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

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Featured

How to Avoid the Coming Bear Market Indicated by Shiller’s CAPE Ratio

  • The Cyclically Adjusted Price to Earnings Ratio (CAPE ratio) is at 30.2, a very high level which signals overvaluation of stocks and low forward returns, according to Shiller.
  • This level was only exceeded twice in the last 136 years, from Aug-1929 to Sep-1929 and from Jun-1997 to Jan-2002, with market declines of 77% and 45% then recorded.
  • The Moving Average CAPE Ratio Methodology used here references stock market valuation to a 35-year moving average of the Shiller CAPE ratio instead of the 1881-2017 long-term average.  
  • Based on the 35-year moving average methodology, historic market performance points towards continuing up-market conditions, possibly for a number of years.
  • To avoid the bear market, exit stocks when the spread between the 5-month and 25-month moving averages of S&P-real becomes negative and simultaneously the CAPE-Cycle-ID score is 0 or -2.

Shiller warns in his recent commentary The Coming Bear Market? :
Read more >

Profiting from Market Volatility with the “Anti-VIX” ETN ZIV

  • The “Anti-VIX” ETN ZIV is designed to increase in value when the volatility of the S&P 500 decreases, as measured by the prices of VIX futures contracts.
  • The model buys ZIV only during up-markets when the VIX > 17 and rising, otherwise during up-markets it buys either QLD or DDM, or IEF when upmarket conditions are absent.
  • A backtest of the model from Jan-2011 to Jul-2017 produced a high 60% annualized return with a maximum drawdown of -16% with only 41realized trades.

Profiting from Market Volatility with the “Anti-VIX” ETF SVXY

  • The “Anti-VIX” ETF SVXY is designed to increase in value when the volatility of the S&P 500 decreases, as measured by the prices of VIX futures contracts.
  • Extended data of SVXY, the ProShares Short VIX Short-Term Futures ETF, from Jan-2006 to the fund’s inception date was calculated from its proxy, the S&P 500 VIX Short-Term Futures Index.
  • SVXY is intended for short-term use. Using the extended price data, a buy-and-hold strategy of the hypothetical SVXY resulted in a huge loss of over 90% from 2007 to 2009.
  • The model buys SVXY only during up-markets when the VIX > 17 and rising, otherwise during up-markets it buys either QLD or DDM, or IEF when upmarket conditions are absent.
  • A backtest of the model from Jan-2007 to Jul-2017 produced a high 70% annualized return with a maximum drawdown of -27% with only 76 realized trades.

Beating Vanguard’s Large-Cap ETFs with a Tax Efficient Capital Strength Portfolio of the Russell 1000

  • This system invests in well capitalized companies with strong market positions, which pay good dividends, have price appreciation potential, and provide a degree of downside protection during bear markets.
  • The portfolio is quarterly rebalanced and reconstituted, and consists of six large-cap stocks with Capital Strength type characteristics from the Russell 1000 Index, typically held for at least one year.
  • A backtest, from Jan-2000 to end of Jun-2017, showed a 17.7% annualized return with a maximum drawdown of -23.3% and a low average annual turnover of about 70%.
  • A comparison with Vanguard’s large-cap ETFs older than 10 years shows that for all listed investment periods the Portfolio would have produced higher returns than any of the five ETFs.

Performance Update of the Best10(VDIGX)-Trader: Trading the Stocks of the Vanguard Dividend Growth Fund – VDIGX

  • The Vanguard Dividend Growth Fund-VDIGX is closed to new investors. Want-to-be investors can possibly do better than the fund by investing only in a few positions of the fund’s holdings.
  • The iM-Best10(VDIGX)-Trader relies on the expertise of the Vanguard’s advisors to make the primary stock selection. VDIGX currently holds 45 large-cap stocks from which the Trader periodically picks its stocks.
  • The Trader invests in the ten highest ranked stocks of VDIGX. This strategy, postulated in 2014, has produced to Jun-2017 a 3-year return of more than double that of VDIGX.
  • The 3-year performance of the Trader was 64.1% versus 28.4% for VDIGX, giving an excess return of 35.7%. Trading frequency was low, with positions held on average for 126 days.

With reference to Section 202(a)(11)(D) of the Investment Advisers Act: We are Engineers and not Investment Advisers, read more ...
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