Random Tactical Asset Allocation — A Gut Check!
Recession Forecasting Ensemble (RFE) and Market Timing
Day of Month Seasonality for April
Equity Bond Exposure Management
Avoiding Trading Paralysis by Analysis
You can find some of these articles, and more, over at The Whole Street: Quants
More great links, Wood.
The Recession Alert is part of a series of excellent resources on recessions; the Bonddad blog, Bob Dieli, Advisor Perspectives, and Oldprof add to the volume of information available. The “How Much Warning” story (which I first saw on Econintersect) is well worth studying if one tends towards long term investing. The summary conclusion – even when it is obvious to everyone we are headed into a recession it’s still not too late to sell.
Thanks Bozo.
It would be interesting to see how these warnings correlate to SPY relationship with major moving averages. For example, when how long after warnings hit does it take for SPY to trade beneath the 200 day?
Interesting thought. It was pretty easy to do these plots (using the coincident indicators as described in the How Much Warning story), but I didn’t really see any pattern with the 200 DMA. I used the first day of the month after the official NBER dates, since we would need to have to real-time data available (and this would still be a bit optimistic; it’s probably the 10th day). Some were before, some after, but there were a bunch of unrelated 200 DMA crossovers mixed in just to confuse things.
However, in every case, using the coincident indicators did get you out well before the final low. But doing these plots it occurred to me we actually are cheating; we need to plot ALL instances of when coincident indicators said recession, not just those that we now know actually turned into recessions. And we still need to figure out a way to time the re-entry, which is at least as difficult, since the bottom may be pretty close time-wise to our exit.