The 3 mo Hi Lo Index of the S&P500 is near last week s level at 11.34% (last week 10.71%) and is in the market since 8/22/2017.
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- Gavin Sims
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1 JANUARY 4, 218 BUSINESS CYCLE INDEX The BCI at is above last week s downward revised 234., and it is at a new high for this business cycle as indicated by the BCIp at 1. Also, the 6 month smoothed annualized growth BCIg is at 15.9, which is above last week s downward revised No recession is signaled. JANUARY 5, 218 MARKET SIGNALS SUMMARY: The MAC US model is invested. Also, the 3 mo Hi Lo Index of the S&P5 generated a buy signal on 1/3/217 and is invested in the markets. The monthly updated S&P5 Coppock indicator is also invested. The MAC AU is also invested. The recession indicators COMP and im BCIg do not signal a recession. The bond market model avoids high beta (long) bonds, and the yield curve is flattening. Both the gold and silver Coppock models are invested, and the im Gold Timer is in gold since 7/1/217. STOCK MARKETS: The MAC US model generated a buy signal 4/5/216 and thus is invested in the stock markets. The sellspread (red graph) is above last week s level and has to fall below zero to signal a sell. The 3 mo Hi Lo Index of the S&P5 is near last week s level at 11.34% (last week 1.71%) and is in the market since 8/22/217. The MAC AU model is invested in the markets after it generated a buy signal on March 21, 216. The sell spread is above 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 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. Figure 3.1 shows the recession indicator im BCIg is up 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 1 year U.S. Treasury yields (FRR2 1) is below last week s level and not signaling a recession. The FRR2 1 is trending downwards.
2 BOND MARKET: The BVR model avoids high beta bonds (long bonds) and also intermediate duration bonds. The Bond Value Ratio is shown in Fig 4. The BVR is above last week s level. According to the model, only when BVR turns upward after having been lower than the lower offset line should one consider long bonds again. THE YIELD CURVE: The yield curve model indicates the trend of the 1 year and 2 year Treasuries yield spread. Figure 5 charts (i1 i2) shows that the yield curve s trend is flattening. A buy FLAT signal was generated on 2/8/217. FLAT and STPP are ETNs; STPP profits from a steepening yield curve and FLAT increases in value when the yield curve flattens. This model confirms the direction of the BVR. GOLD: The modified Coppock Gold indicator shown in Fig 6. This model generated a new buy signal end November 217 and is invested in gold. The im GOLD TIMER Rev 1 is invested in gold since 7/1/217. SILVER: The modified Coppock Silver indicator shown in Fig 7. This model generated a new buy signal late November 216 and is invested in silver. MONTHLY UPDATES (Next Update February 2, 218) JANUARY 5, 218 UNEMPLOYMENT The unemployment rate recession model (article link), has been updated with the November 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 13.97% (last month 13.56%) and EMA spread of the UER is at minus.26% (last month minus.28%). THE DYNAMIC LINEARLY DETRENDED ENHANCED AGGREGATE SPREAD: The updated level of this indicator, 146bps (last months 133bps), confirms the January 2, 217 signal. Based on past history a recession could have started at the earliest in October 217, but not later than May 219. The average lead time to previous recessions provided by DAGS was 15 months which would indicate a recession start for April 218. (Note: All our other recession indicators are far from signal a recession.)
3 COPPOCK INDICATOR FOR THE S&P5 The Coppock indicator for the S&P5 entered the market end May 217. 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, and when the Cycle ID equals 2 the model is in cash. TRADE WEIGHTED USD The Trade Weighted $ value is seemingly weakening. TIAA REAL ESTATE ACCOUNT The 1 year rolling return for the end of last month is 4.64%. A sell signal is not imminent.
