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Archive | March, 2016

Bear market rules still in force

By RecessionALERT on March 29, 2016 in Reflections

Our first bear market signal was issued on 1 September 2015 when the Composite Market Health Index (CMHI) dipped below zero. Since then we had a sustained deterioration of the CMHI components to reinforce the signal, coupled with high stock market volatility. Although market breadth features prominently in the CMHI, there is another way to identify the onset of bear markets for stocks by observing the behavior of the percentage of SP500 stocks trading above their 200-day moving average. In […]

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A new monthly leading US index

By RecessionALERT on March 3, 2016 in Research Papers

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 05.Stock Market 06.Margin Debt 07.Treasury/Corporate Bond market 08.Inventories & Sales 09.Sales of heavy duty trucks 10.Manufacturing : Durable Goods 11.Manufacturing : Weekly Overtime hours 12.Manufacturing […]

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IMPORTANT DISCLAIMERS: Although many of our models rely heavily on back-testing, optimisation and probability methods, please note that past performance is NO GUARANTEE for future returns. No system devised by man can predict the future, let alone the future of the markets and economies. What we have are sets of mathematical models that use historical data and varying theories to pinpoint places in time when the STATISTICAL LIKELYHOOD of calling the start and end to recessions is the greatest. In the midst of all the best mathematical models, you can have geo-political events, wars, terrorist attacks, natural disasters and even nuclear accidents that tip everything upside down. This is always a risk factor you need to factor in on any recession call no matter how confident you are in a signal. The SuperIndexes are created through mathematical and statistical optimisation techniques that best fit the historical NBER data. There is no guarantee that out-of-sample performance will match that of prior in-sample performance.