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Weekly Updates

January 18, 2019

Market Signals Summary:

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Stock-markets:

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Recession:

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January 18, 2019

Bond-market:

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The Yield Curve:

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Silver:

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January 17, 2019

 

Business Cycle Index

BCI-1-17-2019

The BCI at 243.8 is above last week’s 242.2, and remains below this business cycle’s peak as indicated by the BCIp at 56.3. However, the 6-month smoothed annualized growth BCIg at 5.0 is below last week’s 5.3. Both BCIp and BCIg are not signaling a recession.

 

 



January 15, 2019

Performance-wk-1-15-2019 Performance-mth-1-15-2019 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 0.6%, and for the last 12 months is -3.0%. Over the same period the benchmark SPY performance was 1.8% and -2.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.29% at a time when SPY gained 0.68%. A starting capital of $100,000 at inception on 7/16/2015 would have grown to $112,578 which includes $412 cash and excludes $497 spent on fees and slippage.
iM-FlipSaver 70:30 | 20:80 – 2017: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is -3.3%. Over the same period the benchmark SPY performance was 1.8% and -2.8% respectively. Over the previous week the market value of iM-FlipSaver 70:30 | 20:80 gained 0.27% at a time when SPY gained 0.68%. A starting capital of $100,000 at inception on 7/15/2015 would have grown to $114,555 which includes $375 cash and excludes $563 spent on fees and slippage.
iM-FlipSaver 80:20 | 20:80 – 2017: The model’s out of sample performance YTD is 0.5%, and for the last 12 months is -3.5%. Over the same period the benchmark SPY performance was 1.8% and -2.8% respectively. Over the previous week the market value of iM-FlipSaver 80:20 | 20:80 gained 0.26% at a time when SPY gained 0.68%. A starting capital of $100,000 at inception on 1/2/2017 would have grown to $116,525 which includes $465 cash and excludes $629 spent on fees and slippage.
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 3.0%, and for the last 12 months is 5.3%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $619,243 which includes $3,543 cash and excludes $20,123 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 1.1%, and for the last 12 months is -6.0%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.59% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $156,713 which includes $54,428 cash and excludes $4,602 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 1.2%, and for the last 12 months is -5.5%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of iM-Combo5 gained 0.58% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,803 which includes $28,570 cash and excludes $1,326 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-1-15-2019
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is -0.3%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Since inception, on 7/1/2014, the model gained 86.77% while the benchmark SPY gained 43.81% and VDIGX gained 43.45% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.37% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $186,768 which includes $55 cash and excludes $2,421 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 3.4%, and for the last 12 months is -2.7%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 2.04% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,976 which includes $645 cash and excludes $2,681 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 0.2%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.68% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $154,274 which includes $2,018 cash and excludes $790 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-1-15-2019
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is -0.4%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Since inception, on 6/30/2014, the model gained 75.51% while the benchmark SPY gained 43.81% and the ETF USMV gained 55.97% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.84% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $175,510 which includes $206 cash and excludes $4,973 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-1-15-2019
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is -1.2%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Since inception, on 1/5/2015, the model gained 65.80% while the benchmark SPY gained 38.20% and the ETF USMV gained 43.24% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 0.96% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $165,804 which includes $753 cash and excludes $1,416 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-1-15-2019
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 2.4%, and for the last 12 months is 2.4%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Since inception, on 3/30/2015, the model gained 42.32% while the benchmark SPY gained 33.26% and the ETF USMV gained 38.34% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.74% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $142,320 which includes $6,853 cash and excludes $1,288 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-1-15-2019
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 2.5%, and for the last 12 months is -5.3%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Since inception, on 7/1/2014, the model gained 70.89% while the benchmark SPY gained 43.81% and the ETF USMV gained 55.97% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 1.62% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $170,893 which includes $310 cash and excludes $1,863 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-1-15-2019
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 79.51% while the benchmark SPY gained 41.64% and the ETF USMV gained 53.82% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.55% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $179,509 which includes -$1,776 cash and excludes $1,696 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-1-15-2019
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 42.52% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -6.8%, and for the last 12 months is -8.9%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of iM-Best(Short) gained -2.25% at a time when SPY gained 1.19%. Over the period 1/2/2009 to 1/14/2019 the starting capital of $100,000 would have grown to $82,957 which includes $82,957 cash and excludes $25,204 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is -3.6%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.45% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,848 which includes -$218 cash and excludes $446 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 1.6%, and for the last 12 months is 0.6%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.21% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,820 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 4.3%, and for the last 12 months is -7.1%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 1.86% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $125,243 which includes $4,511 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is -0.1%, and for the last 12 months is 1.7%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.00% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $141,118 which includes -$55 cash and excludes $1,920 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 3.9%, and for the last 12 months is -1.7%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 0.00% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $187,826 which includes $3,551 cash and excludes $4,760 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -0.1%, and for the last 12 months is -17.2%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained -0.26% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $109,558 which includes -$760 cash and excludes $2,428 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 1.4%, and for the last 12 months is -10.5%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.18% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $97,660 which includes $291 cash and excludes $407 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is -5.2%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.04% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $104,666 which includes $3,402 cash and excludes $722 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 0.3%, and for the last 12 months is -21.0%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.25% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $138,842 which includes -$61 cash and excludes $1,500 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 0.9%, and for the last 12 months is -9.3%. Over the same period the benchmark SPY performance was 3.0% and -5.6% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.47% at a time when SPY gained 1.19%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $118,301 which includes $2 cash and excludes $1,414 spent on fees and slippage.



January 11, 2019

Market Signals Summary:

The MAC-US model is in cash after signaling a sell on 11/26/2018.

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The MAC-AU has signaled a sell on 11/20/2018. The recession indicators COMP and iM-BCIg do not signal a recession.

 

Stock-markets:

Fig-2.-1-11-2019The MAC-US model  is in cash after it generated a sell signal on November 26, 2018. The buy-spread (green graph) is below last week’s level needs to rise above zero to signal a buy.

 

 

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Fig-2.1-1-11-2019The MAC-AU model is in cash after it generated a sell signal on November 20, 2018. The buy-spread (green graph) is above last week’s level needs to rise above zero to signal a buy.

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

 

Recession:

Fig-3.-1-11-2019Figure 3 shows the COMP down from 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-3.1-1-11-2019Figure 3.1 shows the recession indicator iM-BCIg below last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-1-11-2019The 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.

 

Fig-3.3-1-11-2019The iM-Low Frequency Timer is invested in the markets.

A description of this indicator can be found here.



Monthly Updates

January 4, 2019

Unemployment

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The Dynamic Linearly Detrended Enhanced Aggregate Spread:

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Coppock Indicator for the S&P500

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CAPE-Cycle-ID

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Fig-9a.-1-4-2019Fig 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.

 

 

 

iM-GT Timer

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Trade Weighted USD

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TIAA Real Estate Account

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