- by New Deal democrat
I haven't updated the Shadow Weekly Leading Index in a few weeks, but during that time ECRI's WLI has generally continued positive, and its yearly Growth index is within shouting distance of turning positive.
To recap, the Shadow Weekly Leading Index is an unweighted version of the presumed components of the ECRI weekly leading index. Research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. Based on weeks 1 through 5, it appears that ECRI gives extra weight to commodity prices and secondarily to credit spreads. Here are the presumed components of the WLI as they fared last week:
The JoC ECRI Index rose from 127.52 to 128.12 +0.5%
Credit spreads* declined from 3.14 to 3.11 -0.1%
MBA Purchase Mortgage Applications rose 2.1% on a seasonally adjusted basis
Wbaa bond yields* fell from 5.15 to 5.08 -1.4%
The S&P 500 rose +0.3% last week.
Initial Jobless Claims +3.0%
Real M2
Every single one of the above is a positive for the index.
So far, this week the unweighted average change is +0.9%. Barring a very, very bad number in either weekly jobless claims or money supply, it appears that there is going to be a solid advance in ECRI's WLI when it is reported tomorrow - especially if commodity prices and credit spreads are the most heavily weighted components.
Others have calculated that the WLI growth index appears to be a function of comparing the last 4 weeks' average with the 52 week average. Since the last 4 weeks have featured continued advances in the weekly index, and the 52 week average is a decline, this suggests another strong advance in the growth index, moving it substantially closer to positive territory.
We'll see tomorrow.
Showing posts with label Shadow Weekly Leading Index. Show all posts
Showing posts with label Shadow Weekly Leading Index. Show all posts
Thursday, March 8, 2012
Thursday, February 16, 2012
Beta testing the Shadow Weekly Leading Index (week 6)
- by New Deal democrat
The Shadow Weekly Leading Index is an unweighted version of the presumed components of the ECRI weekly leading index. Based on weeks 1 through 5, it appears that ECRI gives extra weight to commodity prices and secondarily to credit spreads. Week 6 brings us a test of that weighting, because both had good positive moves last week, but were offset by other elements of the index.
To refresh, research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. At least six of the seven are public record, and several of the six have alternative possibilities.
Here are the presumed components of the WLI, with several possible alternative measures:
The JoC ECRI Index rose from 124.41 to 126.20 +1.4%
FRB H8 real estate loans were up +1.1% to 3517.0
Alternatively, MBA Purchase Mortgage Applications down -8.4%
The S&P 500 fell -0.2% last week.
Wbaa bond yields* rose from 5.13 to 5.17 +0.1%
Alternately, the DJ Bond Avg increased +0.50 from 116.37 to 116.87 +0.4%
Credit spreads* declined from 3.25 to 3.18 -2.2%
Alternatively, Real M2 dencreased -0.1%
Initial jobless claims* declined from 358k to 348k -0.3%
[*Note: these are inverse relationships, so the higher the number, the lower the growth score]
This week the unweighted average change is -0.6%, using purchase mortgage applications and BAA bonds (but would not materially change if we used the DJB Index). This decline is almost entirely due to the decline in purchase mortgage applications. Using the FRB real estate loan update, the weekly unweighted change is +0.6% (although ECRI has given prior interviews indicating they have been using the PMA). If the WLI increases, that probably means that the PMA are underweighted relative to credit spreads and/or commodity prices.
Others have calculated that the WLI growth index appears to be a function of comparing the last 4 weeks' average with the 52 week average. On an unweighted basis, there should be a decline in the growth index as well. An increase in that average will likewise tell us that PMA's are relatively underweighted.
We'll see tomorrow.
The Shadow Weekly Leading Index is an unweighted version of the presumed components of the ECRI weekly leading index. Based on weeks 1 through 5, it appears that ECRI gives extra weight to commodity prices and secondarily to credit spreads. Week 6 brings us a test of that weighting, because both had good positive moves last week, but were offset by other elements of the index.
