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.
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Report schedule for next week: On January 1, 2025, there will be two reports, one with an update of the monthly strategies included in the weekly reports and another for the monthly hybrid allocation and dynamic momentum signals, along with a 2024 recap. Then, on Saturday, January 4, 2025, there will be the first weekly signals report of 2025. Therefore, there will be three reports next week.
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: +0.2%
This week, the equity of the equally weighted strategy ensemble gained 0.2%.
Year-to-date performance (Backtest, no leverage)
| YTD Return | YTD Maximum Drawdown | Weekly Change | |
| Strategy ensemble | +12.9% | -2.8% | +0.2% |
| Invesco RSP ETF | +13.7% | -5.8% | +0.4% |
| SPDR SPY ETF | +26.8% | -5.4% | -0.7% |
At 2x leverage, the strategy ensemble closely matches the S&P 500 total return this year on both an absolute and risk-adjusted basis and outperforms its equal-weight counterpart by a wide margin.
2. Recap and Comments (December23–December 27, 2024)
Equity markets saw subdued action, while the bond market continued its rout. Large caps (SPY) gained 0.7% in the holiday-shortened week amid declining breadth, while long-duration bonds (TLT) fell 1.4%. Gold (GLD) was also lower by 0.3%. The US dollar index gained 0.4%.
The strategy ensemble performance this year was within our expectations before leverage. With 2x leverage, the performance is about the same as that of the S&P 500 total return but exceeds that of its equal-weight counterpart by a wide margin.
We do not plan any changes to the strategy ensemble for next year at this point. We will make the final decision by next week. Changing strategies often may introduce selection bias and increase the risk of overfitting to recent market performance. We have other strategies not included in this ensemble that performed better this year but we are satisfied with two strategies that are up more than 20% this year and with the Dow-30 long-short strategy, we offered needed convexity when required.
AI comment: “By prioritizing stability and performance consistency, we aim to mitigate potential risks associated with frequent adjustments to our investment strategies.”
In the next report on January 1, 2025, we will include a recap and more details about the performance of these strategies this year.
3. Positions and strategy performance: Friday, December 27, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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