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.
Included in this report:
- Ensemble performance.
- Weekly summary.
- Update on market positioning.
- Stock market forecast
- Capital markets update.
Section 2 of the report discusses diversification with alternatives and includes charts and backtests of an example with managed futures.
1. Ensemble 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 6.2% (equal allocation, no leverage) versus a gain of 4% for the SPY ETF. The outperformance of the ensemble year-to-date is mostly due to strong momentum and gold gains.
Gold (GLD) is up 10% year-to-date. The US dollar index (UUP) is down 1%, and long-duration bonds (TLT) are up 2.4%. Since 2024, the ensemble is up 34% versus 29.9% for the SPY ETF. The ensemble’s beta since 2017 is 0.46, and correlation with the S&P 500 index is 0.73. The annualized return is 9.6%, and the maximum drawdown is 17%. The Sharpe ratio is 0.87. See Section 3 for details on market positioning.
2. Weekly summary (February 10–February 14, 2025)
- Stocks gained this week despite a hotter-than-expected inflation report.
- Large-cap stocks (SPY) ended the week with a 1.5% gain.
- Gold (GLD) was up 0.9% on reports of strong demand for physical delivery.
- Long-duration bonds nearly recovered from losses due to the inflation report. The TLT ETF ended the week down 0.1%.
- Commodities were up due to gains in softs, grains, and precious metals. The DBC ETF gained 1.6% for the week.
- Since January 3, 2022, bonds (TLT) have been down 33.4%, while gold (GLD) and large caps (SPY) have gained 55.8% and 34.1%, respectively.
- The equally weighted Magnificent Seven stocks index gained 2.2% for the week. Nvidia (NVDA) gained 6.9%, and Apple (AAPL) was up 7.6%.
- All market sectors gained this week except health care, which fell 1.1%. Technology (XLK) was up the most, by 3.1%.
AI analysis of our weekly summary
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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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