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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1 FEBRUARY 1, 218 BUSINESS CYCLE INDEX The BCI at is above last week s downward revised 238.5, 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 17.8, which is above last week s downward revised No recession is signaled. FEBRUARY 2, 218 MARKET SIGNALS SUMMARY: TThe 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 s flattening trend seems to be broken. 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 below last week s level at 16.2% (last week 17.52%) and is in the market since8/22/217. 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 above 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 also 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 at 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 below 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 flattening trend seems to be broken. 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 March 9, 218) JFEBRUARY 2, 218 UNEMPLOYMENT The unemployment rate recession model, 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 13.1% (last month 13.56%) and EMA spread of the UER is at minus.23% (last month minus.28%). THE DYNAMIC LINEARLY DETRENDED ENHANCED AGGREGATE SPREAD: The updated level of this indicator, 14bps, above last months 146bps, 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

3 would indicate a recession start for April 218. (Note: All our other recession indicators are far from signal a recession.) 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 continuing to weaken. TIAA REAL ESTATE ACCOUNT The 1 year rolling return for the end of last month is 4.4%. A sell signal is not imminent.

4 1/1/ 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 1/1/16 1/1/17 1/1/18 1/1/19 BCIg : the growth of BCI and 6 is added to it BCI : the Business Cycle Index and S&P5/1 BCIp : The BCI in off-peak-mode im's Business Cycle Index (BCI) Date BCIp BCI BCIg 1/ / / / / BCIp, BCI and BCIg updated to February 1, 218 On past performance, BCIp = 1 can be interpreted as an average one year "time-tolive" to a recession BCIp 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 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 S&P 5 Spread 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 3 29 recession S&P5 buy signal updated to 2/1/ sell signal buy-spread= 34d EMA - 2d EMA*1.1 sell-spread= 4d MA - 2d MA zero last buy spread= 27.8 last sell spread= MAC rev xlsm

6 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 Australia All Ordinairies Index Spread 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 Feb-2-18 last sell spread= Sell Spread Buy Spread Australia All Ordinaries Index MAC Australia.xlsm

7 1/1/12 1/1/13 1/1/14 1/1/15 1/1/16 1/1/17 1/1/18 1/1/19 Sell 4/21/215 Buy 11/23/215 Sell 12/17/215 Buy 3/23/216 Buy 12/14/216 Buy 5/14/217 Sell 8/22/217 Buy 1/3/217 S&P 5 3-mo Hi-Lo Index & SMA:4 % Fig mo Hi-Lo Index of the S&P5 & 4-day SMA of Index 2,9 updated to 2/1/218 last SMA:4= 16.2% 8 2,8 7 2,7 6 2,6 5 2,5 4 2,4 3 2,3 2 2,2 2,1 2, 1,9 1, ,7 1,6 1,5 1,4 1,3 S&P 5 Value SMA:4 Trigger= 5. Sell 9/27/216 Sell 5/12/

8 COMP 8 Fig. 3: COMP Leading Indicator of US Economy COMP level on 1/12/18 = 3.45 COMP level on 1/19/18 = 31. COMP level on 1/26/18 = COMP level on 2/2/18 = 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= recession trigger line COMP.xlsm

9 im-bcig 5 4 Fig 3.1: im-bcig level on 1/12/18 = level on 1/19/18 = 17.3 level on 1/26/18 = level on 2/2/18 = recession im-bcig end level recession trigger 3 2 current level recession trigger -2 BCIg has exceeded the current level 14.2% of the time from 1969 to present. -3 BCIg Toni.xlsm

10 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 S&P5 (left axis, log scale) FRR2-1 (right axis, normal scale) Figure 3.2: Forward Rate Ratio FRR2-1 - leads to Recessions 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 note yields); 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 2/1/218 EMA of FRR2-1 = S&P5 1.4 smoothed Forward Rate Ratio im-fig FRR2-1.xlsm Page 1

