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.
U.S. stock exchanges and bond markets will be closed on Monday, May 27, for Memorial Day.
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 (May 21–May 24, 2024)
Large-cap stocks (SPY) and bonds (TLT) ended the week unchanged as uncertainty about the timing of the first rate cut increased. The equal-weight S&P 500 ETF (RSP) finished the week down 1.2%. International stocks (VEU) fell 1%.
The DBC ETF fell 0.8% due to profit taking in precious metals and energy. Gold (GLD) plunged 3.5%, and the US dollar index (UUP) was the only asset that gained for the week, up by 0.4%.
2. Performance of the ensemble and benchmarks
After the new highs for the year last week, the performance ensemble of the six strategies was down this week, but it is outperforming the SPY ETF on a risk-adjusted basis. The Dow 30 long-short strategy, as expected this week, provided a partial hedge after a gain of 1%. After hitting new highs last week, the Dow-30 mean-reversion strategy suffered the most.
Year-to-date performance (Backtests)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +6.0% | -2.1% |
| Invesco RSP ETF | +5.6% | -6.0% |
| SPDR SPY ETF | +11.7% | -5.4% |
3. Positions and strategy performance: Friday, May 24, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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