Weekly Signals Updates include open positions, new signals and performance of six systematic trading strategies. Click here for more details about the strategies. Access to report requires Market Signals or All in One subscriptions.
U.S. securities exchanges will be closed on Monday, February 21, for Presidents Day.
Market Recap and Comments (February 14- February 18, 2022)
Stocks (SPY) fell 1.4% after geopolitical tensions escalated. Commodities (DBC) gained 0.2%. Gold (GLD) added 1.9%. Bonds (TLT) were unchanged on the week. Year-to-date, DBC is up +11.5%. SPY is down the most at -8.6%.
Two strategies gained and two lost on the week. Three strategies are already flat and the only exposure to equities is due to Dow 30 long/short. The only signals for next week are due to long/short strategy.
The average weekly change of the four active strategies (three with open positions and one that went flat at the open of the week) was less than -0.1%. Year-to-date, the average return of the strategies is -2.6% while the S&P 500 index is down -8.8%. The average return of strategies excluding long/short is -3.2%.
All strategies are outperforming S&P 500 year-to-date, one strategy is up and another is down about 0.5%.
Last week I wrote:
Uncertainty has risen due to geopolitical tensions but also rising inflation and expected action from Fed. Discretionary trading risks have increased due to higher probability of random market fluctuations. Following strategies with sufficient diversification and tail risk protection is one way of navigating these markets. Risks of directional exposure to equities have increased significantly.
In my opinion, risks for market participants without a sound strategy for dealing with current uncertainty have increased significantly.
Strategy positions and performance as of close of Friday, February 18, 2022.
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