11 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 1/1/16 1/1/17 1/1/18 1/1/19 BVR 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: 2/1/218 BVR = 6.14 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 5.8 BVR best-fit line Aug-1986 to Jan-215 R-squared =.992 BVR 5.6 lower switch point: sell low beta bond fund, buy high beta bond fund 5.4 lower offset limit line BVR recalibrated.xlsm fig4bvr6-14

12 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 i1 - i2 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..2/1/ buy FLAT buy STPP i1-i2 EMA (i1-i2) buy FLAT buy STPP buy FLAT (i1 - i2) the difference btw. 1 - & 2 yr T-note yields has a negative slope, meaning (i1 - i2) is becoming smaller. 1. (i1 - i2) has a positive slope, meaning (i1 - i2) is becoming bigger Yield Curve.xlsm 9-15

13 Gold Price $/oz Coppock indicator 2 19 Figure 6: Modified Coppock Indicator for Gold updated to 2/2/218 period in gold buy signals yoy RRC% stdev gold price 12 coppock indicator line= Last Buy Signal 11/24/ $ COPPOCK GOLD for updates.xlsm

14 Last Buy Signal: 7/1/217 Previous Sell Signal: 6/26/217 LONDON GOLD (PM FIX) Growth of $1 invested 1/2/1999 in Gold as per im Gold-Timer Fig. 6.1a im GOLD-TIMER - Rev 1 Updated to: 2/1/ , Invested Gold London PM Return

15 Silver Price $/oz Coppock indicator Figure 7: Modified Coppock Indicator for Silver updated to 2/2/218 period in silver buy signals yoy RRC% stdev 2 silver price coppock indicator 16 line= Last Buy Signal $

16 1/1/ 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 1/1/16 1/1/17 1/1/18 1/1/19 Unemployment Rate (UER) % Growth of UER (UERg) & 19-wk rate of change UER 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 Recession Recession Signal updated to with January UER= 4.1% UER shortema UER longema UERg 19-wk rate of change UER UER shortema is below UER longema, no recession is signaled. Spread= -.23% Lead to rec. start - weeks Lead to rec. end - weeks 3 8 UER's 19wk rate of change = -3.% UERg= -13.1% /2/218

17 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 Feb 2 218, last level of DAGS = 14 bps im-dags.xlsm

18 S&P5 Coppock indicator updated to 2/1/218 Fig-9 Modified Coppock Indicator for S&P New buy signal May period in S&P5 buy signals yoy RRC% stdev S&P5 coppock indicator line= Sell signal April

19 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 1/31/218 Spread btw 5 mo and 25 mo Moving Avg of S&P real= +177, Cycle ID 2 S&P 5 YoY ROC year over year rate of change of the CAPE NBER Recessions

20 Trade Weighted U.S. Dollar Index: Major Currencies Effective Federal Funds Rate % Periods with Increasig Interest Rates NBER Recessions (Grey) Updated to Jan 25, 218 Trade Weighted US Dollar and Interest Rates LOG(Trade Weighted S&P5) relative scale Trade Weighted U.S. Dollar Index: Major Currencies (4 wk average) and (6 mo average) Effective Federal Funds Rate (3mo average) 5 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

21 TIAA Real Estate & VGSIX normalized to 1 (1/1/2) 1/1/ 1/1/2 1/1/4 1/1/6 1/1/8 1/1/1 1/1/12 1/1/14 1/1/16 1/1/18 1/1/2 1-yr Rolling Return TIAA Real Estate % TIAA Real Estate Account vs. Vanguard REIT Index Fund (VGSIX) updated to 1/31/18, TIAAreal current 1-year rolling return= 4.4% 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 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 %. current TIAAreal-timed= current TIAAreal= REIT VGSIX norm. TIAA Real Estate timed yr Rolling Return TIAA Real Estate TIAA Real Estate norm Sell TIAA Real Estate Buy TIAA Real Estate