Risk Picture

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AAA - BAA Corporate Spread

Emerging Market Option Adjusted Spread

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High Yield Bond Spread

VIX

Stocks I

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S&P 500

Long Term S&P 500 Earnings Growth

  Fibonacci % S&P Level
1           0    3577.0
2          20    3825.9
3          40    3979.9
4          50    4104.3
5          60    4228.8
6         100    4631.6

The Yield Curve Bear Market Predictor relies on the fact that historically bear markets have been associated with relatively flat yield curves between the 1 year Treasury and the 10 year Treasury.

The LEAP payout shows the payout to a 10% out of the money long term put if the market were to fall by 40%. High indicated payouts occur when volatility is low, hence puts are inexpensive to purchase. Buying puts when payouts where high beginning in 1995 and 2005 would have been advantageous given the ’99 and ’08 market sell-offs.

See embedded link for more on the Equity Risk Premium.

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Yield Curve Model: Sell equities when 7 month stats::lagged vert line less than horz line

LEAP Payout to 40% Drop In The Market

Equity Risk Premium

Stocks II

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S&P 500 vs. Predicted on Earnings, Inflation and Real Rate

S&P 500 and Earnings

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S&P 500 Drawdowns > 9%

From	Trough	To	Depth	Length	To Trough	Recovery
1929-09-17	1932-06-01	1954-09-22	-0.8619	6249	678	5571
2007-10-10	2009-03-09	2013-03-28	-0.5678	1376	355	1021
2000-03-27	2002-10-09	2007-05-30	-0.4915	1803	637	1166
1973-01-12	1974-10-03	1980-07-17	-0.4820	1898	436	1462
1968-12-02	1970-05-26	1972-03-06	-0.3606	820	369	451
2020-02-20	2020-03-23	2020-08-18	-0.3392	126	23	103
1987-08-26	1987-12-04	1989-07-26	-0.3351	485	71	414
1961-12-13	1962-06-26	1963-09-03	-0.2797	434	135	299
1980-12-01	1982-08-12	1982-11-03	-0.2711	488	430	58
2022-01-04	2022-10-12	NA	-0.2543	290	195	NA
1966-02-10	1966-10-07	1967-05-04	-0.2218	310	167	143
1956-08-06	1957-10-22	1958-09-24	-0.2147	539	306	233
1990-07-17	1990-10-11	1991-02-13	-0.1992	148	62	86
2018-09-21	2018-12-24	2019-04-23	-0.1978	146	65	81
1998-07-20	1998-08-31	1998-11-23	-0.1934	90	31	59
1983-10-11	1984-07-24	1985-01-21	-0.1438	324	199	125
2015-05-22	2016-02-11	2016-07-11	-0.1416	286	183	103
1959-08-04	1960-10-25	1961-01-27	-0.1402	375	311	64
1999-07-19	1999-10-15	1999-11-16	-0.1208	86	64	22
1997-10-08	1997-10-27	1997-12-05	-0.1080	42	14	28
1955-09-26	1955-10-11	1955-11-14	-0.1059	35	12	23
1928-05-15	1928-06-12	1928-08-28	-0.1027	74	20	54
1989-10-10	1990-01-30	1990-05-29	-0.1023	160	78	82
2018-01-29	2018-02-08	2018-08-24	-0.1016	146	9	137
1967-09-26	1968-03-05	1968-04-29	-0.1011	147	110	37
1956-03-21	1956-05-28	1956-07-16	-0.0976	81	48	33
1997-02-19	1997-04-11	1997-05-05	-0.0963	53	37	16
1965-05-14	1965-06-28	1965-09-27	-0.0960	94	31	63
2020-09-03	2020-09-23	2020-11-13	-0.0960	51	14	37
2007-07-20	2007-08-15	2007-10-05	-0.0943	55	19	36
1986-09-05	1986-09-29	1986-12-02	-0.0942	62	17	45
2000-01-03	2000-02-25	2000-03-21	-0.0925	55	38	17

Small Cap

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Russell 2000

Russell 2000 Value

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Russell 2000 Value vs SP500

Russell 2000 Value vs Russell 2000

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Fibonacci

  Fibonacci % R2000 Level
1           0      1649.8
2          20      1763.9
3          40      1834.4
4          50      1891.5
5          60      1948.5
6         100      2133.1

  Fibonacci % R2000V Level
1           0       1934.4
2          20       2065.6
3          40       2146.7
4          50       2212.2
5          60       2277.8
6         100       2490.1

