Systematic trading updates include open positions, new signals, and the performance of six trading strategies in the weekly timeframe. Market Signals or All in One subscriptions are required to access the report.
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For more information on the strategies, see here.
Stocks (SPY) fell 1.3%. Commodities (DBC) gained 3% due to another rally in the energy sector. Gold (GLD) was down 0.2%. Bonds (TLT) plunged 2.4%. Year-to-date, DBC is up 43.8%. TLT is down the most, with a loss of 21.1%.
Below is a weekly performance recap, including year-to-date performance, and a comparison to popular benchmarks and the PSI5 mean-reversion strategy.
|Average weekly performance of strategies with open positions.||+0.3%|
|Average weekly performance of the five strategies (excluding long/short)||+0.2%|
|Weekly change of S&P 500 index||-1.2%|
|YTD average return including the long/short before the pause.||-2.8%|
|YTD average return excluding the long/short.||-3.4%|
|YTD return of the S&P 500 Index (no dividends)||-13.8%|
|YTD return of 60/40 portfolio in SPY/TLT (annual rebalancing)||-16.4%|
|YTD return of PSI5 mean-reversion algo (performance for SPY)||-1.2%|
Comments about performance, positions, and the new signals report follow below.
Next week, the allocation to strategies will be about 20%, while 80% will be in cash. Three strategies are out of the market and the long/short strategy is in pause mode due to high volatility. Only two momentum strategies have open positions.
The stock market is near another important pivot point. While low volatility, value, and high dividend large-cap stocks are holding well, tech and high beta large-cap stocks show signs of further deterioration. No one knows how this will resolve going forward. Following robust strategies with discipline and strict risk and money management is one way of dealing with uncertainty, although no method guarantees success. We believe an 80% cash position acts as a tail risk hedge without the associated cost of those strategies. Inflation impacts the value of cash but avoiding large losses is always preferable to high-risk market positions. If cash position is reduced due to realized losses, then in the future it will be more difficult to recover losses due to inflation.
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