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Weekly Updates

September 20, 2018

 

Business Cycle Index

BCI-9-20-2018

The BCI at 250.3 is above last week’s downward revised level of 248.9, and formed a new high for this business cycle indicated by the BCIp of 100.  Also, the 6-month smoothed annualized growth BCIg at 14.6 is above last week’s 14.4.  

No recession is signaled.

 

 



September 18, 2018

Performance-wk-9-18-2018 Performance-mth-9-18-2018 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 8.9%, and for the last 12 months is 17.7%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively.. A starting capital of $100,000 at inception on 1/2/2009 would have grown to $615,420 which includes -$4,925 cash and excludes $17,694 spent on fees and slippage.
RequireSilver
iM-Combo3.R1: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 21.1%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-Combo3.R1 gained 0.50% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $172,504 which includes -$1,119 cash and excludes $4,125 spent on fees and slippage.
RequireGold
iM-Combo5: The model’s out of sample performance YTD is 11.3%, and for the last 12 months is 23.6%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-Combo5 gained 0.28% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 2/22/2016 would have grown to $142,430 which includes $509 cash and excludes $1,039 spent on fees and slippage.
RequireSilverFig-8.1.VDIGXtrade-9-18-2018
iM-Best10(VDIGX)-Trader: The model’s out of sample performance YTD is 10.2%, and for the last 12 months is 17.1%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 96.51% while the benchmark SPY gained 60.00% and VDIGX gained 53.93% over the same period. Over the previous week the market value of iM-Best10(VDIGX) gained 0.79% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $196,334 which includes $60 cash and excludes $2,382 spent on fees and slippage.
RequireGold
iM-BESTOGA-3: The model’s out of sample performance YTD is -16.6%, and for the last 12 months is -11.9%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.71% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 2/3/2014 would have grown to $192,534 which includes $785 cash and excludes $2,946 spent on fees and slippage.
RequireGold
iM-Best7(HiD-LoV): The model’s out of sample performance YTD is 6.7%, and for the last 12 months is 7.8%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-BESTOGA-3 gained 1.54% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $120,550 which includes $41 cash and excludes $2,291 spent on fees and slippage.
RequireGold
iM 6-Stock Capital Strength Portfolio: The model’s out of sample performance YTD is 9.3%, and for the last 12 months is 23.5%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM 6-Stock Capital Strength Portfolio gained 1.35% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 10/28/2016 would have grown to $164,894 which includes $984 cash and excludes $712 spent on fees and slippage.
RequireGold
iM-BestogaX5-System: The model’s out of sample performance YTD is 5.3%, and for the last 12 months is 12.0%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-BestogaX5-System gained 2.64% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 3/28/2016 would have grown to $117,443 which includes $639 cash and excludes $1,256 spent on fees and slippage.
RequireGoldFig-7.1.USMVtrade-9-18-2018
iM-Best12(USMV)-Trader: The model’s out of sample performance YTD is 17.7%, and for the last 12 months is 26.9%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Since inception, on 6/30/2014, the model gained 101.35% while the benchmark SPY gained 60.00% and the ETF USMV gained 66.73% over the same period. Over the previous week the market value of iM-Best12(USMV)-Trader gained 1.46% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2014 would have grown to $200,911 which includes -$193 cash and excludes $4,435 spent on fees and slippage.
RequireGoldFig-9.1.USMVQ1-9-18-2018
iM-Best12(USMV)Q1-Investor: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 25.1%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Since inception, on 1/5/2015, the model gained 85.72% while the benchmark SPY gained 53.75% and the ETF USMV gained 53.12% over the same period. Over the previous week the market value of iM-Best12(USMV)Q1 gained 1.62% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 1/5/2015 would have grown to $185,201 which includes $209 cash and excludes $1,252 spent on fees and slippage.
RequireGoldFig-10.1.USMVQ2-9-18-2018
iM-Best12(USMV)Q2-Investor: The model’s out of sample performance YTD is 15.0%, and for the last 12 months is 17.5%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Since inception, on 3/30/2015, the model gained 55.96% while the benchmark SPY gained 48.26% and the ETF USMV gained 47.89% over the same period. Over the previous week the market value of iM-Best12(USMV)Q2 gained 1.86% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 3/30/2015 would have grown to $155,638 which includes $169 cash and excludes $1,098 spent on fees and slippage.
RequireSilverFig-5.1.USMVQ3-9-18-2018
iM-Best12(USMV)Q3-Investor: The model’s out of sample performance YTD is 7.7%, and for the last 12 months is 13.9%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Since inception, on 7/1/2014, the model gained 91.39% while the benchmark SPY gained 60.00% and the ETF USMV gained 66.73% over the same period. Over the previous week the market value of iM-Best12(USMV)Q3 gained 0.86% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 7/1/2014 would have grown to $190,995 which includes $337 cash and excludes $1,620 spent on fees and slippage.
RequireGoldFig-6.1.USMVQ4-9-18-2018
iM-Best12(USMV)Q4-Investor: Since inception, on 9/29/2014, the model gained 98.89% while the benchmark SPY gained 57.58% and the ETF USMV gained 64.43% over the same period. Over the previous week the market value of iM-Best12(USMV)Q4 gained 1.44% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 9/29/2014 would have grown to $198,497 which includes $238 cash and excludes $1,404 spent on fees and slippage.
Fig-10.USMV-Portfolio-vs-SPY-9-18-2018
Average Performance of iM-Best12(USMV)Q1+Q2+Q3+Q4-Investor resulted in an excess return of 47.18% over SPY. (see iM-USMV Investor Portfolio)
RequireGold
iM-Best(Short): The model’s out of sample performance YTD is -5.9%, and for the last 12 months is -14.1%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of iM-Best(Short) gained 0.13% at a time when SPY gained 0.43%. Over the period 1/2/2009 to 9/17/2018 the starting capital of $100,000 would have grown to $85,795 which includes $119,500 cash and excludes $24,586 spent on fees and slippage.
RequireSilver
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 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Best2 MC-Score ETF System gained 0.68% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $116,284 which includes $52 cash and excludes $119 spent on fees and slippage.
RequireSilver
iM-Best4 MC-Score Vanguard System: The model’s out of sample performance YTD is 2.6%, and for the last 12 months is 4.8%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Best4 MC-Score Vanguard System gained 0.45% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $42,551 which includes -$66,433 cash and excludes $00 spent on fees and slippage.
RequireGold
iM-Composite (SH-RSP) Timer: The model’s out of sample performance YTD is 7.0%, and for the last 12 months is 15.5%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SH-RSP) Timer gained 0.46% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $139,059 which includes $3,223 cash and excludes $513 spent on fees and slippage.
RequireGold
iM-Composite (SPY-IEF) Timer: The model’s out of sample performance YTD is 9.2%, and for the last 12 months is 18.1%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Composite (SPY-IEF) Timer gained 0.42% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $145,592 which includes $2,658 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 31.6%, and for the last 12 months is 62.9%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-VIX Timer with ZIV gained -0.48% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $231,576 which includes $77 cash and excludes $2,429 spent on fees and slippage.
RequireGold
iM-Composite(Gold-Stocks-Bond) Timer: The model’s out of sample performance YTD is -8.1%, and for the last 12 months is -9.5%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Composite(Gold-Stocks-Bond) Timer gained 0.38% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 6/30/2016 would have grown to $118,299 which includes $9 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 -1.7%, and for the last 12 months is 0.4%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Low Turnover Composite Timer Combo gained 0.20% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 3/24/27 would have grown to $105,256 which includes $375 cash and excludes $76 spent on fees and slippage.
RequireGold
iM-Min Drawdown Combo: The model’s out of sample performance YTD is 3.4%, and for the last 12 months is 6.6%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Min Drawdown Combo gained 0.66% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 4/5/2017 would have grown to $111,458 which includes $616 cash and excludes $384 spent on fees and slippage.
RequireGold
iM-5ETF Trader (includes leveraged ETFs): The model’s out of sample performance YTD is 16.3%, and for the last 12 months is 33.7%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-5ETF Trader (includes leveraged ETFs) gained 0.11% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $189,210 which includes $1,539 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 8.1%, and for the last 12 months is 16.7%. Over the same period the benchmark SPY performance was 9.3% and 17.7% respectively. Over the previous week the market value of the iM-Standard 5ETF Trader (excludes leveraged ETFs) gained 0.43% at a time when SPY gained 0.43%. A starting capital of $100,000 at inception on 10/30/2016 would have grown to $135,829 which includes $3,101 cash and excludes $880 spent on fees and slippage.



