Recessions: investing and detection

Viewing the system equity curve and markets in general during recessions, it is clear that returns are low or even negative during these periods.  Therefore monitoring economic expansions and contractions using proven tools can be very worthwhile.

One such tool is RecessionAlert.  The following chart and table verify the usefulness of this approach.  The market is capable of sustained falls during recessions and therefore turning points marked by breadth may not hold (see breadth page).

http://recessionalert.com/recession-forecasting-ensemble-rfe-macro-market-timing/

blog figs

Note that average annual return outside recessions is 9%.  Average return during recessions is significantly negative.

Advertisements

13 thoughts on “Recessions: investing and detection

  1. Pingback: Adding recession filter | RRSP Strategy

  2. Pingback: Effect of momentum lookback period on performance | RRSP Strategy

  3. Nice fit with the historical data… from the trade table above is it true that RecessionAlert forecast a recession on 6/13/2012 which the system followed with an exit, or is it that the table ended on that date?!

  4. Pingback: Effect of timing the ‘dips’ versus ‘always in’ | RRSP Strategy

  5. Pingback: Exploiting the low volatility anomaly | RRSP Strategy

  6. Pingback: Super high Sharpe ratio strategy | RRSP Strategy

  7. Pingback: Low beta anomaly: long history and recessions | RRSP Strategy

  8. Pingback: Buffett: low volatility anomaly master | RRSP Strategy

  9. Pingback: The momentum of beta! | RRSP Strategy

  10. Pingback: Exploring model parameters (not curve-fitting) | RRSP Strategy

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s