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Position Neutral Algorithms (PNA)

Hello everyone!

This is my first post and I hope to make these sound much more interesting as this project advances. A little about me, I'm an engineering student at Cornell University studying a little known major called Operations Research. For the past few years I have involved with multiple investment organizations on campus. This involvement has lead me to think about the market in an unintuitive way. Now, on to the story of algorithm one.

"One day I wondered if it could be possible to create a portfolio that technically holds absolutely nothing. For Example: if I have 100 shares of XYZ Corp in my portfolio I would also have -100 shares of XYZ Corp, resulting in 0 positions in XYZ Corp. This algorithm attempts construct a portfolio which in theory will be position neutral, also denoted as a position neutral algorithm (PNA). The goal of a PNA is to find and capitalize on current market mis-pricings, misuses of leverage, and cross holdings between financial products. From my research findings and backtesting, I believe this makes effective use of the various financial products which have dominate recent market offerings (mutual funds, ETFs, levered ETFs, etc.) and offers a new form of arbitrage."

Thank you for taking your time to read this post!

Very Best,

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 58d05310b41c84177674e957
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