A reliable source for recession forecasting is the unemployment rate, which can provide signals for the beginnings and ends of recessions. The unemployment rate model (article link), updated with the September figure of 5.9%, does not signal a recession now.
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The Unemployment Rate is Not Signaling a Recession: Update October 3, 2014
Posted in UER
The Unemployment Rate: A Coincident Recession Indicator
For what is considered to be a lagging indicator of the economy, the unemployment rate provides surprisingly good signals for the beginnings and ends of recessions. We have developed a model that uses unemployment figures to produce these signals and to determine the probability of when a recession may start. We conclude, based on the historic evidence of our unemployment-derived indicators, that there will be no recession in the near future.
Minimum Volatility Stocks: iM’s Best12(USMV)-Trader
Since end of June 2014 we provided updates of our Best12(USMV) at iM, a tax efficient model which holds positions normally for at least one year. Concurrently we were testing the Best12(USMV)-Trader model. The only difference between the two models is that the Trader is not restricted to hold stocks for a 1-year minimum period and has an additional sell rule based on rank. We backtested the Trader for various periods and found its returns to be to be marginally higher than that of the tax efficient Best12(USMV) model. However, returns were more consistent.
Minimum Volatility Stocks: Out-Of-Sample Performance of iM-Best12(USMV)
Three months ago we introduced the iM-Best12(USMV) model, which still holds the then twelve best ranked stocks selected from the holdings of USMV, the iShares MSCI USA Minimum Volatility ETF. So far this portfolio has gained 8.2%, while USMV is up a mere 2.2%, confirming the results of the backtest performed over a relative short period. The out-of-sample test will be expanded by the launch of the second of three sister models quarterly displaced, the Best12(USMV)-Oct-2014, which again will consist of the 12 highest ranked stocks of the then point-in-time holdings of USMV.
Vanguard Funds With Dynamic Asset Allocation: Which is the Asset Allocation “that’s right for your situation”?
Performance and risk measures are given for six iM(MAC-Vang) models with various asset allocations which use a combination of Vanguard bond- and stock-funds, and switch assets according to stock-market climate.
Vanguard’s Actively Managed Funds With Dynamic Asset Allocation: The Best Bet For High Returns
In continuation of our previous article “How Good are Vanguard’s LifeStrategy Funds? Much Better Returns From Vanguard Funds with iM’s (MAC-Vang)20/80” we show that exceptionally high returns can be obtained from Vanguard funds, when a dynamic asset allocation strategy is employed, and actively managed funds instead of index funds are used. Using a combination of bond-, stock-, and sector-funds in the model, and switching asset allocation according to stock-market climate, provided an annualized average return of over 15% for the backtest period Jan-2000 to Jul-2014.
How Good are Vanguard’s LifeStrategy Funds? Much Better Returns From Vanguard Funds with iM’s (MAC-Vang)20/80
“Studies have shown that your asset allocation has a bigger impact on your long-term returns than any specific fund you pick. So why not pick a Vanguard LifeStrategy Fund that has asset allocation built in?” This is the opening statement on a Vanguard web-page, which also lists other potential benefits of investing in such a fund. The historic performance of the LifeStrategy Moderate Growth Fund was analyzed from Jan-2000 onward, and it is very clear from the analysis that this was a high risk investment with low returns. An alternative investment model with Vanguard funds is proposed which would have produced much higher returns with less risk.
iM’s Improved Floor-Leverage Rule with Put Option Insurance: A Low-Risk Investment Strategy with a 5.7% Safe Withdrawal Rate
iM’s Improved Floor-Leverage Rule, a low-risk investment strategy for retirement with a high 5.7% withdrawal rate, uses market timing to avoid large losses of the Surplus Portfolio, and additionally uses a strategy to guard the Surplus Portfolio against black swan events, e.g. the 1987 stock market crash, by buying put options.
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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