The weekly market reports include a market position update, a stock market forecast, and an analysis of capital markets. To access the full report, you must subscribe to Premium Articles, Weekly Premium Articles, or All-in-One.
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Update: Starting with this report, we are introducing comments from our AI software.
Included in this report:
- Year-to-date performance
- Weekly summary.
- Update on market positioning.
- Stock market forecast.
- Capital markets update.
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 26.9% (equal allocation, no leverage) versus a gain of 26% for the SPY ETF. Gold (GLD) is up 26.6% year-to-date. The US dollar index (UUP) is up 12.6%, and long-duration bonds (TLT) are down 7%. The ensemble’s (WeeklyReport) beta over the last 10 years is about 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)
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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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