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Weekly Strategy Performance Recap – June 1, 2018

Performance results of six systematic strategies as of close of June 1, 2018.

Strategy YTD week ago YTD  Change
SPYLSMAW +2.4% +2.9% +0.5%
ETF2RW +0.2% +0.5% +0.5%
ETF4RW +1.2% +1.6% +0.4%
DOWW L/S Top/Bottom 3 -3.4% -3.4% +0.0%
FAANG L/S +18.6% +17.4% -1.2%
DOW MR5 Mean-reversion  +4.3% +4.0% -0.3%

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

Directional strategies gained last week at the expense of long/short and mean-reversion but we do not expect this to continue for much longer.

Important disclaimers

  • The above performance results are based on backtests. Performance is net of $0.01/share commission. Slippage is not included but may affect results. Please read our Disclaimer.
  • All content within this website constitutes the author’s own opinions, it is provided for informational purposes only and does not constitute investment advice. Please read our Disclaimer and Terms and Conditions.

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