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 (June 3–June 7, 2024)
All assets gained the week except commodities (DBC, -2.2%), gold (GLD, -1.7%), and the equal weight S&P 500 (RSP, -0.7%).
Specifically, the SPY ETF ended the week with a gain of 1.3%. Bonds (TLT) gained 1.5% despite a reversal on Friday due to a stronger-than-expected employment report.
Breadth in the S&P 500 (SPY) deteriorated, as the drop in the equal-weight S&P 500 ETF (RSP) indicated. International stocks (VEU) gained 0.1%. The US dollar index (UUP) was up 0.3% after surging 0.8% on Friday due to the favorable employment report.
All in all, this week brought surprises for those who attempt to predict economic reports and market reactions. Due to its failure during the 1980s’ high inflation period, economic market analysis was once a common practice but has since fallen out of favor. However, it is now the 2020s, and some people are still trying to predict how markets will react to unpredictable levels of economic variables. The aspiring forecasters and their followers only remember the times they were correct and quickly forget the times they were wrong. What’s more intriguing is that those who fail in this practice often attempt to attract more followers, hoping to feel validated in the process. But reality is unforgiving.
The only way to minimize risks in the long run is to follow an ensemble of strategies that trade off returns for lower volatility. This is not a panacea and cannot guarantee performance, but it is better than trying to predict what the major market players will do after the release of economic reports.
2. Performance of the ensemble and benchmarks
The Dow-30 long-short surged 2.3% for the week, following a rare gain in all positions, long and short.
The Dow-30 mean-reversion strategy gained 1.3%, although it was 50% invested. The performance of the ensemble reached new highs this week, following a gain of 1%.
Year-to-date performance (Backtests, no leverage)
| YTD Return | YTD Maximum Drawdown | |
| Strategy ensemble | +7.2% | -2.1% |
| Invesco RSP ETF | +4.7% | -6.0% |
| SPDR SPY ETF | +12.7% | -5.4% |
3. Positions and strategy performance: Friday, June 7, 2024
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Charting and backtesting program: Amibroker. Data provider: Norgate Data
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