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Included in this report:
- Year-to-date performance
- Weekly summary.
- Update on market positioning.
- Stock market forecast
- Capital markets update.
This report also discusses Ponzi schemes and the connection between extreme stock market divergences and bear markets.
1. Year-to-date performance
We use two long-only cross-sectional momentum strategies to generate signals for capital markets and factor ETFs. See Section 3 below for open positions and signal updates.
Year-to-date, the weekly strategies (WeeklyReport) are up 27.3% (equal allocation, no leverage) versus a gain of 26.8% for the SPY ETF. Gold (GLD) is up 26.3% year-to-date. The US dollar index (UUP) is up 12.8%, and long-duration bonds (TLT) are down 8.3%. The ensemble’s (WeeklyReport) beta over the last 10 years is 0.28, and correlation with the S&P 500 index is 0.55. The Sharpe ratio is 0.87. See Section 3 for details on market positioning.
AI comment: “The performance metrics indicate that the WeeklyReport strategies have outpaced the SPY ETF slightly, showcasing their effectiveness in the current market environment. Additionally, the Sharpe ratio of 0.87 suggests a favorable risk-adjusted return, further highlighting the strength of these strategies.”
2. Weekly Summary (December 16–December 20, 2024)
- Stocks gained in the holiday-shortened week amid declining volume and breadth. Large-cap stocks (SPY) were up 0.7%.
- Gold (GLD) fell 0.3% while the US dollar index (UUP) gained 3%.
- Long-duration bonds fell as yields rose. The TLT ETF ended the week down 1.4%, and year-to-date losses increased to 8.3%.
- Commodities (DBC) gained 0.8% due to gains in energy and grains.
- Since January 3, 2022, bonds (TLT) have been down 35.2%, while gold and large caps (SPY) have gained 41.2% and 30.9%, respectively.
- During the week, the equally weighted Magnificent Seven stocks index gained 0.9%. TSLA gained 2.5% while MSFT fell 1.4%.
- All market sectors ended the week with a gain except materials (XLB). See below for more details.
- Palantir (PLTR), MicroStrategy (MSTR), and Axon Enterprise (AXON) fell 1.8%, 9.4%, and 3.3% for the week after inclusion in the Nasdaq 100 on Monday, December 23, 2024.
Sector ETF performance
All market sectors gained this week, except materials (XLB), which fell 0.2%. Energy (XLE) gained the most, by 1.3%. Note that since 2022, energy (XLE) outperforms all sectors by a wide margin with a gain of 70.2%. Year to date, communications services (XLC) are up the most, by 36.6%, while materials (XLB) are up the least, by 1.1%.
A Ponzi scheme?
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Specific disclaimer: This report includes charts that may reference price levels. If market conditions change the price levels or any analysis based on them, we may not update the charts. All charts in this report are for informational purposes only. See the disclaimer for more information.
Disclaimer: The Weekly Market Reports are provided for informational purposes only and do not constitute investment advice or actionable content. We do not warrant the accuracy, completeness, fitness, or timeliness for any particular purposes of the Weekly Market Reports. Under no circumstances should the Weekly Market Reports be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing, please read our Disclaimer and Terms and Conditions.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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