Weekly Strategy Performance Recap – May 18, 2018

Performance results of systematic strategies as of close of May 18, 2018.

Strategy Previous week YTD Change
SPYLSMAW +2.7% +2.1% -0.6%
ETF2RW +0.3% +0.0% -0.3%
ETF4RW +2.4% +1.2% -1.2%
DOWW L/S Top/Bottom 3 -5.7% -4.8% +0.9%
FAANG L/S +15.7% +17.7% +0.2%
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.

Comments

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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  • The above performance results are based on backtests. Please read our Disclaimer.
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