0.Change log 26 Sept 2024 : New Section-13 added to include “Job Losers” Sahm version. New Section-14 added “Performance summary” 28 Aug 2024 : New Section-6 added to include “Cycle Low” Sahm version. 1.Introduction In macroeconomics, the Sahm rule, or Sahm rule recession indicator, is a heuristic measure by the United States’ Federal Reserve for […]
Generation-2 Market Probability Models
For many years now, we have provided multifactor trough/peak probability models for subscribers for SP500, QQQ (Nasdaq-100), GLD (Gold), IWM (small-caps), BTC (Bitcoin), AGG (Bond market), VTI (Total market), EFA (Developed markets ex U.S & Canada), EEM (Emerging markets) and IJH (mid-caps). You can read about their methodology in this research note. Running and using […]
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US 10-Year T-Note Probability Model
Introduction The 10-year Treasury note is a debt obligation issued by the United States government with a maturity of 10 years upon initial issuance. A 10-year Treasury note pays interest at a fixed rate once every six months and pays the face value to the holder at maturity. The 10-year Treasury yield is the current […]
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A Recession Forecasting Diffusion (RFD)
Since we originally designed and built the Weekly SuperIndex recession model, we have created fourteen other quantitative recession models for clients over the last decade. These range from broad-based short, medium, and long-term composite leading & coincident economic indicators to composites focused on Housing, Labor, Gross Domestic Product & Income and Valuations. Each of these […]
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The Lowry buy-the-dip Indicator
On 26th February 2002, Paul F. Desmond from Lowry’s Research published a seminal paper titled “Identifying Bear Market Bottoms & New Bull Markets” ( download) This concept measured market breadth, namely daily advancing stocks as a % of advancing and declining stocks as well as points gained as a % of points gained and lost. The research […]
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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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