.