The report covers open positions, new signals, and the 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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After a rare two-day 7-sigma event the previous week, with the S&P 500 plummeting 10.5%, another rare event occurred, with the index surging 9.5%, or more than 9 standard deviations, on Wednesday, April 9, 2025. See this article for more details.
Due to the high volatility, with the VIX index rising to 60 on the first day of the week, some strategies were adversely affected, and some other strategies gained, but the net result was a gain for the ensemble of a little more than 0.5% for the week and continuing significant outperformance of the S&P 500 index. Specifically, the ensemble is down 1.8% year-to-date, versus a loss of 8.8% for the S&P 500 index. More importantly, on a weekly basis, the drawdown of the ensemble this year is 5.2%, versus 17.1% for the S&P 500 index. Therefore, despite the negative performance, the objective of the ensemble has been met, which is higher risk-adjusted returns as compared to the benchmark.
Going forward, there are various possible scenarios for the stock market, and we will discuss those that appear more probable based on historical analysis in the Weekly Market Report for next week.
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 | -1.8% | -5.2% | +0.6% |
| S&P 500 Index | -8.8% | -17.1% | +5.7% |
* 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, April 11, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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