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.
Stocks (SPY) rebounded to end the week up 0.8 % after losing as much as 5.4% due to the geopolitical conflict. Commodities (DBC) finished the week with a gain of 1.3% after rising as much as 6.7%. Gold (GLD) fell 0.3% after rallying 3.1%. Bonds (TLT) ended 1% down the week. Year-to-date, DBC is up +12.9%. SPY is down the most at -7.8%.
Note that all world stocks excluding USA (VEU) fell on the week 1.4% and this was due to US dollar strength and the more serious effects on those economies from the geopolitical conflict amid higher inflation expectations.
One strategy gained nearly 0.5%, one ended the week flat and another was down about 0.2%. Three strategies are already flat and the only exposure to equities is via Dow 30 long/short. The only signals for next week are due to long/short strategy.
The average weekly change of the three active strategies was around +0.1%. Year-to-date, the average return of the strategies is -2.6% while the S&P 500 index is down -8%. The average return of strategies excluding long/short is -3.2%.
All strategies are outperforming S&P 500 year-to-date, one strategy is up and another is nearly flat.
Last week I wrote:
In my opinion, risks for market participants without a sound strategy for dealing with current uncertainty have increased significantly.
Strategies with directional exposure to equities have suffered large drawdown in this environment. Risks are elevated not only for directional longs but also for directional shorts. Uncertainty has increased due to macroeconomic and geopolitical risks.
We maintain our conservative approach based on diversification and risk management. The strategies will decide when to increase risk with exposure to equities and possibly to other markets, including bonds, beyond the ones they are currently exposed too. Note that the 60/40 allocation is SPY and TLT is down 7.7% year-to-date and compared to that our strategies are doing better. Minimization of losses is the primary objective of the strategies.
Strategy positions and performance as of close of Friday, February 25, 2022.
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