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Weekly Updates

April 19, 2018

 

Business Cycle Index

BCI-4-19-2018

The BCI at 238.4 is below last week’s downward revised 237.8, and it is below this business cycle’s peak as indicated by the BCIp at 86.8. However, the 6-month smoothed annualized growth BCIg is at 12.6, which is below last week’s 13.1.

No recession is signaled.

 

 



April 17, 2018

Performance-wk-4-17-2018 Performance-mth-4-17-2018 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
RequireSilver
iM-Best(SPY-SH).R1: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $566,160 which includes $222 cash and excludes $15,369 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 1.8%, and for the last 12 months is 23.9%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-Combo3.R1 gained 1.79% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $160,602 which includes -$592 cash and excludes $3,670 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 0.9%, and for the last 12 months is 25.8%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-Combo5 gained 1.51% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $128,919 which includes -$775 cash and excludes $767 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-4-17-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is -1.3%, and for the last 12 months is 17.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Since inception, on 7/1/2014, the model gained 75.90% while the benchmark SPY gained 47.16% and VDIGX gained 41.70% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 1.71% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $175,654 which includes $56 cash and excludes $2,068 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is -3.7%, and for the last 12 months is 3.6%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 0.64% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $223,194 which includes -$270 cash and excludes $2,324 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is -0.2%, and for the last 12 months is 5.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.02% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $112,952 which includes $1,023 cash and excludes $1,780 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 1.3%, and for the last 12 months is 29.6%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.34% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $153,486 which includes $1,732 cash and excludes $630 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 7.6%, and for the last 12 months is 17.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-BestogaX5-System gained 1.75% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $120,551 which includes $324 cash and excludes $1,023 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-4-17-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 19.3%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Since inception, on 6/30/2014, the model gained 75.55% while the benchmark SPY gained 47.16% and the ETF USMV gained 52.34% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 2.97% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $175,274 which includes $125 cash and excludes $4,220 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-4-17-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 5.6%, and for the last 12 months is 26.8%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Since inception, on 1/5/2015, the model gained 70.51% while the benchmark SPY gained 41.42% and the ETF USMV gained 39.90% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 3.00% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $170,355 which includes $199 cash and excludes $1,146 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-4-17-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 16.4%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Since inception, on 3/30/2015, the model gained 40.29% while the benchmark SPY gained 36.38% and the ETF USMV gained 35.13% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 2.40% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $140,212 which includes -$9 cash and excludes $937 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-4-17-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is -0.1%, and for the last 12 months is 10.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Since inception, on 7/1/2014, the model gained 77.41% while the benchmark SPY gained 47.16% and the ETF USMV gained 52.34% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 2.91% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $177,190 which includes $46 cash and excludes $1,450 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-4-17-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 80.98% while the benchmark SPY gained 44.94% and the ETF USMV gained 50.24% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.93% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $180,909 which includes -$52 cash and excludes $1,278 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-4-17-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 43.18% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -1.5%, and for the last 12 months is -7.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of iM-Best(Short) gained -4.03% at a time when SPY gained 2.43%. Over the period 1/2/2009 to 4/16/2018 the starting capital of $100,000 would have grown to $89,847 which includes $107,510 cash and excludes $23,997 spent on fees and slippage.
RequireSilver
iM-Best2 MC-Score ETF System: The model’s out of sample performance YTD is -3.0%, and for the last 12 months is 6.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 1.59% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $108,961 which includes $1,285 cash and excludes $115 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is -4.1%, and for the last 12 months is 1.9%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 1.01% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $106,283 which includes $3,960 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 0.0%, and for the last 12 months is 14.1%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 2.26% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $129,986 which includes $2,714 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 0.6%, and for the last 12 months is 17.6%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 2.39% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $133,561 which includes $1,500 cash and excludes $1,390 spent on fees and slippage.
RequireGold
iM-VIX Timer with ZIV: The model’s out of sample performance YTD is 1.9%, and for the last 12 months is 51.0%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained 6.26% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $179,295 which includes $3,285 cash and excludes $1,630 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is 3.3%, and for the last 12 months is 9.9%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.67% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $132,945 which includes $53 cash and excludes $1,955 spent on fees and slippage.
RequireGold
iM-Low Turnover Composite Timer Combo: The model’s out of sample performance YTD is 0.8%, and for the last 12 months is 7.7%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.96% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $107,991 which includes $1,867 cash and excludes $74 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 0.2%, and for the last 12 months is 8.6%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 1.28% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $107,997 which includes $743 cash and excludes $244 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 1.1%, and for the last 12 months is 34.2%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 5.00% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $164,572 which includes $1,298 cash and excludes $1,030 spent on fees and slippage.
RequireGold
iM-Standard 5ETF Trader (excludes leveraged ETFs): The model’s out of sample performance YTD is 0.4%, and for the last 12 months is 16.2%. Over the same period the benchmark SPY performance was 0.6% and 17.2% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 2.37% at a time when SPY gained 2.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $126,077 which includes $2,419 cash and excludes $880 spent on fees and slippage.



April 13, 2018

Market Signals Summary:          

The MAC-US model is invested. 

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The MAC-AU is also invested.  The recession indicators COMP and iM-BCIg do not signal a recession. 

 

Stock-markets:

Fig-2.-4-13-2018The 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.

 

 

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Fig-2.1-4-13-2018The 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:

Fig-3.-4-13-2018Figure 3 shows the COMP  below 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.

 

 

Fig-3.1-4-13-2018Figure 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

 

 

Fig-3.2-4-13-2018The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is below 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.



April 13, 2018

Bond-market:

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The Yield Curve:

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Silver:

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April 12, 2018

 

Business Cycle Index

BCI-4-12-2018

The BCI at 237.9 is below last week’s downward revised 238.1, and it is below this business cycle’s peak as indicated by the BCIp at 83.7.  However, the 6-month smoothed annualized growth BCIg is at 13.1, which is below last week’s downward revised 13.6

No recession is signaled.

 

 



Monthly Updates

April 6, 2018

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-4-6-2018Fig 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

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TIAA Real Estate Account

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