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Archive | August, 2019

SP-500 Probability Model (SPM) V1.0

By RecessionALERT on August 28, 2019 in Research Papers

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 […]

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Yield Curve inversion suggests mild recession

By RecessionALERT on August 16, 2019 in Reflections

There has been acute interest in the inversions currently taking place on the term-spreads around the world: And this comes as no surprise, since more than half of the world’s sovereign yield curves have now inverted… Right now, 70% of the U.S yield-curve cluster comprising the 10/5/3/2/1 year bond yields are inverted as shown below. […]

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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.