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. Performance of the Ensemble and Benchmarks
2. Market Recap and Comments
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks
Weekly return of the ensemble: +0.4%
The equity of the equally-weighted strategy ensemble rose 0.4% this week.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +8.4% | -2.5% |
| Invesco RSP ETF | +6.5% | -5.6% |
| SPDR SPY ETF | +12.8% | -5.4% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF. The ensemble also outperforms the latter on an absolute return basis.
2. Market Recap and Comments (August 5–August 9, 2024)
Stocks plummeted on Monday, August 5, 2024, due to a mix of rising economic and geopolitical risks stemming from US recession fears, a Bank of Japan rate hike that caused the liquidation of carry trades, and rising tensions in the Middle East and Eastern Europe. However, stocks managed to end the week flat as investors sought positive signs to buy the dip, which they found in the decline of initial jobless claims. We will find out soon whether buying the dip on Monday was a wise decision.
The Dow-30 mean reversion gained 4.4% for the week, marking the best weekly performance this year and providing a boost to the strategy ensemble. Additionally, the Dow-30 long/short continued to provide convexity, with a gain of 0.7% for the week.
The US dollar (UUP) ended the week flat. Commodities (DBC) gained 1.4%. Gold (GLD) fell 0.3% after rebounding from an initial loss of 2.3%.
Large-cap stocks (SPY) ended the week flat. International stocks (VEU) gained 0.8%. The TLT ETF fell 2.1% due to uncertainty about the number of rate cuts this year following the decline in initial jobless claims.
Volatility increased significantly, with the VIX Index reaching 65.73 on Monday, August 5, 2024, but ending the week at 20.37. Usually volatility comes in clusters, and another VIX spike is likely but not necessary.
We continue to follow the strategies, ignoring the technical and macro noise.
3. Positions and strategy performance: Friday, August 9, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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