Weekly Updates
February 21, 2018
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-Best(SPY-SH).R1: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $574,784 which includes -$42 cash and excludes $15,368 spent on fees and slippage. | |
iM-Combo3.R1: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 21.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.99% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $160,855 which includes -$5,595 cash and excludes $3,554 spent on fees and slippage. | |
iM-Combo5: The model’s out of sample performance YTD is 3.6%, and for the last 12 months is 27.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Combo5 gained 3.30% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $132,544 which includes -$2,175 cash and excludes $661 spent on fees and slippage. | |
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 17.6%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 81.19% while the benchmark SPY gained 48.81% and VDIGX gained 40.97% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 2.50% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $176,767 which includes -$2,527 cash and excludes $1,956 spent on fees and slippage. | |
iM-BESTOGA-3: The model’s out of sample performance YTD is -3.3%, and for the last 12 months is 3.2%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.32% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,991 which includes $144 cash and excludes $2,158 spent on fees and slippage. | |
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 9.3%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.77% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $115,481 which includes $153 cash and excludes $1,627 spent on fees and slippage. | |
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 31.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 2.94% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $153,865 which includes $785 cash and excludes $630 spent on fees and slippage. | |
iM-BestogaX5-System: The model’s out of sample performance YTD is 4.7%, and for the last 12 months is 12.8%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.55% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $117,197 which includes $4,871 cash and excludes $966 spent on fees and slippage. | |
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 3.2%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 6/30/2014, the model gained 76.57% while the benchmark SPY gained 48.81% and the ETF USMV gained 51.27% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 3.91% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $176,464 which includes -$80 cash and excludes $3,904 spent on fees and slippage. | |
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.8%, and for the last 12 months is 26.3%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 1/5/2015, the model gained 70.76% while the benchmark SPY gained 43.00% and the ETF USMV gained 38.92% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.57% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,715 which includes $456 cash and excludes $986 spent on fees and slippage. | |
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 14.4%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 3/30/2015, the model gained 39.57% while the benchmark SPY gained 37.90% and the ETF USMV gained 34.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.31% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $139,571 which includes $1,062 cash and excludes $874 spent on fees and slippage. | |
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 1.0%, and for the last 12 months is 9.0%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 79.39% while the benchmark SPY gained 48.81% and the ETF USMV gained 51.27% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.86% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $179,257 which includes -$23 cash and excludes $1,316 spent on fees and slippage. | |
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 79.80% while the benchmark SPY gained 46.56% and the ETF USMV gained 49.18% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 3.11% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $179,802 which includes $692 cash and excludes $1,197 spent on fees and slippage. | |
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.27% over SPY. (see iM-USMV Investor Portfolio) | |
iM-Best(Short): The model’s out of sample performance YTD is 0.9%, and for the last 12 months is -3.9%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.00% at a time when SPY gained 2.28%. Over the period 1/2/2009 to 2/20/2018 the starting capital of $100,000 would have grown to $92,070 which includes $92,070 cash and excludes $23,663 spent on fees and slippage. | |
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -2.6%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.90% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,467 which includes $743 cash and excludes $115 spent on fees and slippage. | |
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.9%, and for the last 12 months is 2.5%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.95% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $105,410 which includes $3,320 cash and excludes $00 spent on fees and slippage. | |
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is 13.4%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.18% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,608 which includes $2,172 cash and excludes $513 spent on fees and slippage. | |
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 1.7%, and for the last 12 months is 19.1%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.26% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $135,572 which includes $1,500 cash and excludes $1,390 spent on fees and slippage. | |
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 5.9%, and for the last 12 months is 58.7%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 7.98% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $186,462 which includes -$145 cash and excludes $912 spent on fees and slippage. | |
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 2.1%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.70% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $131,399 which includes $53 cash and excludes $1,955 spent on fees and slippage. | |
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.0%, and since inception 7.1%. Over the same period the benchmark SPY performance was 1.7% and 17.8% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.94% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,135 which includes $1,612 cash and excludes $74 spent on fees and slippage. | |
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.7%, and since inception 8.7%. Over the same period the benchmark SPY performance was 1.7% and 17.3% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.46% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $108,700 which includes $1,097 cash and excludes $205 spent on fees and slippage. | |
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 2.9%, and for the last 12 months is 36.0%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 4.73% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $167,471 which includes $1,064 cash and excludes $1,030 spent on fees and slippage. | |
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 16.6%. Over the same period the benchmark SPY performance was 1.7% and 17.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.24% at a time when SPY gained 2.28%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $127,009 which includes $2,002 cash and excludes $880 spent on fees and slippage. |
February 16, 2018
Market Signals Summary:
The MAC-US model is invested.
