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. 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: +0.3%
This week, the equity of the equally weighted strategy ensemble increased by 0.3%, reaching new highs for the year.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +14.1% | -2.5% |
| Invesco RSP ETF | +14.7% | -5.6% |
| SPDR SPY ETF | +21.4% | -5.4% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF.
2. Recap and Comments (September 23–September 27, 2024)
All strategies gained this week, except for the MRDOWW Dow-30 mean-reversion strategy, which fell slightly. The average gain of the six strategies was 0.3%.
We will publish the report containing the updates for the two monthly rebalanced strategies, TFD3M and DMSRM, after the end of this month.
We expect a volatile fourth quarter as we get close to elections. Despite a 50 basis point cut, gold continues to outperform stocks. Year-to-date, the GLD ETF is up 28.2% versus a gain of 21.4% for the SPY ETF. At the same time, bonds are struggling to stay in positive territory, with the TLT ETF up only 2.3%. We do not believe that gold has fully priced in a rising geopolitical risk.
Whether the strategy ensemble will be able to absorb any shocks from rising risks and volatility will mainly depend on the performance of the strategies that have positions in gold and bonds, as well as on the performance of the Dow-30 long-short strategy. If there are significant fluctuations in bonds and gold due to increased uncertainty, we anticipate that the ensemble will reduce losses compared to 100% stock exposure. Given the latest geopolitical developments, we believe full exposure to stocks is a risky strategy.
3. Positions and strategy performance: Friday, September 27, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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