• Sat. Dec 7th, 2024

iM’s Business Cycle Index Signals A Looming Recession

Byadmin

Dec 30, 2022
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gguy44

In 2013, we developed our Business Cycle Index from the following basic economic data:

  1. 10-year treasury yield (daily)
  2. 3-month treasury bill yield (daily)
  3. S&P500 (daily)
  4. Continues Claims Seasonally Adjusted (weekly)
  5. All Employees: Total Private Industries (monthly)
  6. New houses for
iM Business Cycle Index

iMarketSignals

iM Business Cycle Index

iMarketSignals

Table 1: Loss avoidance in SPY when exiting on BCIg recession warning.

Note

1

2

3

4

5

6

7

8

Recession

Peak

Signal

Trough

(P-T)/P

(S-T)/S

(P-T)

(S-T)

(S-T)/(P-T)

Jan-70

106.16

93.24

69.29

36.1%

25.7%

36.87

23.95

65.0%

Dec-73

120.24

103.36

62.28

48.2%

39.7%

57.96

41.08

70.9%

Feb-80

115.2

100.3

98.22

17.1%

2.1%

16.98

2.08

12.2%

Aug-81

140.52

128.64

102.42

27.1%

20.5%

38.1

26.22

68.8%

Aug-90

368.95

332.92

295.46

19.9%

11.3%

73.49

37.46

51.0%

Apr-01

1520.77

1326.82

965.8

36.8%

27.2%

554.97

361.02

65.1%

Jan-08

1565.15

1508.44

676.53

56.8%

55.2%

888.62

831.91

93.6%

Average all recessions

34.6%

25.9%

60.9%

Column Notes:

  1. S&P 500 peak during 1-yr period before recession
  2. S&P 500 at iM-BClg signal date
  3. S&P 500 trough during recession
  4. %-Loss from Peak to Trough
  5. %-Loss avoided from Signal to Trough
  6. Absolute loss from Peak to Trough
  7. Absolute loss from Signal to Trough avoided
  8. % of loss from Peak to Trough avoided

iM Business Cycle Index

iMarketSignals

iM Business Cycle Index

iMarketSignals

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Image and article originally from seekingalpha.com. Read the original article here.