Signal #004: 20-Day Final
Published May 13. Closed June 10. SPY fell -2.27%. Our basket returned +1.81%. Alpha: +4.09%.
7 of 8 longs finished green. $URI +12.95%, $ACN +6.80%, $EL +3.97%, $CRM +3.06%. The long book returned +3.44% while SPY lost -2.27%. That's +5.71% of long-side alpha.
The short book was the drag this time at -1.63%. $MLM was the only profitable short at +4.15%. Insurance ($CB -4.61%, $TRV -2.83%) and REITs ($SPG -6.11%) rallied against us. The model's persistent utility/insurance short thesis worked across Signals #001-003 but ran into a defensive rotation in #004.
We post the good and the bad. That's four closed signals:
Signal #001: +20.52% L/S
Signal #002: +5.96% L/S
Signal #003: +0.19% L/S
Signal #004: +1.81% L/S (+4.09% alpha vs SPY)
If you did absolutely nothing else and put equal dollar amount into each position based on the side you had:
Four positive signals. Four positive L/S spreads.
Signal #005 is live for email subscribers. The email sign up link is in the bio.
Longs: $DASH $EL $EXPE $OXY $URI $VST $ACN $CRM
Shorts: $MLM $TRV $EA $AEP $WEC $ITW $SPG $CB
Signal #006 will be delivered on Thursday.
$SPY $SPX $QQQ