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 28–May 31, 2024)
All assets finished the week with losses, except the US dollar (UUP), which finished flat, and a small gain for high-yield corporate bonds (HYG). End-of-month rebalancing presumably boosted the equity markets during the last hour of trading on Friday, May 31, 2024, and limited losses for the holiday-shortened week.
Specifically, the SPY ETF ended Thursday, May 30, 2024, with a loss of 1.3% for the week, but a surge during the last hour of trading on Friday reduced weekly losses to 0.4%. In the case of bonds (TLT), a favorable PCE report likely led to a reduction in weekly losses from 1.7% to 1% on the final day of the week.
The equal-weight S&P 500 ETF (RSP) finished the week down 0.1%. International stocks (VEU) fell 0.7%. The DBC ETF lost 1.1%, primarily due to a sell-off in precious metals and grains. Gold (GLD) fell 0.3%.
2. Performance of the ensemble and benchmarks
Following the new highs for the year two weeks ago, the performance was down last week, but this week it rebounded slightly. The ensemble is outperforming the SPY ETF on a risk-adjusted basis and the equal-weight RSP ETF on both an absolute and a risk-adjusted basis.
The Dow-30 mean-reversion strategy surged 1.7% for the week due to the effect of the presumed end-of-month rebalancing, which provided a small equity boost to the ensemble.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +6.2% | -2.1% |
| Invesco RSP ETF | +5.5% | -6.0% |
| SPDR SPY ETF | +11.3% | -5.4% |
3. Positions and strategy performance: Friday, May 31, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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