iM Update – January 22, 2016

Market Signals Summary:

The MAC-US model  is out of the market.  Also, the 3-mo Hi-Lo Index of the S&P500 is out of the markets.   The MAC-AU remains out of the markets.  The recession indicators COMP and iM-BCIg do not signal a recession.  The bond market model avoids high beta (long) bonds, the trend of the yield spread is declining. Both the gold and silver model are invested.

 

Stock-markets:

Last week the MAC-US model generated a sell-signal early January and is not invested in the stock-markets. The buy-spread continues to decline and is below last week’s level. The next buy signal will emerge once the buy-spread (green graph) moves above the zero line.

 

 

The 3-mo Hi-Lo Index of the S&P500 signaled an exit from the stock  markets on 12/17/2015 as the 40-day moving average (MA₄₀) moved  below the 5% threshold. The  MA₄₀ continues to decline.

 

 

The MAC-AU model generated a sell signal end of August and thus in cash. The buy-spread is lower than last week’s level. The next buy signal will emerge once the buy-spread (green graph) moves above the zero line.

This model and its application is described in MAC-Australia: A Moving Average Crossover System for Superannuation Asset Allocations.

 

Recession:

Figure 3 shows the COMP  is lower than  last week’s downward revised 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.

 

 

Figure 3.1 shows the recession indicator iM-BCIg also lower than last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is below last week’s level and far away from signalling a recession.

A description of this indicator can be found here.