Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for November 2021 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for November 2021 (Final)
1st ETF 2nd ETF 3rd ETF

Weekly Economic Index and Asset Returns

November 11, 2021 • Posted in Economic Indicators

The Weekly Economic Index (WEI) is a composite of weekly year-over-year percentage changes in 10 economic indicators: Redbook same-store sales; Rasmussen Consumer Index; new claims for unemployment insurance; continued claims for unemployment insurance; adjusted income/employment tax withholdings; railroad traffic originated; the American Staffing Association Staffing Index; steel production; wholesale sales of gasoline, diesel and jet fuel; and, weekly average US electricity load. Does WEI usefully predict U.S. stock market and government bond returns? To investigate, we relate WEI to performance data for SPDR S&P 500 (SPY)¬†as a proxy for the stock market and iShares Barclays 20+ Year Treasury Bond (TLT) as a proxy for government bonds. Since WEI measurements are through Saturdays, we align its values with SPY and TLT prices at the first daily close of the following week. Using weekly data as described during January 2008 (limited by WEI) through October 2021, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?