Market Report 23 November 2024

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 GRYNING | Quantitative membership.

Performance of the ensemble and benchmarks

Weekly return of the ensemble: +1.2%

Last week, the equity of the equally weighted strategy ensemble gained 1.2% to new highs for the year. On a risk-adjusted basis, the ensemble outperforms both the SPY ETF and its equal-weight counterpart, the RSP ETF.

Recap and market outlook (November 19–November 22, 2024)

All assets had gains this week. Stocks (SPY), bonds (TLT), commodities (DBC), and the US dollar (UUP) gained 1.7%, 0.3%, 3.4%, and 0.8%, respectively.

The strategy ensemble ended the week with a gain of 1.2% after a strong rebound in Dow-30 mean-reversion (LONGSHORT [LS]), which was up 2.8% for the week and 28.4% for the year. Asset (ETFROTATION [ER]) and sector (SECTORROTATION [SR]) cross-sectional momentum also had strong gains of 2.7% and 2.2%, respectively.

With a loss of 1.8% for the week, the Dow-30 long-short (DOWBULL [DB]) strategy continued to hinder performance, but this behaviour is typical of strong market rebounds. We deliberately included this strategy in the ensemble because it provides positive convexity during market crash periods.

The stock market has entered a state of high uncertainty due to a fluid macroeconomic landscape and a new geopolitical regime marked by unprecedented bluffing and gambling. The impact of this new environment on capital markets remains uncertain, and market participants’ wishful thinking could fuel short-term reactions, which may not serve as reliable indicators. After many years of a positive outlook for equity markets, we are switching to a moderately bearish outlook. We believe that excessive optimism is due to cognitive biases rather than sound analysis. We rely on strategies to deal with the new market environment and regime rather than on narratives.

As an introductory offer, we are currently accepting teams of up to 3 members for the price of a single membership.

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Disclaimer: Investing in any market, including exchange-traded products (ETPs, ETFs, and ETNs), could result in a total loss of capital. We only provide the signals (signals) for informational purposes, not as investment advice. We do not warrant the accuracy, completeness, fitness, or timeliness of the signals for any particular purpose. You should never treat the signals as financial advice. At times, we may hold positions, long or short, calls or puts, in several exchange-traded products listed in these reports. The author of this website is not a registered financial adviser.

Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.