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Weekly Updates

May 24, 2019

Bond-market:

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The Yield Curve:

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Silver:

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May 24, 2019

Market Signals Summary:

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are invested in the markets. Also, the  S&P500 Coppock is in the markets since 5/9/2019. The MAC-AU  is invested in the markets. The recession indicators COMP and iM-BCIg do not signal a recession. 
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Recession:

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May 23, 2019

 

Business Cycle Index

BCI-5-23-2019
The BCI at 257.7 is below last week’s upward revised 258.8, and is below the previous high of this business cycle indicated by the BCIp of 89.8. Also, the 6-month smoothed annualized growth BCIg at 14.2 is below last week’s 14.7. However, the 6-month smoothed annualized growth BCIg at 14.2 is above last week’s 14.1.

Both BCIp and BCIg are not signaling a recession.

 

 

 



May 21, 2019

Performance-wk-5-21-2019 Performance-mth-5-21-2019 Out of sample performance summary of our models for the past 1, 2, 4 and 13 week periods. The active active return indicates how the models over- or underperformed the benchmark ETF SPY. Also the YTD, and the 1-, 3-, 5- and 10-year annualized returns are shown in the second table
iM-FlipSaver 60:40 | 20:80 – 2017: The model’s out of sample performance YTD is 6.2%, and for the last 12 months is 3.7%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.52% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $118,868 which includes $209 cash and excludes $788 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 6.3%, and for the last 12 months is 3.6%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.64% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $121,137 which includes $218 cash and excludes $909 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 6.4%, and for the last 12 months is 3.5%. Over the same period the benchmark E60B40 performance was 9.8% and 6.9% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.75% at a time when SPY gained 0.65%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $123,386 which includes $319 cash and excludes $1,024 spent on fees and slippage.
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 2.3%, and for the last 12 months is 5.6%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $615,443 which includes -$11,234 cash and excludes $22,629 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 2.0%, and for the last 12 months is -4.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.25% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $158,167 which includes -$2,546 cash and excludes $5,182 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 5.7%, and for the last 12 months is 1.2%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Combo5 gained 1.24% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $134,527 which includes $1,744 cash and excludes $0 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-5-21-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 13.5%, and for the last 12 months is 15.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 108.16% while the benchmark SPY gained 59.35% and VDIGX gained 63.95% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.32% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $208,156 which includes $544 cash and excludes $2,558 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 14.5%, and for the last 12 months is 20.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Best7(HiD-LoV) gained 0.30% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,206 which includes -$303 cash and excludes $2,975 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 8.3%, and for the last 12 months is 8.7%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.20% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $163,142 which includes $932 cash and excludes $954 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-5-21-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.7%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 6/30/2014, the model gained 101.87% while the benchmark SPY gained 59.35% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.13% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $201,867 which includes $568 cash and excludes $5,413 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-5-21-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 17.4%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 1/5/2015, the model gained 93.05% while the benchmark SPY gained 53.13% and the ETF USMV gained 61.98% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 2.67% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $193,050 which includes $405 cash and excludes $1,494 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-5-21-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 17.0%, and for the last 12 months is 15.3%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 3/30/2015, the model gained 62.47% while the benchmark SPY gained 47.66% and the ETF USMV gained 56.45% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.32% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $162,470 which includes $690 cash and excludes $1,356 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-5-21-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 15.3%, and for the last 12 months is 8.4%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Since inception, on 7/1/2014, the model gained 92.29% while the benchmark SPY gained 59.35% and the ETF USMV gained 76.38% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.94% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $192,292 which includes -$1,342 cash and excludes $1,971 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-5-21-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 102.93% while the benchmark SPY gained 56.94% and the ETF USMV gained -100.00% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.90% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $202,934 which includes -$1,089 cash and excludes $1,779 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-5-21-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 48.80% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -11.7%, and for the last 12 months is -14.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.03% at a time when SPY gained 1.10%. Over the period 1/2/2009 to 5/20/2019 the starting capital of $100,000 would have grown to $78,583 which includes $93,897 cash and excludes $25,761 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 6.1%, and for the last 12 months is 7.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.48% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,552 which includes $24 cash and excludes $669 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 8.8%, and for the last 12 months is 12.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.52% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $117,536 which includes $197 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 13.8%, and for the last 12 months is 4.1%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.65% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $136,740 which includes $5,116 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 10.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 1.10% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $150,709 which includes $499 cash and excludes $2,780 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 9.1%, and for the last 12 months is -2.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 4.69% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $197,327 which includes $1,115 cash and excludes $5,544 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 11.0%, and for the last 12 months is -4.5%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 1.41% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $121,767 which includes $258 cash and excludes $2,889 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 7.2%, and for the last 12 months is -2.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.54% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $103,284 which includes -$639 cash and excludes $813 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 8.2%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.60% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $113,479 which includes $679 cash and excludes $1,008 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 5.0%, and for the last 12 months is -14.8%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 1.46% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $145,333 which includes $285 cash and excludes $2,795 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 5.3%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 14.1% and 6.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 1.00% at a time when SPY gained 1.10%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $123,530 which includes -$316 cash and excludes $2,670 spent on fees and slippage.



May 17, 2019

Market Signals Summary:

The MAC-US model,  iM-Low Frequency Timer  

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are invested in the markets. Also, the  S&P500 Coppock is in the markets since 5/9/2019. The MAC-AU  is invested in the markets. The recession indicators COMP and iM-BCIg do not signal a recession. 
To view this premium content requires membership category: Silver or higher. However, it can be freely viewed after 06-14-2019 16:00 (New York), or please login or register
To view this premium content requires membership category: Bronze or higher. However, it can be freely viewed after 06-14-2019 16:00 (New York), or please login or register

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Fig-2.1-5-17-2019The MAC-AU model is invested in the markets after signaling a a buy on February 7, 2019. The sell-spread (red line) above last week’s value needs to move below zero to generate a sell signal.

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

 

Recession:

Fig-3.-5-17-2019Figure 3 shows the COMP below last week’s 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.

 

Fig-3.1-5-17-2019Figure 3.1 shows the recession indicator iM-BCIg above last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-5-17-2019The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is near last week’s level and is not signaling a recession.

A description of this indicator can be found here.

 

Fig-3.3-5-17-2019The iM-Low Frequency Timer is back in the markets since 1/22/2019.

A description of this indicator can be found here.



Monthly Updates

May 3, 2019

Unemployment

Fig-8.-5-3-2019The unemployment rate recession model (article link), has been updated with the Maqrch UER of 3.6%. The model does not signal a recession.

Here is the link to the full update.

 

The Dynamic Linearly Detrended Enhanced Aggregate Spread:

DAGS-5-3-2019

The updated level of this indicator, -212bps, below last months -199bps, confirms the January 20, 2017 signal. Based on past history a recession could have started as early as October 2017, but not later than January 2019. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a possible recession start for April 2019. (Note: All our other recession indicators are far from signal a recession.)

 

 

CAPE-Cycle-ID

Fig-9a-5-3-2019Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE;  the level moved from 0 to +2 end of April-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-CMA-5-3-2019The estimated forward 10‐year annualized real return are estimated at 5.9% with a 95% confidence interval : 4.5% to 7.3%, which are down 0.1% from last month.

 

 

iM-GT Timer

Fig-10-5-3-2019The iM-GT Timer, based on Google Search Trends volume switched to cash on 11/1/2018 and remains out of the market. This indicator is described here.

 

 

Trade Weighted USD

USD-5-3-2019 The Trade Weighted $ value is on a moderate rising trend.

 

 

 

TIAA Real Estate Account

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