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.
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This week the ensemble performed better than expected with a loss of 0.6% versus 2.3% for the S&P 500 index. The year-to-date performance remains slightly positive.
The main contributors to performance this week were cross-sectional momentum, which sold US stocks and bought international stocks along with long positions in gold and commodities, and Dow-30 long-short, which continued to provide the needed convexity with positive returns despite the market volatility. Moreover, the mean reversion of Dow-30 equities remained flat at the start of this week, thereby limiting beta exposure.
We design the ensemble to endure turbulent times, which is crucial for achieving long-term returns that surpass inflation. At the same time, we understand how difficult it is for the majority of market participants to adhere to the signals and rules of a strategy ensemble. A common mistake is trying to maximize profits during good times when the objective should be to minimize losses during bad times. Volatility drag on returns and the Sharpe ratio determine drawdown length, depth, and uncle point likelihood.
Contents
1. Performance of the Ensemble and Benchmark
2. Positions and Performance of Strategies
3. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks (backtest, no leverage).
| Date: 03/14/2025 | YTD Return | YTD Maximum Drawdown* | Weekly Change |
| Strategy ensemble | +0.3% | -2.7% | -0.6% |
| S&P 500 Index | -4.1% | -7.8% | -2.3% |
* The drawdown is based on weekly closing prices.
In 2024, the strategy ensemble gained 12% with a 3.4% maximum drawdown. Click here for more details.
2. Positions and strategy performance: Friday, March 14, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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