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 28- March 4, 2022)
Stocks (SPY) fell -1.3 as the geopolitical conflict intensified. Commodities (DBC) surged 15.1%. Gold (GLD) rallied 4%. Bonds (TLT) rose 2.6%. Year-to-date, DBC is up +30%. All World ex US (VEU) is down the most at -9.8%.
One strategy gained 7% due to positions in commodities and gold and another was up 2% due to gold position. Dow 30 long/short ended the week down 0.4% amid rising volatility in equity markets. Three strategies were already flat and Dow 30 long/short will also go flat on the open of next week.
The average weekly change of the three active strategies was around +2.8%. Year-to-date, the average return of the strategies is -1.2% while the S&P 500 index is down -9.2%. The average return of strategies excluding long/short is -1.4%.
All strategies are outperforming S&P 500 year-to-date, one strategy is up 6.9% and Dow 30 long/short performance is nearly flat.
Last week I wrote:
Risks are elevated not only for directional longs but also for directional shorts. Uncertainty has increased due to macroeconomic and geopolitical risks.
During times of high volatility and uncertainty capital preservation should be the primary objective. This can only be achieved with good diversification and timing.
Strategy positions and performance as of close of Friday, March 4, 2022.
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