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 (May 6–May 10, 2024)
Summary: Stocks rebounded, and the bond market was steady in anticipation of the PPI and CPI releases next week. Gold rallied, commodities firmed, and the US dollar ended the week with a small gain. The performance of the ensemble of six strategies made new highs for the year.
Large-cap stocks (SPY) gained 1.9% on the strength of earnings. The equal-weight S&P 500 ETF (RSP) finished the week up 2%. International stocks (VEU) added 1.2%.
The TLT ETF was up 0.3% with the bond market steady in anticipation of the PPI and CPI releases next week, on May 14 and 15, respectively. The DBC ETF gained 0.7% due to increases in precious metals and grains. Gold (GLD) rallied 2.7%, and the US dollar index (UUP) finished the week with a small gain of 0.3%.
2. Performance of the ensemble and benchmarks
This week, the performance of the ensemble reached new highs for the year and is outperforming the SPY ETF on a risk-adjusted basis. All six strategies are up year-to-date, with Dow 30 mean-reversion and cross-sectional momentum outperforming with returns of 11.5% and 9.4%, respectively. The performance of the Dow 30 long-short strategy was satisfactory this week, a gain of 0.5% given the market’s strong momentum. All in all, it was a good week for both the ensemble of strategies and the capital markets.
Year-to-date performance (Backtests)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +6.2% | -2.1% |
| Invesco RSP ETF | +5.7% | -6.0% |
| SPDR SPY ETF | +9.9% | -5.4% |
3. Positions and strategy performance: Friday, May 10, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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