4 im's Business Cycle Index (BCI) Date BCIp BCI BCIg 12/ / / / / BCIp, BCI and BCIg updated to January 4, 218 On past performance, BCIp = 1 can be interpreted as an average one year "time live" to a recession BCIp /1/ 1/1/1 1/1/2 1/1/3 1/1/4 1/1/5 1/1/6 1/1/7 1/1/8 1/1/9 1/1/1 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15 BCI : the Business Cycle Index 1/1/16 and S&P5/1 1/1/17 1/1/18 On past performance, when BCIp moved from above to below 25 a recession followed, on average, 2 weeks later 5 day average of S&P 5 BCI BCIg On past performance, when BCIg moved from above to below zero a recession followed, on average, 11 weeks later
5 Please note: Past performance does not guarantee future returns, investments may increase or decrease in value and you may lose money using this model. Figure 2: Buy and Sell signals for S&P from the modified golden-cross MAC-System 28 recession S&P5 updated to 1/4/ buy signal sell signal buy-spread= 34d EMA - 2d EMA*1.1 sell-spread= 4d MA - 2d MA zero last buy spread= last sell spread= /1/1 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/19 S&P 5 Spread 2-MAC rev
6 Fig 2.1: Buy and Sell signals for the Australia All Ordinaries Index from the MAC-AU System Please note: Past performance does not guarantee future returns, investments may increase or decrease in value and you may lose money using this model. updated to Jan-5-18 last sell spread= Sell Spread Buy Spread 48 Australia All Ordinairies Index /1/9 1/1/1 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/19 Australia All Ordinaries Index Spread 2.1-MAC Australia
7 Fig mo Hi-Lo Index of the S&P5 & 4-day SMA of Index 2,7 updated to 1/4/218 last SMA:4= 11.34% 6 2,6 5 2,5 4 2,4 3 S&P 5 2,3 2,2 2,1 2, 1,9 1,8 1, mo Hi-Lo Index & SMA:4 % 1,6 1,5 1,4 1,3 S&P 5 Value SMA:4 Trigger= /1/12 1/1/13 1/1/14 1/1/15 1/1/16 Sell 4/21/215 Buy 11/23/215 1/1/17 1/1/18 Sell 12/17/215 Buy 3/23/216 Sell 9/27/216 Buy 12/14/216 Sell 5/12/217 Buy 5/14/217 Sell 8/22/217 Buy 1/3/217
8 8 Fig. 3: COMP Leading Indicator of US Economy COMP level on 12/15/17 = COMP level on 12/22/17 = 27. COMP level on 12/29/17 = COMP level on 1/5/18 = recession COMP last COMP level recession trigger Note: Some of the levels of COMP may differ from previous releases due to revisions of COMP's components. 6 4 current level of COMP= COMP recession trigger line 3-COMP
9 5 4 Fig 3.1: im-bcig level on 12/15/17 = level on 12/22/17 = level on 12/29/17 = level on 1/5/18 = recession im-bcig end level recession trigger 3 2 current level im-bcig 219 recession trigger BCIg has exceeded the current level 17.69% of the time from 1969 to BCIg Toni
10 Figure 3.2: Forward Rate Ratio FRR2-1 - leads to Recessions 1 1 S&P5 (left axis, log scale) 1 1 FRR2-1 is the ratio of the rate at which one can lock in borrowing for the eight year period starting two years from now, and the ten-year rate itself. The FRR2-1 is indicative of the slope of the yield curve between the two-year and the ten-year note yields; a FRR2-1 greater than 1. indicates a positively sloped yield curve (ten-year note yields are higher than two-year a FRR2-1 less than 1. indicates an inversion of the yield curve (two-year note yields are higher than ten-year note yields). The last seven recessions were all preceded by a FRR2-1 less than 1. updated to 1/4/218 EMA of FRR2-1 = Jan-68 Jan-7 Jan-72 Jan-74 Jan-76 Jan-78 Jan-8 Jan-82 Jan-84 Jan-86 Jan-88 Jan-9 Jan-92 Jan-94 Jan-96 Jan-98 Jan- Jan-2 Jan-4 Jan-6 Jan-8 Jan-1 Jan-12 Jan-14 Jan-16 Jan-18 Jan-2 smoothed Forward Rate Ratio 2- S&P5 FRR2-1 (right axis, normal scale) im-fig FRR2-1 Page 1
11 Note: Past performance does not guarantee future returns, investments may increase or decrease in value and you may lose money using this model. Figure 4: Bond Value Ratio (BVR) from 25 to upper offset limit +.1 lower offset limit -.1 Model updated to: 1/4/218 BVR = 6.67 Limit lines recalibrated on 2/1/215 upper switch point: sell high beta bond fund, buy low beta bond fund BVR at all-time high 6. upper offset limit line /1/5 1/1/6 1/1/7 1/1/8 1/1/9 1/1/1 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/19 BVR BVR best-fit line Aug-1986 to Jan-215 R-squared =.992 BVR lower switch point: sell low beta bond fund, buy high beta bond fund lower offset limit line 4-BVR recalibrated fig4bvr6-14
