Economic Indicators

…there is little evidence that any equity sector ETFs systematically lead or lag the overall U.S. market over the past 11.5 years.

…evidence from simple tests does not support a belief that consumer credit is a useful indicator of future stock market behavior. There is some support for a belief that bull (bear) stock markets predict future credit expansions (contractions) over many months.

The Inflation Forecast now incorporates actual total and core Consumer Price Index data for June 2010. The total (core) actual for June is  lower than (slightly lower than) forecasted. Revised actual and forecasted inflation rates will flow into Real Earnings Yield Model projections at the end of July.

…evidence from simple tests does not support a belief that M1 money stock is a reliable indicator for short-term or intermediate-term future stock market behavior.

…evidence from simple tests does not support a belief that M2 money stock is a useful indicator for short-term or intermediate-term future stock market behavior.

…evidence from simple tests on a small sample offers weak support for a belief that large (small) capitalization stocks fare better when the Federal Funds Rate target is increasing (decreasing).

…potential issues regarding sample size, data quality, data snooping bias and look-ahead bias undermine belief in this study’s conclusion that changes in the population for age nine in the U.S. accurately predict U.S. stock market returns. Also, smoothing rules applied in variable construction obscure exploitability.

…evidence from simple tests suggest that ECRI WLI movements coincide with or slightly trail stock market behavior, offering little trading intelligence over the short or intermediate terms.

…evidence from several simple tests does not support a belief that increases in interest rates reliably predict low returns for utilities based on horizons of a few weeks, months or quarters. If anything, results suggest that increases in short term rates might relate to good returns for utilities some months hence.

…evidence from simple tests does not support a belief that high-yield funds lead the broad U.S. stock market. There is some evidence of the converse.

…realistic assumptions about business cycle predictability make it unlikely that an investor can outperform the broad stock market using a conventional sector rotation strategy. A more focused, unconventional sector rotation strategy might outperform.

…evidence indicates that the net change in commercial and industrial credit standards as measured by the Federal Reserve Board’s quarterly survey of senior loan officers may be a useful predictor of U.S. stock market returns at horizons up to about a year.

…TIPS work reasonably well as an inflation hedge for long-term holders, but they are not particularly useful in measuring inflation expectations.

…evidence indicates that inflation hedges effective over the short run, such as commodities, may not work over long horizons and that tactical asset allocation following inflation surprises could enhance long-term investment returns.

…evidence from simple tests indicates that monthly ADP employment growth may be of some (non-linear) use to investors as a standalone indicator for predicting stock market behavior. However, more evidence suggests that stock returns predict changes in employment than vice versa.