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Archive | October, 2019

McClellan Liquidity Indices

By RecessionALERT on October 28, 2019 in Research Papers

This is a complete short, medium and long-term stock market liquidity risk-management tool derived from the McClellan Oscillator methodology applied to daily advancing and declining volume on the SP-500. It has been depicted as a daily updated chart for standard subscriptions for over 7 years now. Each day, we compute daily advancing volume (sum of volume traded of all shares that rose in price) less daily declining volume to get daily net advancing volume. This is very volatile and unusable […]

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Dramatic change in yield curve

By RecessionALERT on October 21, 2019 in Reflections

The RecessionALERT yield-curve aggregate and diffusion has just made a dramatic reversal, with the percentage of 10 term-spreads that are inverted dropping from 70% to 40%: The 10YR less the 2YR narrowly averted an inversion 8 weeks ago and the 10YR-5YR and 10YR-3YR never came close to inversion. If one looks at the latest history and with the benefit of hindsight, we can see that the yield spread aggregate and its 10 components seems to be on a trend upwards. […]

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Are trade war concerns valid?

By RecessionALERT on October 15, 2019 in Reflections

It appears U.S investors’ concerns with global trade wars are dominating U.S stock market direction for the last two years: This is with valid reason, as prior research of ours (Global Economy affects U.S stock market returns) has pointed out that whilst a global recession does not necessarily result in a U.S recession, it can certainly lead to one if the U.S economy is vulnerable. Additionally that research pointed out much bigger than expected correlations between U.S stock market returns […]

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New Probability Models

By RecessionALERT on October 14, 2019 in Research Papers

Following on from extensive client feedback since the launch of the SP-500 trough probabilities and SP-500 Trendex trend-following model, we have decided to target the models at the six largest investable U.S Exchange Traded Fund (ETF) categories by assets under management (AUM) as depicted below, for a total of 50.1% coverage of the total U.S ETF market by AUM: Except for the SP-500, the largest ETF’s by AUM are used in the models to proxy the respective sectors in question. […]

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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.