Drawdowns R2000V (top) & R 2000

         From     Trough         To   Depth Length To Trough Recovery
1  2007-07-16 2009-03-09 2011-04-27 -0.5989    955       416      539
2  2000-03-10 2002-10-09 2004-04-05 -0.4604   1022       648      374
3  2018-09-04 2020-03-18 2020-11-13 -0.4306    555       387      168
4  1987-10-06 1987-10-28 1989-06-02 -0.3852    420        17      403
5  1998-04-22 1998-10-08 1999-12-29 -0.3686    427       119      308
6  1989-10-10 1990-10-30 1991-10-16 -0.3427    511       268      243
7  2021-11-09 2022-06-16       <NA> -0.3246    328       152       NA
8  2011-05-02 2011-10-03 2013-01-02 -0.2956    421       108      313
9  2015-06-24 2016-02-11 2016-11-14 -0.2640    353       161      192
10 1996-05-23 1996-07-24 1997-01-09 -0.1559    160        43      117
11 2004-04-06 2004-08-12 2004-11-09 -0.1472    151        89       62
12 2006-05-08 2006-07-21 2006-11-14 -0.1406    134        53       81
13 1994-03-21 1994-12-09 1995-05-16 -0.1325    292       184      108
14 2014-03-05 2014-10-13 2014-12-26 -0.1318    207       155       52
15 1992-02-13 1992-07-08 1992-11-30 -0.1261    202       101      101

         From     Trough         To   Depth Length To Trough Recovery
1  2007-06-05 2009-03-09 2013-05-07 -0.6324   1492       444     1048
2  2018-08-23 2020-03-23 2021-01-06 -0.4791    595       395      200
3  2021-11-09 2022-09-30       <NA> -0.2682    328       225       NA
4  2015-06-24 2016-02-11 2016-09-07 -0.2364    305       161      144
5  2002-11-29 2003-03-12 2003-05-06 -0.1470    108        70       38
6  2014-07-07 2014-10-13 2015-03-20 -0.1293    179        70      109
7  2021-06-09 2021-07-19 2021-11-03 -0.1211    104        28       76
8  2006-05-09 2006-06-13 2006-10-13 -0.1195    111        25       86
9  2004-04-06 2004-05-17 2004-10-01 -0.1143    124        29       95
10 2002-10-02 2002-10-09 2002-11-01 -0.1142     23         6       17
11 2004-12-29 2005-04-28 2005-06-16 -0.1064    118        84       34
12 2005-08-03 2005-10-12 2006-01-09 -0.1019    110        50       60
13 2021-03-15 2021-03-24 2021-06-01 -0.0979     55         8       47
14 2018-01-24 2018-02-08 2018-05-21 -0.0952     82        12       70
15 2007-02-23 2007-03-05 2007-04-25 -0.0811     43         7       36

Risk Picture

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AAA - BAA Corporate Spread

Emerging Market Option Adjusted Spread

Row

High Yield Bond Spread

VIX

Stocks I

Row

S&P 500

Long Term S&P 500 Earnings Growth

Inputs

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Yield Curve Model: Sell equities when 7 month stats::lagged vert line less than horz line

LEAP Payout to 40% Drop In The Market

Equity Risk Premium

Stocks II

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S&P 500 vs. Predicted on Earnings, Inflation and Real Rate

S&P 500 and Earnings

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S&P 500 Drawdowns > 9%

Small Cap

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Russell 2000

Russell 2000 Value

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Russell 2000 Value vs SP500

Russell 2000 Value vs Russell 2000

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Fibonacci

Drawdowns R2000V (top) & R 2000

Bonds

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10 Year Treasury vs Predicted From Nominal GDP, Credit Spread, Money Velocity

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CPI YOY (All Items) And Real Rate (10 year - CPI)

Dollar

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Swiss Francs to Dollar

Euro to Dollar

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Trade Weighted Dollar

Economy

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Personal Consumption Growth

Personal Income Growth

Consumer Debt Growth

Total Net Worth Growth

Inputs

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“Duncan Indicator” To Predict Recession

10 Year Annualized Nominal GDP Growth

Secular Trends

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Population Growth

Social Transfer Payments as Percent of GDP

Federal Debt As Percent Of GDP

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Productivity Growth YOY (20 quarter mean)

Federal And State Expenditures As Percent Of GDP

Federal Tax Receipts As Percent Of GDP

Asset Class Returns

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