Monthly Update – February 2020

Unemployment

Fig-8.-3-6-2020The unemployment rate recession model (article link), has been updated with the February UER of 3.5%. The model does not signal a recession. Note: The UER reflects the employment situation of mid February, thus do not include any possible impacts of the COVID-19 virus.

Here is the link to the full update.

 

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

This update is discontinued and replaced by our weekly updated iM-LLI.

 

 

CAPE-Cycle-ID

Fig-9a-3-6-2020Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE;  the level switched from 0 to +2 end of October-2019. This indicator is described here.

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. (read more)

 

Estimated Forward 10-Year Returns

Fig-9b-3-6-2020The estimated forward 10‐year annualized real return decreased to 5.8% (previous 5.9) with a 95% confidence interval : 4.4% to 7.2 (previous 4.5% to 7.3%).

 

 

iM-GT Timer

Fig-10-3-6-2020The iM-GT Timer, based on Google Search Trends volume switched out of the markets on 3/5/2020. This indicator is described here.

 

 

Trade Weighted USD

USD-3-6-2020 Will be updated later, the weekly FRED data series we used was discontinued and replacement series is daily and runs from 2015. We need to adapt our software and graphics first.

 

 

 

TIAA Real Estate Account

Fig-11.-3-6-2020The 1-year rolling return for the end of last month is 4.49%, down from last month. A sell signal is not imminent.

Read more …

 

 

 

 

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