Introduction NOTE : Subsequent to this research note, we also launched an SP-500 Probability Model that measured probability of market tops (peaks). The MARKET-TOP probability model uses the inverse logic of the MARKET-BOTTOM probability model discussed in this research note. In other words, we look at low volatility instead of high volatility from the VIX […]
Google Search Trends as Recession Forecasting Tool
With the emergence of Google as the dominant internet search engine, its search-term usage can provide a real-time view of current public interests in numerous issues such as economics, politics, health and so forth. Thus, if large groups of people are entering certain economically-linked search terms, this could provide a clue about the general public’s […]
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Global Economy affects U.S stock market returns
The global economy is currently in the depths of a synchronized global business-cycle contraction, first highlighted by us in June 2018. In March 2019 we followed up with Global Economic Activity slowing at the fastest pace since 2011. The chart below highlights the Global Leading Economic Indicator together with the percentage of countries tracked that […]
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Adjusting Fed Funds Rate for QE to predict rate cycle direction changes
The Federal Reserve Funds Rate (Fed Funds Rate) is the interest rate that banks charge other banks for lending them money from their reserve balances on an overnight basis. By law, banks must maintain a reserve equal to a certain percentage of their deposits in an account at a Federal Reserve bank. Any money in their […]
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The improved, de-trended Composite Market Health Index (CMHI)
One of our oldest and most consulted indicators by our institutional clients is the Composite Market Health Index (CMHI – see research paper ). By de-trending this index around its long-term regression mean we can obtain far earlier bear-market warnings and signalling for the U.S stock markets. You can see this index updated every day […]
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Impact of monetary policy & yield curve on future volatility
This research note investigates the relationship between the yield curve (US 10-year less US 1-year constant-maturity treasury spread) and the Federal Funds Rate (monetary policy) on the future readings of the CBOE VIX index. The 10’s vs. 1’s yield-curve and U.S recessions in the post-war era are displayed below, where it is clear that the […]
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A new U.S Residential Housing Index
According to many market watchers, there is no better barometer on the health of the U.S. economy than residential housing. It’s an industry that encompasses many vital sectors of the economy such as banking, manufacturing, commodities, construction, durable goods, international trade, transportation and, of course, consumer spending. So it’s not surprising the Federal Reserve closely […]
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Yield curve inversion & recession forecast
There is naturally a lot of focus on the U.S yield-curve at the moment, as it moves relentlessly toward inversion (when short-term rates are higher than long-term rates.) Can the history of the yield-curve inversion provide for useful forecasting as to the start dates of the next U.S recession? The 10’s vs. 1’s yield-curve and […]
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Revisiting an old favourite
One can examine so many charts during the course of a bull market and only realize upon hindsight how effective some of them can sometimes be. This often happens with the breadth metric derived from the percentage of SP500 shares trading higher than their 50-day moving average. You can find this chart updated daily from […]
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A new monthly leading US index
Many monthly leading indices published for the U.S have about 10 indicator components, and we wanted one that had at least double this. The components of the new index are all monthly time series and are as follows: 01.Labor Market Composite (19 indicators) 02.Housing Market Composite (6 indicators) 03.Enhanced Yield Curve (EYC) 04.Money Supply Aggregate […]
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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 20 weekly time-series from the following broad categories Corporate Bond Market Composite Treasury Bond Market Composite Stock Market Composite Labor Market Composite Credit Market Composite Mortgage backed securities (MBS) The first five are shown below: Being a weekly […]
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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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Fingerprints of a short-term market top
The SP-500 has rallied sharply since the 15th October bottom, recovering all her losses in a shorter time than it took to incur them. It was a very rare display of the opposite behavior to the norm where “the bull climbs the staircase and the bear comes down the elevator”, since in this case, the […]
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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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DeMark analysis for SP-500
IMPORTANT NOTICE : Since 2020, we no longer display charts shown below as the Demark Setup methodology we discuss below has been replaced with a far superior Trendex methodology. You can read about our proprietary Trendex Multi-Stop & Probability methodology over here : Trendex Market Timing/Risk Management PREAMBLE A detailed 18-year analysis reveals that the DeMark Setup […]
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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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