This follows the post before this where we did a post mortem on 1 Jan 2022 picks. This is the one done for 1 Feb 2022 picks.
These stocks have liquidity of more than USD100K per day. The returns after holding periods of 1 month, 3 months, 6 months and YTD are in the last 4 columns of the table. The mean (average) return for the entire universe is at the bottom of the table.
The AI picks beat the universe average for the 1 month, 3 month and YTD 2022 holding period. There was an underperformance when the list was held for 6 months where the list returned -7.6% versus the universe mean of -4.4%. But this was made up YTD 2022 where the list returned -9.8% and the universe mean was -13.0%.
After we complete the post-mortem for this entire 2022, we can come to some conclusion on rebalancing frequency. So far, the data tells us to rebalance at least every 3 months. My more extensive tests (not published here) - tells me that rebalancing every month is a good idea - but do take into account costs and the time required.
Next up will be the post-mortem for the 1 Mar 2022.
So there is a sweet spot again. Anything beyond 3 months , entropy sets in AND perhaps there is an average momentum run duration.