Cass Freight Index a Stock Market Return Predictor?

The monthly Cass Freight Index is a "measure of North American freight volumes [shipments] and expenditures... Data within the Index includes all domestic freight modes and is derived from $28 billion in freight transactions processed by Cass annually on behalf of its client base of hundreds of large shippers. These companies represent a broad sampling of industries including consumer packaged goods, food, automotive, chemical, OEM, retail and heavy equipment... The diversity of shippers and aggregate volume provide a statistically valid representation of North American shipping activity. ...Volumes represent the month in which transactions are processed by Cass, not necessarily the month when the corresponding shipments took place. The January 1990 base point is 1.00. ...Each month's volumes are adjusted to provide an average 21-day work month. Adjustments also are made to compensate for business additions/deletions to the volume figures." Cass typically publishes the index level for a month about the middle of the following month. Does freight data usefully anticipate economic trend and thereby U.S. stock market returns? To investigate, we relate level of shipments and changes in shipments and expenditures to SPDR S&P 500 (SPY) returns. Using monthly Cass Freight Index levels and monthly dividend-adjusted SPY returns as available during January 1993 (limited by inception of SPY) through October 2021, we find that: