Performance results of systematic strategies as of close of May 18, 2018.
|DOWW L/S Top/Bottom 3||-5.7%||-4.8%||+0.9%|
|DOW MR5 Mean-reversion||+1.9%||+4.2%||+3.3%|
FAANG L/S and Dow Mean-reversion weekly signals are included in our weekly premium analysis. The weekly signals of the other strategies are included in our weekly premium signals report that also includes the weekly premium analysis as a bonus.
Trend-following and cross-sectional momentum rotation strategies, SPYLSMAW, ETF2RW and ETF4RW, were negatively impacted last week as equity prices and commodities took a breather on the back of a rising U.S. dollar.
Weekly top/bottom 3 long/short DOW performance was impacted by a short in AAPL three weeks ago but rebounded by about 1% last week.
Weekly long/short FAANG fully recovered from the AAPL short three weeks ago.
Dow stocks mean-reversion returns (MR5) increased to new highs for the year:
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