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.
Announcement: The updates for the two monthly strategies and the monthly signals reports will be available on April 1, 2025, before the market opens.
Comments
This week the ensemble performance fell 0.4% versus a loss of 1.5% for the S&P 500 index. The year-to-date performance of the ensemble remains positive. The main contributors this week were ETF cross-sectional momentum and Dow-30 long-short.
The performance in the first quarter of this year shows how strategy ensembles have the potential to minimize losses during periods of high market uncertainty. Often, the trade-off is underperformance during a strong equity bull market. Some passive index investors may never realize the long-term performance of the equity markets because they panic during falling markets and sell.
The lower but less volatile on average performance of a strategy ensemble may offer protection and even outperformance over the long term. There are no guarantees in the markets, and an ensemble is just one way to minimize risks and maximize reward.
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: 03/28/2025 | YTD Return | YTD Maximum Drawdown* | Weekly Change |
| Strategy ensemble | +0.2% | -2.7% | -0.4% |
| S&P 500 Index | -5.1% | -8.7% | -1.5% |
* 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 28, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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