iMarketSignals – improve investment performance

We provide unbiased guidance to market direction. Our models can be classed into following  groups:

  • Leading recession indicators:
    • BCI is a Business Cycle Indicator optimised to identify a looming recession constructed from economic data series.
    • COMP is a recession indicator model constructed by combining third party leading indicators.
  • Buy and Hold investing. These models are macro by nature; trading signals from the models occur infrequently and are un-hedged – one does not have to trade constantly in and out of the markets.
    • MAC-US is a moving average crossover model for the S&P500.
    • MAC-AU is a moving average crossover model for the Australia All Ordinaries Index.
    • BVR is a bond market model based on mathematics alone.
    • Yield-Curve is a trend-following model.
    • GOLD is a rate-of-change trend-following model.
    • SILVER is a rate-of-change trend-following model.
  • Active weekly trading models based on a proprietary ranking system updated each week to generate un-biased and un-hedged buy- and sell-signals.
    • iM-BestX are weekly trading models based on the S&P 500, S&P1500 and Russell 1000 stock index series.
    • iM-Best(SPY-SH) is a market timing model, updated weekly on Sundays for the coming week.
    • iM-Best1(Sector SPDR) is a rotation system for the Select Sector SPDR® ETFs that divide the S&P500 into 9 sectors.
    • iM-Best(SSO-TLT) is a ETF switching system based on market timing.
    • iM-Best Combo3 is a combination model of Best(SPY-SH) + Best1(Sector SPDR) + Best(SSO-TLT), updated weekly on Sundays for the coming week.

The models are updated weekly and the charts depict the state of the various markets. They can be seen by registered/logged-in members.

The models have all been published. Before the models were available on the internet, weekly updates for the IBH, MAC, BVR and Yield-Curve were sent by email to subscribers for about two years – here are some of their comments:

 

This model and your fine work has been quite remarkable (and profitable). I have been enjoying your observations for quite some time. Job well done.
Edward Chrusciel

Your system looks pretty good. In fact, I was amazed by the high percentage winning trades and the very low drawdowns. I’ve never seen anything like that in a MA system.
Tom Swiatek

Regardless of which version one uses, it’s a powerful system. And it answers one of the most troubling worries that investors have. It efficiently gets them out of harm’s way when the market crashes.
Erik Conley

Thank you for your unique and excellent work. We will appreciate receiving your Modelling updates. Thanks!
Chuck Szkalak

The average investor reads the financial news and thinks that gives him an edge. That only tells him what everyone else knows and is worried about. We follow the excellent work of Georg Vrba, who has a top-rated coincident recession indicator as well as a successful stock/bond asset allocation model. Here is his most recent comment:  “My own composite short leading economic indicator, which has the  highest score of all indicators so far tested, does not support the notion of a recession anytime soon.” I listen to Georg, and you should too.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I took that S&P buy signal of yours with a little $50K futures contract and am very happy thank you.
Dwaine van Vuuren – CEO of PowerStocks

I have read and studied all your articles with interest. I have learned much from your perspectives and will continue to follow your work.
David Hamilton

Thank you for all your outstanding analysis. Let me say that I couldn’t agree more that data beats opinion.
Dave Lincoln

Georg Vrba asks whether the ECRI is still relevant. Great analysis and charts.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

 

I very much liked the write up on your models, and if I may add these have a particular appeal and interest having been developed by a fellow engineer.
Paul Willis

Have seen so many manipulate data to fit their predetermined biases and love the way you methodically deconstructed the moving averages to debunk this one. It shows the difference between intellectual laziness and intellectual rigor which you fit to a tee.
Kuosen Fung, CFP®

Your work is really interesting and I’d love to receive your updates or any other information you publish. I honestly think your results indicate there is a way to time stock and bond market exposure. Most likely people will remain human and many will follow their “gut feel” or let fear or greed override any mathematical analysis. This is why your methods will most likely continue to work.
James Schwartz, CFP®

Georg Vrba, whose excellent work on recession forecasting has helped our readers, has two different market-timing methods. His most recent article explains that the next great bull market might already be here.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

… as always love your analysis! Always eager for Friday’s just to receive your reports!
Jose R Barcelo

I agree with your viewpoint that mathematical models provide better guidance to market directions than financial experts. Thanks so much!
C.T. Wu, PhD in EECS

I just read your article on identifying recessions. Great work!
Richard G Greenwald, AAMS, CRPC

I appreciate using math to model financial behaviour and appreciate your good work.
Richard E. Hamrick, CFA®

This time it is perma-bear Albert Edwards warning investors about the “Ultimate Death Cross” taking the S&P 500 back to 666. Georg Vrba takes the analysis even further. He shows that Edwards’ prediction is almost impossible to accomplish if you actually do the math on the moving averages involved. In addition, he demonstrates that the current indicator conditions are actually bullish based on historical data.
Jeffrey A. Miller, PhD, President NewArc Investments, Inc.