September 14, 2018

Bond-market:

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The Yield Curve:

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Silver:

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September 14, 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.-9-14-2018The MAC-US model generated a buy-signal 4/5/2016 and thus is invested in the stock-markets. The sell-spread (red graph) is above last week’s level and has to fall below zero to signal a sell.

 

 

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Fig-2.1-9-14-2018The 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.-9-14-2018Figure 3 shows the COMP up from 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-3.1-9-14-2018Figure 3.1 shows the recession indicator iM-BCIg  also up from last week’s level. An imminent recession is not signaled .

Please also refer to the BCI page

 

 

Fig-3.2-9-14-2018The Forward Rate Ratio between the 2-year and 10-year U.S. Treasury yields (FRR2-10) is down from 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-3.3-9-14-2018The iM-Low Frequency Timer is invested in the markets.

A description of this indicator can be found here.



September 13, 2018

 

Business Cycle Index

BCI-9-13-2018

The BCI at 249.0 is above last week’s downward revised level of 248.7, and formed a new high for this business cycle indicated by the BCIp of 100. However, the 6-month smoothed annualized growth BCIg remained at 14.4 for the third consecutive week.

No recession is signaled.

 

 



Monthly Updates

September 7, 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-9-7-2018Fig 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.

 

 

 

iM-GT Timer

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Trade Weighted USD

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TIAA Real Estate Account

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