Market recap, open positions, new signals, and performance of six trading strategies. Tactical asset allocation, mean reversion, cross-sectional momentum, and equity long-short with weekly and monthly updating. 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 18–March 22, 2024)
Large-cap stocks (SPY) rose 2.2% for the week after a dovish FOMC meeting. The equal-weight S&P 500 ETF (RSP) finished the week with a gain of 1.8%. International stocks (VEU) ended the week up 0.8%, with gains limited by a strong US dollar.
The bond market found support after the FOMC meeting. The TLT ETF gained 1.1% for the week. The DBC ETF finished the week with a loss of 0.2% due to the mixed performance of grains and precious metals. The US dollar (UUP) was up 1.2% on the week due to rising geopolitical tensions. Gold (GLD) gained 0.3%.
We expect volatility to rise in all capital markets. Last week, we wrote:
In a regime of high policy uncertainty and forecast failures, a systematic approach with an ensemble of strategies could be the only way to realize reasonable risk-adjusted returns.
Many discretionary investors, traders, and strategies are enjoying high returns year-to-date and over the last two years. However, in most cases, these returns are due to assuming higher risks. The objective of a strategy ensemble is to minimize these risks.
2. Performance of the ensemble and benchmarks
The ensemble of six strategies gained 1.5% for the week. All strategies gained with sector ETF rotation up the most (+2.6%). Dow 30 long-short and Dow 30 stocks mean-reversion of stocks each gained 1.3%. All in all, it was a good week for strategies, but we expect volatility to increase.
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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