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 13–May 17, 2024)
Summary: Stocks and bonds were up this week due to a dovish interpretation of the PPI and CPI reports, while gold also gained due to persistent core inflation and support from geopolitics. The performance of the ensemble of six strategies made new highs for the year.
Large-cap stocks (SPY) gained 1.7% due to strong earnings and easing inflation. The equal-weight S&P 500 ETF (RSP) finished the week up 1.2%. International stocks (VEU) added 1.9%, rose to new, all-time highs, and are now in overbought territory.
The TLT ETF was up 1.4% after the PPI, CPI, and retail sales reports. The DBC ETF gained 1.8% due to increases in precious metals and energy. Gold (GLD) rallied 2.3% to new all-time highs, and the US dollar index (UUP) finished the week down 0.6%.
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. The Dow 30 mean-reversion strategy is outperforming the SPY ETF, and the cross-sectional momentum strategy is trailing behind by 0.2%. The Dow 30 long-short strategy performed poorly this week, but this is typical behavior during strong uptrends, as short positions tend to lose more than longs make on average. 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 | +6.9% | -2.1% |
| Invesco RSP ETF | +6.9% | -6.0% |
| SPDR SPY ETF | +11.7% | -5.4% |
3. Positions and strategy performance: Friday, May 17, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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