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 Market Outlook
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks
Weekly return of the ensemble: -0.0%
This week, the equity of the equally weighted strategy ensemble was flat near new highs for the year.
Year-to-date performance (Backtest, no leverage)
| YTD Return | YTD Maximum Drawdown | Weekly Change | |
| Strategy ensemble | +16.0% | -2.5% | +0.0% |
| Invesco RSP ETF | +18.8% | -5.6% | -1.3% |
| SPDR SPY ETF | +29.1% | -5.4% | +0.9% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF. At 2x leverage, the strategy ensemble outperforms the S&P 500 total return this year on both an absolute and risk-adjusted basis.
2. Recap and market outlook (December 2–December 6, 2024)
The strategy ensemble finished the week flat. This week, systematic trading faced elevated risks, but diversification prevented a significant loss. Although the large-cap index (SPY) gained 0.9%, conditions in the broader market deteriorated, with the S&P 500 equal-weight ETF (RSP) ending the week down 1.3%. Utilities (XLU) and S&P 500 low volatility stocks (SPLV) fell this week 3.9% and 2.4%, respectively. Anyone with a slight idea of what is happening in this market knows that this year’s performance is primarily due to a concentrated boost by a few technology stocks.
Fundamental factors had a small impact on the market’s rise this year. On average, the seven significant stocks gained 6.3% for the week and are up 63.4% for the year. The cap-weighted S&P 500 index (SPY) has reached new all-time highs with a 29.1% year-to-date return, thanks to financial engineering, excessive deficit spending, artificial intelligence developments, and related narratives. However, the equal-weight S&P 500 index is up 18.8% year-to-date.
In this environment, as experience shows, you only hear the winners bragging, but there are losers who remain silent. We believe the ensemble performed well this year. We are never satisfied with any level of performance. However, we have to be realistic. Our objective with this ensemble is reasonable risk-adjusted returns over the years. This ensemble cannot achieve a hundred percent return per year, which is what bitcoin has delivered this year. However, large returns are the outcome of significant risk and potentially large losses in the future. Large short-term gains usually lead to long-term losses, while small short-term gains often translate to long-term gains.
3. Positions and strategy performance: Friday, December 6, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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