Between Wednesday 28th August and Wednesday 11th September (the last 10 bars in the charts below) the S&P 500 Index had a mild recovery to near record highs on light volume.
However over the same period the DJ US Thematic Market Neutral Momentum index fell steeply, in it’s most violent move ever.
Whilst the DJ US Thematic Market Neutral Value index recovered strongly.
Further during the period we incurred several security specific news items that were detrimental to our positions.
Securities in our AI selected global equity strategy have a minimum holding period of three months and profitable positions suffered from this rapid reversal. The AI does however assesses both momentum and value and will adapt (over time) to changes in thematic rotation whilst not suffering behavioural issues of short term misfortunes.
Broker statements are always available for inspection.