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.
Happy Saint Patrick’s Day to all Irish and to those who celebrate! Lá fhéile Pádraig sona dhuit!
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 11–March 15, 2024)
Large-cap stocks (SPY) fell 0.1% for the week. The equal-weight S&P 500 ETF (RSP) finished the week with a loss of 0.7%, with market breadth deteriorating. International stocks (VEU) ended the week down 0.4% due to a stronger US dollar.
Losses in the bond market accelerated after worse-than-expected CPI and PPI reports. The TLT ETF fell 2.9% for the week. The DBC ETF finished the week with a gain of 2.7%, mainly due to higher crude oil and gasoline prices. The US dollar (UUP) was up 0.7% on the week. Gold (GLD) fell 1% after a 4.5% gain the previous week as the US dollar rebounded.
The unexpected uptick in inflation could pressure the Fed to hold out on interest rate cuts, and there is a small probability they will not act this year. While this scenario is bearish for bonds, it is unclear how the equity markets will react. In a regime of high policy uncertainty and forecast failures, a systematic approach with an ensemble of strategies could be the only way to realize reasonable risk-adjusted returns.
2. Performance of the ensemble and benchmarks
The ensemble of the six strategies fell slightly for the second week in a row. Dow 30 long-short provided a small hedge of +0.6%, while all of the strategies were slightly down for the week.
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