Most Recent Updates
Model Performance Tables: Dec 16, 2014
Business Cycle Index: Dec 18, 2014
Weekly Macro Signals: Dec 19, 2014
Monthly Update: Dec 5, 2014
December 15, 2014
12/15/14 Combo3 holds SH, XLV and TLT
The Best(SSO-TLT) sells SSO and Buys TLT
|iM-Best (ETF) Holdings|
12/15/14 iM-Best(Short) shorts MBLY; covers ADBE, 80% not allocated.
12/15/14 iM-Best12(USMV)-July no change from previous week.
|12/15/14||positions remain unchanged since 6/30/14|
12/15/14 iM-Best12(USMV)-October no change from previous week.
|12/15/14||positions remain unchanged since 9/29/14|
12/15/14 iM-Best12(USMV)-Trader .
updated on Tuesdays
12/15/14 iM-Best10(VDIGX)-Trader .
updated on Tuesdays
Business Cycle Index
The BCI at 184.9 is unchanged from last week’s downwards revised 184.9. No recession is signaled by both the derived indicators; BCIg, expressed to one decimal place at 20.7 is down from last week’s 21.3, and BCIp at 88.3 indicates that, for this business cycle, BCI is slightly down from its previous peak.
Market Signals Summary:
The IBH stock market model is out of the market. The MAC stock market model is invested, The recession indicator COMP is up from last week’s revised level, and iM-BCIg is downfrom last week’s level. MAC-AU is out of the market. The bond market model avoids high beta (long) bonds, the yield curve has long-term steepening trend, both the gold and silver model are invested.
The MAC-US model stays invested. MAC-US Fig 2 shows the spreads of the moving averages. The sell-spread is up from last week’s level. A sell signals is not imminent. The sell spread (red graph) has to move below the zero line for a sell signal.
The MAC-AU model is out of the market, although it may be very close to a sell signal. A sell signal was generated on Nov-25. The model switched to interest bearing instruments. MAC-AU Fig 2.1 shows the spreads of the moving averages of the Australia All Ordinaries Index. The sell-spread is lower than last week’s level. The sell spread (red graph) has moved below the zero line for a sell signal. A buy signal will only be generated when the buy-spread (green graph) moves from below to above zero
This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.
In Fig. 3 one can see that COMP is higher from last week’s level, and far away from signaling recession. COMP can be used for stock market exit timing as discussed in this article The Use of Recession Indicators in Stock Market Timing.
Please also refer to the BCI page
The BVR-model avoids high beta bonds (long-bonds) and also intermediate duration bonds.
The Bond Value Ratio is shown in Fig 4. The BVR is up from last week’s level. According to the model, only when BVR turns upward after having been lower than the lower offset-line should one consider long bonds again.
One can see by the upward sloping graph that long bonds gained from January 2014 onward. The model failed to signal the lower turning point of BVR.
The Yield Curve:
The yield curve model shows the generally steepening trend from mid 2012 of the 10-year and 2-year Treasuries yield spread. Figure 5 charts (i10 – i2). Although the curve has flattened from the beginning of 2014, the general trend from middle of 2012 is up. FLAT and STPP are ETNs. STPP profits from a steepening yield curve and FLAT increases in value when the yield curve flattens. This model confirms the direction of the BVR..
This indicator is described in Is it Time to Buy Gold Again? – Wait for the buy signal …….
This indicator is described in Silver – Better Than Gold: A Modified Coppock Indicator for Silver.
February 2, 2018
UnemploymentThe unemployment rate recession model (article link), has been updated with the January UER of 4.1%. Based on the historic patterns of the unemployment rate indicators prior to recessions one can reasonably conclude that the U.S. economy is not likely to go into recession anytime soon. The growth rate UERg is at minus 13.10% (last month 13.56%) and EMA spread of the UER is at minus 0.23% (last month minus 0.28%).
Here is the link to the full update.
The Dynamic Linearly Detrended Enhanced Aggregate Spread:The updated level of this indicator, -140bps, above last months -146bps, confirms the January 20, 2017 signal. Based on past history a recession could have started at the earliest in October 2017, but not later than May 2019. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a recession start for April 2018. (Note: All our other recession indicators are far from signal a recession.)
Coppock Indicator for the S&P500The Coppock indicator for the S&P500 entered the market end May 2017. This model is in stocks. This indicator is described here.
Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE. A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.
Trade Weighted USDThe Trade Weighted $ value is continuing to weaken.
TIAA Real Estate Account