12 Note: Past performance does not guarantee future returns, investments may increase or decrease in value and you may lose money using this model. Figure 5: i1 - i2 Updated to..1/4/18 3. buy FLAT buy FLAT buy STPP 2.5 buy STPP i1-i2 EMA (i1-i2) buy FLAT (i1 - i2) the difference btw. 1 - & 2 yr T-note yields has a negative slope, meaning (i1 - i2) is becoming smaller /1/1 1/1/11 i1 - i2 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/19 (i1 - i2) has a positive slope, meaning (i1 - i2) is becoming bigger. 5-Yield Curve 9-15
13 2 19 Figure 6: Modified Coppock Indicator for Gold updated to 1/5/218 period in gold buy signals yoy RRC% stdev gold price 12 coppock indicator line= Gold Price $/oz Last Buy Signal 11/24/217 $ Coppock indicator 6-COPPOCK GOLD for updates
14 Fig. 6.1a im GOLD-TIMER - Rev 1 Updated to: 1/4/ LONDON GOLD (PM FIX) Previous Sell Signal: 6/26/217 Last Buy Signal: 7/1/217 Invested Gold London PM Return
15 Figure 7: Modified Coppock Indicator for Silver updated to 1/5/218 period in silver buy signals yoy RRC% stdev 2 silver price coppock indicator 16 line= Silver Price $/oz Last Buy Signal Coppock indicator $17.155
16 Fig-8 Unemployment Rate and Recessions (real-time) Leads to recession starts and to recession ends are positive numbers in weeks, lags are negative numbers. updated to with December UER= 4.1% 14 Recession 8 Unemployment Rate (UER) % Recession Signal UER shortema UER longema UERg 19-wk rate of change UER Lead to rec. start - weeks Lead to rec. end - weeks UER shortema is below UER longema, no recession is signaled. Spread= -.26% UER's 19wk rate of change = -6.7% /1/ 1/1/1 1/1/2 1/1/3 1/1/4 1/1/5 1/1/6 1/1/7 1/1/8 1/1/9 Growth of UER (UERg) & 19-wk rate of change UER 1/1/1 1/1/11 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/ UERg= % 1/5/218
17 S&P updated to 1/4/218 Fig-9 Modified Coppock Indicator for S&P New buy signal May Coppock indicator period in S&P5 buy signals yoy RRC% stdev S&P5 coppock indicator line= Sell signal April-2-17
18 Fig. 9a CAPE Cycle ID and the YoY ROC from 199 Shiller CAPE= S&P 5 1/1/199 1/1/1991 1/1/1992 1/1/1993 1/1/1994 1/1/1995 1/1/1996 1/1/1997 1/1/1998 1/1/1999 1/1/2 1/1/21 1/1/22 1/1/23 1/1/24 1/1/25 1/1/26 1/1/27 1/1/28 1/1/29 1/1/21 1/1/211 1/1/212 1/1/213 1/1/214 1/1/215 1/1/216 1/1/217 1/1/218 1/1/219 YoY ROC +2 CAPE Cycle ID = +2 CAPE Cycle ID = +2 if YoY ROC slope is +ve if YoY ROC slope is ve CAPE Cycle ID = if YoY ROC slope is +ve 2 if YoY ROC slope is ve updated to 12/31/ Cycle ID 2 S&P 5 YoY ROC year over year rate of change of the CAPE NBER Recessions
19 TIAA Real Estate & VGSIX normalized to 1 (1/1/2) /1/ 1/1/1 1/1/2 TIAA Real Estate Account vs. Vanguard REIT Index Fund (VGSIX) updated to 12/29/17, TIAAreal current 1-year rolling return= 4.43% Recession TIAA Real Estate norm. Value - timed Vang REIT Index Fund VGSIX norm. Sell TIAA Real Estate Buy TIAA Real Estate 1-yr Rolling Return TIAA Real Estate 1-yr Rolling Return TIAA Real Estate 1/1/3 1/1/4 Sell TIAA Real Estate 1/1/5 1/1/6 1/1/7 TIMING RULES: TIIAreal is sold when the 1-year rolling return falls below % and replaced with CREFbond. CREFbond is sold and TIAAreal is bought again when the 1-year rolling return rises above %. 1/1/8 1/1/9 1/1/1 1/1/11 Buy TIAA Real Estate 1/1/12 1/1/13 1/1/14 current TIAAreal-timed= current TIAAreal= /1/15 REIT VGSIX norm. TIAA Real Estate timed TIAA Real Estate norm. 1/1/16 1/1/17 1/1/ yr Rolling Return TIAA Real Estate %
20 12 recession DAGS recession trigger line last level of DAGS Long Leading Recession Indicator DAGS: shifted forward in time by 4 weeks dynamic linearly detrended aggregate spread a long leading recession indicator/ possible recession signaled near/after October 217 updated on Jan 5 218, last level of DAGS = 146 bps im-dags.xlsm
21 Updated to Dec 28, 217 Trade Weighted US Dollar and Interest Rates LOG(Trade Weighted S&P5) relative scale 14 Trade Weighted U.S. Dollar Index: Major Currencies Periods with Increasig Interest Rates NBER Recessions (Grey) Trade Weighted U.S. Dollar Index: Major Currencies (4 wk average) and (6 mo average) 7 Effective Federal Funds Rate (3mo average) 6 1/1/99 1/1/1 1/1/3 1/1/5 1/1/7 1/1/9 1/1/11 1/1/13 1/1/15 1/1/17 1/
The 3 mo Hi Lo Index of the S&P500 is below last week s level at 16.20% (last week 17.52%) and is in the market since8/22/2017.
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