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.
Comments
A rare two-day 7-sigma event occurred in the market, with the S&P 500 plummeting 10.5% in the last two days of the week due to the announcement of massive tariffs. See this article for more details.
Tactical asset allocation was up 0.5% due to closing the SPY ETF position on the opening day of this month. Dow-30 long/short performed as expected and provided a much-needed hedge of 2.9% for the week. The ensemble fell 2.5% versus a drop of 9.1% for the S&P 500 index. Both the current market action and a macro perspective justify the two new signals generated by cross-sectional ETF momentum.
Although the ensemble is outperforming the benchmark by a wide margin year-to-date, this is no reason to celebrate. Market uncertainty is bound to increase due to a new geopolitical, economic, and financial regime.
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 | -2.5% | -5.2% | -2.7% |
| S&P 500 Index | -13.7% | -17.1% | -9.1% |
* 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 4, 2025
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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