February | 2021 | RecessionAlert

Archive | February, 2021

A new coronavirus wave is starting in USA

By RecessionALERT on February 25, 2021 in Reflections

One of the most accurate and reliable leading indicators we have discovered for the U.S daily new Coronavirus infections curve is the percentage of 52 US states that have an increasing or decreasing rate of new daily infections being reported. This indicator tops out before the national US infection tally and likewise bottoms before the national US infection tally. It is thus an early warning indicator for change in direction of the daily new infections curve. The percentage of US […]

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Launch of Institutional Crypto Advisory

By RecessionALERT on February 16, 2021 in Reflections

After hundreds of client Zoom consultations over the last 6 months, the request for a fundamentally-driven macro-risk model for cryptocurrency (specifically Bitcoin), similar to the ones we provide for the US economy and SP500, was one of the many topics topics among just under 49% of the calls. The request was highest among high net-worth private investors, family offices and small funds, but we expect company treasurers and larger institutions to become more formally involved with Bitcoin as a possible […]

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Quantifying market valuation risk – PART 2

By RecessionALERT on February 16, 2021 in Research Papers

In PART-1 we looked at how we used the RAVI to determine 10-year ahead forecasts on the SP500 Total Return Index with a better than 0.89 correlation, and how we managed to derive 5,3 and 2 year ahead SP500 forecasts with correlations of 0.8, 0.68 and 0.55 respectively. In PART-2 we are going to focus solely on how we derive 1-year ahead forecasts for the Sp500. 2. Deriving 1-year SP-500 forecasts Using the RAVI index regressed to 1-year ahead SP500 […]

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Quantifying market valuation risk – PART 1

By RecessionALERT on February 11, 2021 in Research Papers

There are many metrics currently being touted that demonstrate the stock market is dangerously overvalued. Many respectable models are even forecasting double digit negative returns for the US stock market over the next 10 years. In this research note we look at our RecessionALERT Valuation Index (RAVI) and how to interpret what it is currently saying about stock market valuations. The RecessionALERT Valuation Index (RAVI) examines 10-year cyclically adjusted trailing SP-500 earnings, the SP-500 index level, total stock market capitalization, […]

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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.