March 22, 2013
Macro-Markets Risk Index | Update | 3.22.2013
Business cycle risk remains low, according to the implied estimate of economic conditions based on an index of four key markets. The Capital Spectator's Macro-Markets Risk Index (MMRI) closed yesterday (March 21) at 12.8%--well above the danger zone of 0% and within the 10%-to-15% range that's prevailed so far this year. When MMRI falls under 0%, recession risk is elevated. Readings above 0% equate with economic growth.
MMRI represents a subset of the market indicators in the Economic Trend & Momentum indices, a pair benchmarks that track the economy's broad trend for signs of major turning points in the business cycle. Tracking the markets-based subset of indicators offers a real-time, market-based evaluation of macro conditions. By contrast, conventional economic data series are published with a time lag. MMRI is intended as a supplement for developing some perspective on the current month's economic trend until the formal updates are published.
MMRI is a daily average of four indicators, calculated as follows:
• US stocks (S&P 500), 250-day % change
• Credit spread (BofA Merrill Lynch US High Yield Master II Option-Adjusted Spread), inverted 250-day % change
• Treasury yield curve (10-yr Treasury yield less 3-month T-bill yield), daily, no transformation
• Oil prices (iPath S&P GSCI Crude Oil Total Return Index ETN (OIL)), inverted 250-day % change
For additional information on MMRI, see this post that introduced the index. Meanwhile, Here's how MMRI compares on a daily basis since August 2007:
Here's how MMRI stacks up so far this year, through March 21:
Posted by jp at March 22, 2013 9:25 AM