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.
Market Recap and Comments (March 7- March 11, 2022)
Stocks (SPY) fell -2.8% as uncertainty about the geopolitical conflict increased. Commodities (DBC) fell 3.9% after surging 15.1% in previous week. Gold (GLD) gained 0.8% after rallying more than 5%. Bonds (TLT) took a 3.8% hit. Year-to-date, DBC is up +25% and GLD is up 8.3%. SPY and All World ex US (VEU) are down the most at -11.6% and -11.5%, respectively.
One strategy gained 0.4% due to position in gold. Four strategies are already inactive with all positions closed, including Dow 30 long/short. These strategies employ volatility switches for the purpose of avoiding whipsaw. The two strategies that remain active are based on cross sectional momentum.
The average weekly change of the six strategies was around -0.2%. Year-to-date, the average return of the strategies is -1.3% while the S&P 500 index is down -11.8%. The average return of strategies excluding long/short is -1.6%.
Note that the 60/40 portfolio (SPY/TLT) is down 10.4% year-to-date.
All strategies are outperforming S&P 500 year-to-date, one strategy is up 5.5% and Dow 30 long/short performance is nearly flat.
Last week I wrote:
During times of high volatility and uncertainty capital preservation should be the primary objective. This can only be achieved with good diversification and timing.
The six strategies are now 75% in cash and 25% invested in markets other than equities. However, new signals will be generated depending on market price action.
We have no view about the market direction due to high uncertainty. Anything can happen, including a bear market in equities, or even a rally. The purpose of using strategies is for avoiding the struggle with news and confirmation bias but primarily for maintaining discipline. Obviously, the strategy results must be acceptable and those who don’t have sound strategies have no choice other than trying to guess market direction.
Strategy positions and performance as of close of Friday, March 11, 2022.
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