Market recap, 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.
Contents
1. Performance of the Ensemble and Benchmarks
2. Recap and Comments
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Performance of the ensemble and benchmarks
Weekly return of the ensemble: +2.4%
This week, the equity of the equally weighted strategy ensemble increased by 2.3%, reaching new highs for the year.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +13.1% | -2.5% |
| Invesco RSP ETF | +11.8% | -5.6% |
| SPDR SPY ETF | +19.0% | -5.4% |
On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF. The ensemble also outperforms the latter on an absolute return basis.
2. Recap and Comments (September 9–September 13, 2024)
All strategies gained this week. The dollar-neutral Dow-30 long-short strategy performed as expected with a gain of 0.6% due to large gains in long IBM and WMT and despite a large loss in short VZ. The best-performing strategy year-to-date is mean reversion for Dow-30 stocks, with a gain of 24.5%.
This year, the markets have provided rare conditions for realizing high risk-adjusted returns from strategy ensembles. However, absolute returns are still lower than in the past. We anticipate higher volatility in the last quarter, but rely on the ensemble behaving as expected.
3. Positions and strategy performance: Friday, September 13, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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