Economic Indicators

…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.

…evidence from simple tests indicates that quarterly change in productivity is of no use to investors as a standalone indicator for predicting stock market behavior.

…evidence from simple tests indicates that the Distress Index is of no use to investors for predicting stock market behavior.

…evidence from several simple tests does not support a belief in any relationship between U.S. stock market returns and the U.S. personal saving rate that is meaningful for investors.

…allocating funds to stocks and Treasuries according to the relationships between their past returns and these three off-the-beaten-path macroeconomic indicators may produce market-beating results.

…evidence form simple tests on a fairly small sample does not convincingly support the belief that investors can exploit the difference in responses to variations in the dollar-euro exchange rate between large and small capitalization U.S. stocks.

…evidence from simple tests does not support a belief that changes in the dollar-euro exchange rate alone are useful in predicting short-term or intermediate-term U.S. stocks market returns.

…while there is a possibility that high values of the “Anxious Index” from the Survey of Professional Forecasters indicate stock market weakness the next quarter, this indicator does not convincingly relate to future U.S. stock market behavior.

Researchers have frequently investigated the yield curve (term spread) as a stock market return indicator, sometimes using it a benchmark for testing the ability of other macroeconomic indicators to predict stock returns. See…

…evidence from simple tests offers weak support (subject to great variability) to a belief that big federal deficits are good for stock returns for the same fiscal year and the next fiscal year.

You could connect the level of the stock market to Gross Domestic Product (GDP) growth with the following two assumptions…

…evidence indicates that employment growth relates negatively to future stock market behavior, most strongly at a one-year forecast horizon.