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 includes an analysis of the recent large divergence between high beta and low volatility large caps. In Section 5, we consider the possibility of a significant equity market regime change.
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 3.6% (equal allocation, no leverage) versus a gain of 2.7% for the SPY ETF. Gold (GLD) is up 6.8% year-to-date. The US dollar index (UUP) has gained 0.3%, and long-duration bonds (TLT) are up 0.3%. Since 2024, the ensemble is up 30.6% versus 28.2% for the SPY ETF.
The ensemble’s (WeeklyReport) beta since 2017 is 0.28, and correlation with the S&P 500 index is 0.55. The Sharpe ratio is 0.88. See Section 3 for details on market positioning.
2. Weekly summary (January 27–January 31, 2025)
- Stocks fell hard in the aftermath of the release of the Chinese AI model but managed to recover some of the losses. Large-cap stocks (SPY) ended the week with a loss of 1%.
- Gold (GLD) gained 1.1% to new, all-time highs as tariff tensions increased.
- Long-duration bonds initially saw gains due to a “flight to quality,” but the rally fizzled after a hawkish Fed. The TLT ETF ended the week down 0.6%.
- Commodities were mostly down due to lower crude oil prices. The DBC ETF fell 1.34% for the week.
- Since January 3, 2022, bonds (TLT) have been down 34.7%, while gold (GLD) and large caps (SPY) have gained 51.2% and 32.4%, respectively.
- During the week, the equally weighted Magnificent Seven stocks index fell 1% due to Nvidia (NVDA) plunging 15.8% after the Chinese AI release. Microsoft (MSFT) also fell 6.5%, but AAPL (AAPL) gained 6.9%.
- Market sector performance was mixed this week. Energy (XLE) fell 4% due to a plunge in crude oil prices, but communication services (XLC) gained 2%.
AI analysis of our weekly summary
|
This post is for paid subscribers
Already a subscriber? Sign in |
Premium Content
By subscribing, you have immediate access to hundreds of articles. Premium Articles subscribers have immediate access to more than two hundred articles, and All in One subscribers have access to all premium articles, books, and market signal content.
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
If you found this article interesting, you may follow this blog via RSS, email, or Twitter.
