Market recap, open positions, new signals, and performance of six trading strategies. Tactical asset allocation, mean reversion, cross-sectional momentum, and equity long-short with weekly and monthly updating. Access the full report with a Market Signals or All-in-One subscription.
Contents
1. Market Recap and Comments
2. Performance of the Ensemble and Benchmarks
3. Positions and Performance of Strategies
4. Signal Summary for Next Week
1. Market Recap and Comments (March 25–March 28, 2024)
All assets gained in the holiday-shortened week. Large-cap stocks (SPY) rose 0.4%. The equal-weight S&P 500 ETF (RSP) finished the week with a gain of 1.6% as broader market momentum increased after positive economic numbers. International stocks (VEU) ended the week up 0.4%.
The TLT ETF gained 0.7% for the week. The DBC ETF finished the week up 1.1% due to strong gains in energy and precious metals. Gold (GLD) gained 2.7%, and the US dollar (UUP) was up 0.2%.
We do not have a view about the direction of capital markets at this juncture due to elevated uncertainty about rate cuts and inflation going forward. One advantage of using strategies is that it lowers the chance of falling for persuasive narratives. An ensemble that offers reasonable odds for generating acceptable risk-adjusted returns may sound boring, but in our opinion, it is the only way to avoid the traps of narrative creation.
2. Performance of the ensemble and benchmarks
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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