Stock-markets:
The MAC-US model generated a buy-signal 4/5/2016 and thus is invested in the stock-markets. The sell-spread (red graph) is below last week’s level and has to fall below zero to signal a sell.
The MAC-AU model is invested in the markets after it generated a buy signal on March 21, 2016. The sell-spread is below last week’s level and has to fall below zero to signal a sell.
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 above last week’s 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 down from 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 at last week’s level and is not signaling a recession. The FRR2-10 general trend is downwards.
A description of this indicator can be found here.
February 16, 2018
Bond-market:
The Yield Curve:
Silver:
February 15, 2018
Business Cycle Index
The BCI at 235.0 is below last week’s 236.3, and it is below this business cycle’s peak as indicated by the BCIp at 75.2. Also, the 6-month smoothed annualized growth BCIg is at 15.1, which is below last week’s 16.3.
No recession is signaled.
February 13, 2018
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-Best(SPY-SH).R1: The model’s out of sample performance YTD is -0.6%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $561,949 which includes -$42 cash and excludes $15,368 spent on fees and slippage. | |
iM-Combo3.R1: The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 20.7%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.39% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $157,710 which includes -$2,740 cash and excludes $3,552 spent on fees and slippage. | |
iM-Combo5: The model’s out of sample performance YTD is 0.3%, and for the last 12 months is 25.8%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-Combo5 gained 0.45% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,312 which includes -$2,175 cash and excludes $661 spent on fees and slippage. | |
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is -0.8%, and for the last 12 months is 17.2%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Since inception, on 7/1/2014, the model gained 76.77% while the benchmark SPY gained 45.49% and VDIGX gained 39.11% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.88% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $176,767 which includes $1,751 cash and excludes $1,956 spent on fees and slippage. | |
iM-BESTOGA-3: The model’s out of sample performance YTD is -3.6%, and for the last 12 months is 5.5%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained -0.64% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,274 which includes $63,944 cash and excludes $2,076 spent on fees and slippage. | |
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 0.1%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.31% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $113,471 which includes $153 cash and excludes $1,627 spent on fees and slippage. | |
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is -1.3%, and for the last 12 months is 31.1%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 0.59% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $149,482 which includes $596 cash and excludes $630 spent on fees and slippage. | |
iM-BestogaX5-System: The model’s out of sample performance YTD is 3.1%, and for the last 12 months is 11.3%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-BestogaX5-System gained -0.43% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $115,504 which includes $4,871 cash and excludes $966 spent on fees and slippage. | |
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is -0.7%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Since inception, on 6/30/2014, the model gained 69.93% while the benchmark SPY gained 45.49% and the ETF USMV gained 48.76% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained -0.40% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $169,926 which includes -$80 cash and excludes $3,904 spent on fees and slippage. | |
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 4.2%, and for the last 12 months is 25.9%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Since inception, on 1/5/2015, the model gained 68.13% while the benchmark SPY gained 39.81% and the ETF USMV gained 36.61% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.81% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $168,092 which includes $423 cash and excludes $986 spent on fees and slippage. | |
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 13.0%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Since inception, on 3/30/2015, the model gained 36.41% while the benchmark SPY gained 34.82% and the ETF USMV gained 31.95% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained -0.24% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $136,381 which includes $1,029 cash and excludes $874 spent on fees and slippage. | |
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is -1.8%, and for the last 12 months is 7.5%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Since inception, on 7/1/2014, the model gained 74.41% while the benchmark SPY gained 45.49% and the ETF USMV gained 48.76% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained -0.83% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $174,277 which includes -$23 cash and excludes $1,316 spent on fees and slippage. | |
