Staying defensive continues to post clear benefits year to date, although the value of a risk-off posture wasn’t obvious last week. All of our risk-managed benchmarks were flat to modestly higher, in line with the unmanaged benchmark (G.B16). For details on the strategy rules and metrics in the tables below, see this summary.
Note, however, that momentum for all the benchmarks remain pinned to zero via the MOM score, the weakest possible reading. That’s a strong hint that the selling wave that’s prevailed this year probably isn’t over.
When the MOM score in the tables below start to tick higher, the bears may be close to capitulation. But we’re not there yet and so it’s not obvious that a bottom in markets overall is close. ■