Weekly Strategy Performance Recap – June 8, 2018

Performance results of six systematic strategies as of close of June 8, 2018.

Strategy YTD  YTD Week Ago  Change
SPYLSMAW +4.7% +2.9% +1.8%
ETF2RW +1.5% +0.5% +1.3%
ETF4RW +2.8% +1.6% +1.2%
DOWW L/S Top/Bottom 3 -2.6% -3.4% +0.8%
FAANG L/S +18.5% +17.4% +1.1%
DOW MR5 Mean-reversion  +6.2% +4.0% +2.2%

FAANG L/S and Dow Mean-reversion weekly signals are included in our weekly premium analysis. Weekly signals of all strategies except Dow mean-reversion are included in the weekly premium signals report.  Subscribers to weekly signals receive the weekly premium analysis as a bonus.

Comments

All strategies made a profit last week with Dow component mean-reversion posting gains of +2.2% and FAANG long/short +1.1%. Below is the equity curve of the Dow mean-reversion strategy since 2016 that shows the rise to a new high.

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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