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 74.38% while the benchmark SPY gained 43.29% and the ETF USMV gained 46.71% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 0.22% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $174,380 which includes $692 cash and excludes $1,197 spent on fees and slippage. | |
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 41.05% over SPY. (see iM-USMV Investor Portfolio) | |
iM-Best(Short): The model’s out of sample performance YTD is 0.9%, and for the last 12 months is -3.8%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of iM-Best(Short) gained 1.68% at a time when SPY gained 0.53%. Over the period 1/2/2009 to 2/12/2018 the starting capital of $100,000 would have grown to $92,070 which includes $92,070 cash and excludes $23,663 spent on fees and slippage. | |
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -3.5%, and for the last 12 months is 8.4%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained -0.20% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,486 which includes $743 cash and excludes $115 spent on fees and slippage. | |
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -5.8%, and for the last 12 months is 2.3%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained -0.20% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $104,417 which includes $3,320 cash and excludes $00 spent on fees and slippage. | |
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is -1.7%, and for the last 12 months is 12.2%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.10% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $127,825 which includes $2,172 cash and excludes $513 spent on fees and slippage. | |
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is -0.6%, and for the last 12 months is 18.2%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.53% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,578 which includes $1,500 cash and excludes $1,390 spent on fees and slippage. | |
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is -1.9%, and for the last 12 months is 52.6%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 2.22% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $172,677 which includes -$145 cash and excludes $912 spent on fees and slippage. | |
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -1.19% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $130,484 which includes $53 cash and excludes $1,955 spent on fees and slippage. | |
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is -0.9%, and since inception 6.1%. Over the same period the benchmark SPY performance was -0.6% and 15.2% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained -0.63% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $106,141 which includes $1,612 cash and excludes $74 spent on fees and slippage. | |
iM-Min Drawdown Combo: The model’s out of sample performance YTD is -0.7%, and since inception 7.1%. Over the same period the benchmark SPY performance was -0.6% and 14.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.17% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,140 which includes $1,097 cash and excludes $205 spent on fees and slippage. | |
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is -1.8%, and for the last 12 months is 33.1%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.69% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $159,905 which includes $1,064 cash and excludes $1,030 spent on fees and slippage. | |
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is -1.1%, and for the last 12 months is 15.6%. Over the same period the benchmark SPY performance was -0.6% and 16.8% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.26% at a time when SPY gained 0.53%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $124,231 which includes $2,002 cash and excludes $880 spent on fees and slippage. |
Monthly Updates
February 2, 2018
Unemployment
The unemployment rate recession model (article link), has been updated with the January UER of 4.1%. Based on the historic patterns of the unemployment rate indicators prior to recessions one can reasonably conclude that the U.S. economy is not likely to go into recession anytime soon. The growth rate UERg is at minus 13.10% (last month 13.56%) and EMA spread of the UER is at minus 0.23% (last month minus 0.28%).Here is the link to the full update.
The Dynamic Linearly Detrended Enhanced Aggregate Spread:
The updated level of this indicator, -140bps, above last months -146bps, confirms the January 20, 2017 signal. Based on past history a recession could have started at the earliest in October 2017, but not later than May 2019. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a recession start for April 2018. (Note: All our other recession indicators are far from signal a recession.)
Coppock Indicator for the S&P500
The Coppock indicator for the S&P500 entered the market end May 2017. This model is in stocks. This indicator is described here.
CAPE-Cycle-ID
Fig 9a depicts the CAPE-Cycle-ID and the year-on-year rate-of-change of the Shiller CAPE. A model using this indicator invests in the market when the Cycle-ID is +2 or 0, and when the Cycle-ID equals -2 the model is in cash. This indicator is described here.
Trade Weighted USD
The Trade Weighted $ value is continuing to weaken.
TIAA Real Estate Account