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Valuing Bitcoin using US$ Index

Of the dozen indicators and metrics we have researched, the fortunes of the US Trade-Weighted U.S Dollar Index (TWDI) has the biggest impact on Bitcoin USD prices. When the TWDI depreciates, this boosts Bitcoin prices strongly. When the TWDI becomes stronger, Bitcoin prices face significant headwinds.  The TWDI is a weekly index created by the U.S Federal […]

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Trendex Market Timing/Risk Management

1. Introduction The Trendex indicators are a suite of proprietary short, medium and long term market timing trailing stops with accompanying market peak & bottom probabilities to allow market participants to minimize as well as assess risk or opportunity for nine of the most popular U.S ETF’s commonly used in diversified portfolios. The Trendex indicators […]

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Quantifying market valuation risk – PART 3

In PART-1 we looked at how we used the RecessionALERT Valuation Index (RAVI) to determine 10-year ahead forecasts on the SP500 Total Return Index (TRI) 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 examined three […]

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Detecting SP500 BUY-THE-DIP signals

In our prior research note “Detecting tops of rapid SP500 advances” we introduced a multi-factor model (BIGTOP, available now in the Dashboard) for signaling advance warning of major (infrequent) intra-bull SP500 stock market tops. Whilst not a precise actionable signaling tool, BIGTOP appears very good at warning you of when risks of major market tops […]

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Detecting tops of rapid SP500 advances

Since the bull market that commenced in 2009 there have been around 10 major rapid advances in the SP-500 that ended in not-insignificant market tops. In our ZOOM calls with clients over the last year, a lot of interest has been expressed in how to detect for preemptive warning signs of these major tops. By […]

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Quantifying market valuation risk – PART 2

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 […]

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Quantifying market valuation risk – PART 1

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 […]

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Post-Covid19 Economic Recovery Tracker

Since the onset of Covid-19, there has been a lot of research (and release) of alternative (non traditional) high-frequency data to measure the extent of the economic collapse brought on by coronavirus lockdowns, as well as to measure the post-lockdown economic recovery. Think of Google, Apple and SafeGraph geolocation data to track movement of people […]

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Recession Probability Enhancements

The RecessionALERT USMLEI (US Monthly Leading Economic Index) is a 21-factor monthly leading index for the US economy. It is described in detail in this research note. Up until now, we had deployed a standard Probit statistical model to track implied recession probabilities of the USMLEI. Whilst the Probit models still provide a reasonable lead-time […]

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The Market & Economic Dashboard

The Dashboard provides an all-in-one at-a-glance “pilots view” of all the important short-term market liquidity indicators and the long-term US macroeconomic situation. It consists of radial gauges where Green areas imply no danger (or bullish) and red areas denote danger zones (or bearish). Orange areas denote neutral (neither bullish nor bearish). The gauges all move […]

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Analyzing SP-500 Seasonal Trends

For this research, we examine annual, bi-annual, tri-annual and quadrennial cyclical seasonal characteristics of SP500 monthly closing prices since 1957 and show how to combine all these cycles into a single powerful seasonal indicator. The annual cycle consists of a single phase of 12 months which comprise the historical statistical record of 63 cycles. The […]

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New Economic Analytics tool

For many years now we have published a quarterly data file as described in this note. The old quarterly data file was extremely popular among institutions, particularly those that were using it for standard recession forecasting ensemble implementations or even custom ensembles to fit their investment approach. Also many clients were using the file as […]

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The Average Liquidity Index (ALIX)

The Average Liquidity Index (ALIX) has been published daily for our clients for over 5 years. This document serves as a brief overview. ALIX is the average of the medium-term liquidity index from the VMCOS chart (EMA(21) of VMCOS), the short-term liquidity index from the VMCOS chart (EMA(10) less EMA(21) of VMCOS) and the short-term […]

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McClellan Liquidity Indices

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 […]

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New Probability Models

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 […]

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SP-500 Probability Model (SPM) V1.0

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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Google Search Trends as Recession Forecasting Tool

With the emergence of Google as the dominant internet search engine, its search-term usage can provide a real-time view of current public interests in numerous issues such as economics, politics, health and so forth. Thus, if large groups of people are entering certain economically-linked search terms, this could provide a clue about the general public’s […]

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Global Economy affects U.S stock market returns

The global economy is currently in the depths of a synchronized global business-cycle contraction, first highlighted by us in June 2018. In March 2019 we followed up with Global Economic Activity slowing at the fastest pace since 2011. The chart below highlights the Global Leading Economic Indicator together with the percentage of countries tracked that […]

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Adjusting Fed Funds Rate for QE to predict rate cycle direction changes

The Federal Reserve Funds Rate (Fed Funds Rate) is the interest rate that banks charge other banks for lending them money from their reserve balances on an overnight basis. By law, banks must maintain a reserve equal to a certain percentage of their deposits in an account at a Federal Reserve bank. Any money in their […]

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The improved, de-trended Composite Market Health Index (CMHI)

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 […]

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  RECESSIONALERT,  WED 20 OCT : THERE IS 1x PRO ALERT AND 1 X MACRO-ECONOMIC WARNING