For medium-term asset managers: US sectors: technology, financial, energy, as the Fed dovish note is released
Since Tue 10 Oct, some dovish note was released and a further interest rate this year may be off the table. The engine at tsterm.com is currently set up only to process price data of financial instruments, unaware of any news. Let’s see how it behaves up to this point.
The white paper explained the procedure how to obtain synthetic trading position from the net majority votes of trained models. Let’s collect and check them since early September for three US sectors: technology XLK, financial XLF, and energy XLE. We will see they were generally steadily trending down, but picking up as of Wed 11 Oct close for some.
(The listings below were by calculation time. If the figure printed for Mon 11 Sep is 0.63, it means the synthetic position 0.63 shares is to be opened from Mon 11 Sep close, kept open till Tue 12 Sep close.)
Using 6-month ahead forecast horizon,
for US technology sector XLK,
2023-09-11,0.63
2023-09-12,0.63
2023-09-13,0.63
2023-09-14,0.63
2023-09-15,0.63
2023-09-16,
2023-09-17,
2023-09-18,0.62
2023-09-19,0.63
2023-09-20,0.63
2023-09-21,0.62
2023-09-22,0.61
2023-09-23,
2023-09-24,
2023-09-25,0.61
2023-09-26,0.61
2023-09-27,0.62
2023-09-28,0.62
2023-09-29,0.61
2023-09-30,
2023-10-01,
2023-10-02,0.61
2023-10-03,0.61
2023-10-04,0.60
2023-10-05,0.60
2023-10-06,0.60
2023-10-07,
2023-10-08,
2023-10-09,0.59
2023-10-10,0.59
2023-10-11,0.6
We see they were slowly trending down, but as of Wed 11 Oct close, it went back up to 0.60.
for US financial sector XLF,
2023-09-11,0.22
2023-09-12,0.22
2023-09-13,0.22
2023-09-14,0.22
2023-09-15,0.22
2023-09-16,
2023-09-17,
2023-09-18,0.21
2023-09-19,0.21
2023-09-20,0.21
2023-09-21,0.2
2023-09-22,0.18
2023-09-23,
2023-09-24,
2023-09-25,0.18
2023-09-26,0.18
2023-09-27,0.19
2023-09-28,0.19
2023-09-29,0.19
2023-09-30,
2023-10-01,
2023-10-02,0.19
2023-10-03,0.18
2023-10-04,0.17
2023-10-05,0.17
2023-10-06,0.18
2023-10-07,
2023-10-08,
2023-10-09,0.17
2023-10-10,0.18
2023-10-11,0.19
They were also trending down and picked up as of Wed 11 Oct close.
for US energy sector XLE,
2023-09-11,0.74
2023-09-12,0.74
2023-09-13,0.74
2023-09-14,0.73
2023-09-15,0.73
2023-09-16,
2023-09-17,
2023-09-18,0.73
2023-09-19,0.73
2023-09-20,0.73
2023-09-21,0.73
2023-09-22,0.73
2023-09-23,
2023-09-24,
2023-09-25,0.73
2023-09-26,0.73
2023-09-27,0.73
2023-09-28,0.73
2023-09-29,0.73
2023-09-30,
2023-10-01,
2023-10-02,0.73
2023-10-03,0.73
2023-10-04,0.73
2023-10-05,0.73
2023-10-06,0.73
2023-10-07,
2023-10-08,
2023-10-09,0.72
2023-10-10,0.72
2023-10-11,0.72
They were always slowly trending down.
Let us note that as of 11 Oct, the synthetic positions for the upcoming day are
the technology sector XLK 0.6 shares
the financial sector XLF 0.19 shares
the energy sector XLE 0.72 shares
Why XLF is so low? We’ll write a note tomorrow.