Market recap, open positions, new signals, and performance of six trading strategies. Tactical asset allocation, mean-reversion, cross-sectional momentum, and equity long-short. Access the full report with a Market Signals or All-in-One subscription.
Contents
1. Market Recap and Comments
2. Performance of the Ensemble and Benchmarks
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Market Recap and Comments (March 4–March 8, 2024)
The ensemble of the six strategies fell slightly this week. Cross-sectional asset ETF momentum was up 1.6% for the week due to a long position in gold and that provided a partial hedge against losses of cross-sectional ETF sector momentum and Dow-30 stocks mean-reversion.
Large-cap stocks (SPY) fell 0.2% for the week. The equal-weight S&P 500 ETF (RSP) finished the week with a gain of 1%, with market breadth improving further. International stocks (VEU) ended the week with a gain of 1.3% due to a weaker US dollar.
The bond market rallied on Tuesday, March 5, 2024, on weaker-than-expected economic data. The TLT ETF gained 1.3% for the week. The DBC ETF finished the week with a gain of 0.3%. The US dollar (UUP) was down 0.9% on the week.
Gold made new all-time highs and is overbought, while US stock market momentum is strong, and the equal-weight S&P 500 ETF (RSP) has also entered overbought territory. Economic data are a mixed bag, and the focus is on the next CPI release on Tuesday, March 12, 2024. The bond market showed signs of life this week, but it is still weak and unpredictable. Volatility could increase in all capital markets after an unusually smooth first quarter this year.
2. Performance of the ensemble and benchmarks
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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