Market summary, open positions, new signals, and performance of six trading strategies with weekly rebalancing. Tactical asset allocation, mean-reversion, cross-sectional momentum, commodity trend-following, and equity long-short. Access the full report with a Market Signals or All-in-One subscription.
Report Contents
1. Market Recap and Comments
2. Ensemble Performance
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Market Recap and Comments (January 2–January 5, 2024)
Stocks, including all assets except the US dollar and selected commodities, fell in the first, holiday-shortened week of the year. Four weeks ago, I wrote:
There is a sense that investors’ optimism is not justified, and there will be a short-term correction for a more realistic alignment with fundamentals. However, the correction may not come until next year.
The extreme overbought conditions in equities and new data that support a stronger-than-expected economy were the catalysts for the equity market sell-off. Bond yields also rose, and prices fell.
For the first week of the year, large-cap stocks (SPY) fell 1.6%, and the equal-weight S&P 500 ETF (RSP) lost 1.3%. International stocks (VEU) were down 1.5%. Long-duration bonds (TLT) fell 2.6%.
Commodities (DBC) lost 0.4% due to losses in grains, softs, and precious metals, although the energy market gained. Gold (GLD) lost 1% on the back of a stronger US dollar index (UUP, +1.2%).
Since the start of 2022, the TLT ETF is down 31.2%, while international stocks (VEU) have lost 3.7%. The SPY ETF is up 1.6% in the same period. Commodities (DBC) and the US dollar index (UUP) are up 12.4% and 14.8%, respectively, since 2022. Note that in the same period, gold (GLD) is up 10.8%.
The TLT ETF is down 39.3% from its all-time highs, while the SPY ETF is down only 1.8%.
2. Ensemble Performance
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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