I have great respect for your work and am grateful to be included on your list.
Marvin Snyder

I have your historical charts going back and it is great material. I appreciate your insights. Steve Wenstrup

 

I have been following your work for some time and have been very impressed.
Steve McCarthy, CPA, CFP®

I’m impressed that you provide this much analysis each week. Thank you for your insights. Your charts are beautiful & clear.
Brett Bowman

I am really impressed by your work and liked very much your last research on gold and silver. It’s good to see that you are expanding the scope of possible investments.
Nicolas Tabourdeau

Posted in homepage

iM-Trading Models:

Featured

The iM-Inflation Attuned Multi-Model Market Timer

  • Investment risk can be reduced by a multi-model market timer whose many components use different and uncorrelated financial and economic data, including inflation.
  • This model seeks to determine effective asset allocation for risk-on and risk-off periods for equities considering the effect of inflation.
  • Four risk scenarios are possible: risk-on & normal-inflation, risk-on & high-inflation, risk-off & normal-inflation, and risk-off & high-inflation. Different ETF groups apply to each risk scenario.
  • From 2000 to 2022, switching accordingly between risk-related ETF groups would have produced an annualized return of about 39% versus 6.5% for buy and hold SPY.

Evaluating Popular Asset Classes for Inflation Protection

  • We tested nine asset classes which are supposed to provide protection against inflation according to an Investopedia article. The test period was from January 2005 to May 2022.
  • Investopedia provides no definition for inflationary environment, but this analysis uses the 6-month moving average of the inflation rate and the University of Michigan: Inflation Expectation© series to define it.
  • For this investigation we consider separately the inflationary periods which fall within the Risk-on and Risk-off phases for equities, as defined by the iM-Multi-Model Market Timer.
  • From the asset classes listed by Investopedia only the Vanguard Real Estate ETF (VNQ) provided some inflation protection relative to the SPDR S&P 500 ETF (SPY).
  • Better inflation protection is provided by energy sector ETFs XLE and PXE, but energy sector funds were not among the asset classes listed in the Investopedia article.

The Stock Market Has Peaked, S&P 500 Death Cross For The Ides Of March: Update March 2022

  • The average of S&P 500 for February 2022 was 4436 (5% down from December 2021 average) and is still 1896 points higher than the corresponding long-term trend value of 2540.
  • A reversal to the long-trend would entail a 43% decline, possibly over a short period aggravated by the imminent S&P500 death cross.
  • The Shiller CAPE-ratio is at a level of 35.9 (down 7.2% from its recent peak of 38.7). That is 41% higher than its 35-year moving average (MA35), currently at 25.5.
  • The CAPE-MA35 ratio is 1.41 (down from the end of December 2021 level of 1.51), forecasting a 10-year annualized real return of about 4.6%.
  • The historic long-term trend indicates a 10-year forward real annualized return of only 0.8% (up from the end of December 2021 forecast of 0.2%).

The iM-Multi-Model Market Timer – Not Your Daddy’s Old Moving Average Crossover System

  • Reliance on a single market timer is risky. The risk can be reduced by a multi-model market timer whose many components use different and uncorrelated financial and economic data.
  • This model seeks to determine reliable risk-on and risk-off periods for the stock market. When there is no definite signal for risk-on or risk-off then the investment is considered risk-neutral.
  • From 2000 to 2022, switching between ETFs RSP, VGT, SH, TIP, BIV and IEF would have produced an annualized return of 34.2% versus 7.0% for buy and hold SPY.
  • The model is not a binary indicator between risk-on and risk-off and does not rely on leveraged ETFs to produce such high returns.

The Stock Market Is Overpriced, Expect Very Low 10-Year Forward Returns And Zero Real Returns By 2028: Update December 2021

  • The average of S&P 500 for December 2021 was 4675 (previous month 4670). This is 2155 points higher than the long-term trend value of 2520.
  • The current percentage difference of S&P 500 level relative to the current long-term trend level is 85%, a value not exceeded in the recent past since 2001.
  • The Shiller Cyclically Adjusted Price to Earnings Ratio (CAPE) is at a level of 38.4. That is 51% higher than its 35-year moving average (MA35), currently at 25.4.
  • The CAPE-MA35 ratio is 1.51, forecasting a 10-year annualized real return of about 3.8%. Should the CAPE-MA35 ratio increase further, then 10-year forward returns will be even lower.
  • The historic long-term trend indicates a 10-year forward real annualized return of only 0.2%, and the current condition of overvaluation suggest zero returns by the end of 2028.