Weekly Signals Updates include open positions, new signals and performance of six systematic trading strategies. Click here for more details about the strategies. Access to report requires Market Signals or All in One subscriptions.
Market Recap and Comments (February 7 – February 11, 2022)
Stocks (SPY) fell 1.8% as inflation increased and geopolitical tensions escalated. Commodities (DBC) gained 1.3%. Gold (GLD) rallied 2.9%. Bonds (TLT) fell 0.5%. Year-to-date, DBC is up +11.3% and SPY is down 7.3%. DBC is overbought and High Yield Corporate Bond (HYG) is oversold.
Three strategies gained and three strategies fell on the week. Two strategies are already flat and another will turn flat at the open of next week. Note that the only exposure to stock market starting next week will be via long/short.
Mean-reversion and dynamic asset allocation strategies are already out of equities and equity index ETFs while cross-sectional momentum strategies have positions in commodities.
All strategies are outperforming S&P 500 year-to-date, one strategy is up and two are down about 1.2%.
Uncertainty has risen due to geopolitical tensions but also rising inflation and expected action from Fed. Discretionary trading risks have increased due to higher probability of random market fluctuations. Following strategies with sufficient diversification and tail risk protection is one way of navigating these markets. Risks of directional exposure to equities have increased significantly.
Strategy positions and performance as of close of Friday, February 11, 2022.
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