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Zweig Breadth Thrust – The RecessionALERT Redux

Martin  Zweig was an American stock investor, investment adviser, and financial analyst. According to Forbes Magazine, he was renowned for his “eccentric and lavish lifestyle” as well as having had the most expensive residence in the United States at the time, atop The Pierre on Fifth avenue in Manhattan.  He was most well known for […]

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Measuring Selling Pressure for Market Entry Timing

This project uses a composite approach to constructing a broad representation of selling pressure on the SP-500 Index, for the purposes of gauging intensity of corrections, identifying ideal buying points for “buy on the dip” opportunities and provision of warnings of oncoming corrections. The motivation behind using many measurements for selling pressure (as opposed to […]

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SuperCycle Seasonal Timing Methodology for the SP-500

MODEL UPDATE – 21 October 2013 The long-only strategy (STM L) is performing 1.7 times that of the SP-500 buy-&-hold whilst the long and short strategy (STM L+S)  is performing 3.1 times that of the SP-500 buy-&-hold since January 2009 (latter part of 2007-2013 out-of sample period.) Both models under-performed the SP-500 for September & […]

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Seven Paw-prints of the Bear

For decades, investors have sought out methods to detect oncoming bear markets. With this current bull market now in its 5th year the subject has become even more topical – “Has the bull market still got legs?” is a question pondered every day by millions of investors. In this research note, we cover seven of […]

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The SP500 Market Timing project

Currently, RecessionALERT subscribers deploy the Recession Forecasting Ensemble (RFE) to match  their equity allocation to recession risk. But the assumption in our RFE research note was that you would simply “buy and hold” the stock market during periods of low recession risk. This provided for far superior risk-adjusted returns across many business cycles, but you […]

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Estimating recession probabilities using Gross Domestic Product & Income

” The NBER does not define a recession in terms of two consecutive quarters of decline in real GDP. Rather, a recession is a significant decline in economic activity spread across the economy, lasting more than a few months, normally visible in real GDP, real income, employment, industrial production, and wholesale-retail sales.” – https://www.nber.org Every month, […]

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Structural distortions hazardous to recession forecasting

Very few people realise just how close we came to a recession in the past 12 months, purely on an economic indicators perspective and not counting external risks such as the Fiscal Cliff debate. However, many traditional long leading indicators based on for example the yield curve and the unemployment rate, belie just how close […]

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Effects of Revisions on Recession Forecasting

Economic time series used in measuring business cycles and forecasting recessions are subject to revisions and re-benchmarking. Over time, more up-to-date and accurate data become available and time series are revised to reflect the updates. Some economic time series are subject to more drastic revisions than others. For example, the unemployment rate is subject to […]

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The NBER co-incident Recession Model – “confirmation of last resort”

NOTE : AFTER READING THIS, ALSO TAKE A LOOK AT : “The effect of data revisions on the NBER recession model” and “Estimating Recession Probabilities using GDP/GDI” The National Buro for Economic Research (NBER) are the final arbiters of recession dating in the U.S. They take forever to proclaim specific starts and ends to expansions so […]

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Recession Forecasting Ensemble (RFE) and market timing

The Recession Forecasting Ensemble (RFE) is a collection of 6 powerful diversified recession forecasting methodologies that differ in data, mechanics, approach and theory to offer us an over-arching recession dating and forecasting methodology that is resilient to individual “model risk”. There is no “one size fits all” mathematical model that performs well in the past and is […]

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The SP-500 Great Trough Detector Project

The SP-500 Great Trough Project is a technique where we deploy market breadth to determine favorable points in time for investors to “buy on the dips” on the U.S stock markets, more specifically the SP-500. We make reference to a “Great Trough” as rare, large correction reversals on the SP-500, normally spawning a new bull-market leg, or at least […]

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Recession: Just How Much Warning Is Useful Anyway?

At the end of September 2011, ECRI made a recession call which left the impression recession was imminent. With a track record like theirs there was very little challenging argument. Two days later, the S&P-500 bottomed and rose and incredible 22% since. In December 2011, ECRI “dialled down” their call to “within 9 months”. Just […]

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Further Improving the Use of the ECRI WLI (Part-II)

This article was co-authored with Georg Vrba and first appeared on the popular Advisor Perspectives web site on 17 January 2012 In our last article on using the ECRI WLI, we described how best to use the growth figure of the Economic  Cycle Research Institute’s Weekly Leading Index (WLI) to predict recessions,  but we also highlighted […]

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Using the ECRI WLI to Flag Recessions (Part-I)

In September 2011, the Economic Cycle Research Institute  proclaimed a new U.S recession would begin sometime in the coming year. ECRI  based its prediction on a host of its own internal long-leading indexes,  together with its widely followed weekly leading index (WLI). I do not wish to debate the merits of ECRI’s recession call  here […]

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