A new long-leading US index

We have been watching the deterioration in the short leading indicators diverging from the story been told on our long-leading indicator (USLLGI) with some interest. It has always been puzzling (and concerning) how long leading data was telling a different story to the short leading data. The lack of long-leading data pointing to any sort […]

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A U.S Weekly Leading Economic Index

RecessionALERT.com has constructed a Weekly Leading Economic Index (WLEI) for the U.S Economy that draws from over 50  time-series from the following broad categories Corporate Bond Market Composite Treasury Bond Market Composite Stock Market Composite Labor Market Composite Credit Market Composite Being a weekly growth index, it provides data with at most a 1-week lag, […]

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The SP-500 200-day average “Goodbye Kiss”

The SP-500 today has met back with its 200-day moving average after spending a “protracted period” of 46 trading days below it. Contrary to popular belief, history since 1972 shows this to be a bearish event, with more downside likely. Many participants on the stock markets like to use the 200-day moving average (200dma) to […]

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Global Slowdown – Does it affect the U.S?

There is no question that the Global Economy is languishing. Now, with weakness in US economic data starting to filter through, the big question that arises is if the U.S will be dragged down by the global economy. The U.S is a very insular economy and whilst there can be no doubt that global economic […]

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RecessionALERT Valuation Index (RAVI)

PART-1 There are currently 4 mainstream models used to forecast 10-year total returns on the SP-500 (dividends re-invested) The Shiller CAPE ratio (PE10) The Warren Buffet Indicator Tobin’s Q-Ratio Average Investor allocation to stocks The non-linear quarterly correlations between these four models (x-axes) and achieved 10-year future total returns (y-axes) on the SP-500 since 1970 are […]

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Great Trough Detector Improvements

You will notice a new layout for the Great Trough Detector (GTR) chart as shown below. The Signal Panel has been revised to be more intuitive and we have added a new count panel below that: 1. The Signal Panel The first task of this panel is to highlight your two main opportunities: Class-B : […]

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The HiLo Breadth Indexes for SP-500

The HILO breadth index was developed  by RecessionALERT for detecting short and  medium-term SP-500 stock market peaks in advance. It deploys the following daily breadth data taken from the SP-500 index: New 13-week (quarterly) highs New 13-week (quarterly) lows New 52-week (annual) highs New 52-week (annual) lows The above data is then used to construct […]

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Zweig Breadth Thrust – The RecessionALERT Redux

Martin  Zweig was an American stock investor, investment adviser, and financial analyst. According to Forbes Magazine, he was renowned for his “eccentric and lavish lifestyle” as well as having had the most expensive residence in the United States at the time, atop The Pierre on Fifth avenue in Manhattan.  He was most well known for […]

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Measuring Selling Pressure for Market Entry Timing

This project uses a composite approach to constructing a broad representation of selling pressure on the SP-500 Index, for the purposes of gauging intensity of corrections, identifying ideal buying points for “buy on the dip” opportunities and provision of warnings of oncoming corrections. The motivation behind using many measurements for selling pressure (as opposed to […]

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SuperCycle Seasonal Timing Methodology for the SP-500

MODEL UPDATE – 21 October 2013 The long-only strategy (STM L) is performing 1.7 times that of the SP-500 buy-&-hold whilst the long and short strategy (STM L+S)  is performing 3.1 times that of the SP-500 buy-&-hold since January 2009 (latter part of 2007-2013 out-of sample period.) Both models under-performed the SP-500 for September & […]

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Seven Paw-prints of the Bear

For decades, investors have sought out methods to detect oncoming bear markets. With this current bull market now in its 5th year the subject has become even more topical – “Has the bull market still got legs?” is a question pondered every day by millions of investors. In this research note, we cover seven of […]

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The SP500 Market Timing project

Currently, RecessionALERT subscribers deploy the Recession Forecasting Ensemble (RFE) to match  their equity allocation to recession risk. But the assumption in our RFE research note was that you would simply “buy and hold” the stock market during periods of low recession risk. This provided for far superior risk-adjusted returns across many business cycles, but you […]

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Estimating recession probabilities using Gross Domestic Product & Income

” The NBER does not define a recession in terms of two consecutive quarters of decline in real GDP. Rather, a recession is a significant decline in economic activity spread across the economy, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales.” – http://www.nber.org Every month, […]

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Structural distortions hazardous to recession forecasting

Very few people realise just how close we came to a recession in the past 12 months, purely on an economic indicators perspective and not counting external risks such as the Fiscal Cliff debate. However, many traditional long leading indicators based on for example the yield curve and the unemployment rate, belie just how close […]

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Effects of Revisions on Recession Forecasting

Economic time series used in measuring business cycles and forecasting recessions are subject to revisions and re-benchmarking. Over time, more up-to-date and accurate data become available and time series are revised to reflect the updates. Some economic time series are subject to more drastic revisions than others. For example, the unemployment rate is subject to […]

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The NBER co-incident Recession Model – “confirmation of last resort”

NOTE : AFTER READING THIS, ALSO TAKE A LOOK AT : “The effect of data revisions on the NBER recession model” and “Estimating Recession Probabilities using GDP/GDI” The National Buro for Economic Research (NBER) are the final arbiters of recession dating in the U.S. They take forever to proclaim specific starts and ends to expansions so […]

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Recession Forecasting Ensemble (RFE) and market timing

The Recession Forecasting Ensemble (RFE) is a collection of 6 powerful diversified recession forecasting methodologies that differ in data, mechanics, approach and theory to offer us an over-arching recession dating and forecasting methodology that is resilient to individual “model risk”. There is no “one size fits all” mathematical model that performs well in the past and is […]

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The SP-500 Great Trough Detector Project

The SP-500 Great Trough Project is a technique where we deploy market breadth to determine favorable points in time for investors to “buy on the dips” on the U.S stock markets, more specifically the SP-500. We make reference to a “Great Trough” as rare, large correction reversals on the SP-500, normally spawning a new bull-market leg, or at least […]

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Recession: Just How Much Warning Is Useful Anyway?

At the end of September 2011, ECRI made a recession call which left the impression recession was imminent. With a track record like theirs there was very little challenging argument. Two days later, the S&P-500 bottomed and rose and incredible 22% since. In December 2011, ECRI “dialled down” their call to “within 9 months”. Just […]

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Further Improving the Use of the ECRI WLI (Part-II)

This article was co-authored with Georg Vrba and first appeared on the popular Advisor Perspectives web site on 17 January 2012 In our last article on using the ECRI WLI, we described how best to use the growth figure of the Economic  Cycle Research Institute’s Weekly Leading Index (WLI) to predict recessions,  but we also highlighted […]

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