iM Update – March 18, 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 will generate a buy signal next week.  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. The gold and the silver model are invested.

 

Stock-markets:

The MAC-US model generated a sell-signal early January and is not invested in the stock-markets. The buy-spread is up from 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 is up from last week’s level. This indicator may generate a buy signal soon.  

 

 

The VMNFX vs. SPY Timer  signaled an exit from the stock  markets on 11/09/2015. For this model to invest in the markets the indicator has to fall below the 5% trigger line; this week it is down from last week’s level.

 

 

The MAC-AU model generated a sell signal end of August and thus in cash. The buy-spread is higher than last week’s level. Simulation show that a buy signal will be generated next week.

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 up from  last week’s downward revised level. No recession is indicated.    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 near 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 down from last week’s level and far away from signalling a recession.

A description of this indicator can be found here.