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 […]
The improved, de-trended Composite Market Health Index (CMHI)
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 […]
Unemployment is worse than it looks
The U.S civilian unemployment rate reached new lows of 3.6% in April – numbers last seen 51 years ago in 1968: There are a number of ways to use the national unemployment rate to signal recession, but almost all of them are co-incident to slightly lagging in the warning they provide. We have the most […]
What are odds of a SP500 reversal?
The SP-500 has corrected 4.35% from its recent high achieved a couple of days after our repeated warnings of high correction risks. The question that naturally comes to mind now, as we embark on this corrective phase, is what the odds of the worst being over are. We have been working on a statistical model […]