To refresh, research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. At least six of the seven are public record, and several of the six have alternative possibilities.
Here are the presumed components of the WLI, with several possible alternative measures:
The JoC ECRI Index rose from 124.41 to 126.20 +1.4%
FRB H8 real estate loans were up +1.1% to 3517.0
Alternatively, MBA Purchase Mortgage Applications down -8.4%
The S&P 500 fell -0.2% last week.
Wbaa bond yields* rose from 5.13 to 5.17 +0.1%
Alternately, the DJ Bond Avg increased +0.50 from 116.37 to 116.87 +0.4%
Credit spreads* declined from 3.25 to 3.18 -2.2%
Alternatively, Real M2 dencreased -0.1%
Initial jobless claims* declined from 358k to 348k -0.3%
[*Note: these are inverse relationships, so the higher the number, the lower the growth score]
This week the unweighted average change is -0.6%, using purchase mortgage applications and BAA bonds (but would not materially change if we used the DJB Index). This decline is almost entirely due to the decline in purchase mortgage applications. Using the FRB real estate loan update, the weekly unweighted change is +0.6% (although ECRI has given prior interviews indicating they have been using the PMA). If the WLI increases, that probably means that the PMA are underweighted relative to credit spreads and/or commodity prices.
Others have calculated that the WLI growth index appears to be a function of comparing the last 4 weeks' average with the 52 week average. On an unweighted basis, there should be a decline in the growth index as well. An increase in that average will likewise tell us that PMA's are relatively underweighted.
We'll see tomorrow.
Thursday, February 9, 2012
Beta testing the Shadow Weekly Leading Index (week 5)
- by New Deal democrat
As readers know, I am trying to reverse engineer the ECRI Weekly Leading Index. The Shadow Weekly Leading Index is an unweighted version of the presumed components of that index.
Research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. At least six of the seven are public record, and several of the six have alternative possibilities.
Here are the presumed components of the WLI, with several possible alternative measures:
The JoC ECRI declined from 126.84 to 124.41 -1.9%
FRB H8 real estate loans were up +1.1 to 3484.9 flat
Alternatively, MBA Purchase Mortgage Applications up +0.1%
The S&P 500 increased from 1316.33 to 1344.90 +2.2%
Wbaa bonds* declined fro 5.28 to 5.13 -2.8%
Alternately, the DJ Bond Avg increased +0.10 to 116.37 +0.1%
Credit spreads* declined from 3.28 to 3.25 -0.1%
Alternatively, Real M2 went from 9763.8 to 9768.3 flat
Initial jobless claims* declined from 367k to 358k -2.5%
[*Note: these are inverse relationships, so the higher the number, the lower the growth score]
This week there is only one negative -- the JoC ECRI index. All the other components of the index were positive. The unweighted average change is +1.0, using purchase mortgage applications and BAA bonds (but would not materially change if we used the alternate measures).
In short, this should be a good week for the WLI. Others have calculated that the WLI growth index appears to be a function of comparing the last 4 weeks' average with the 52 week average. If so, there should be a marked improvment in the growth index as well.
We'll see tomorrow.
As readers know, I am trying to reverse engineer the ECRI Weekly Leading Index. The Shadow Weekly Leading Index is an unweighted version of the presumed components of that index.
Research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. At least six of the seven are public record, and several of the six have alternative possibilities.
Here are the presumed components of the WLI, with several possible alternative measures:
The JoC ECRI declined from 126.84 to 124.41 -1.9%
FRB H8 real estate loans were up +1.1 to 3484.9 flat
Alternatively, MBA Purchase Mortgage Applications up +0.1%
The S&P 500 increased from 1316.33 to 1344.90 +2.2%
Wbaa bonds* declined fro 5.28 to 5.13 -2.8%
Alternately, the DJ Bond Avg increased +0.10 to 116.37 +0.1%
Credit spreads* declined from 3.28 to 3.25 -0.1%
Alternatively, Real M2 went from 9763.8 to 9768.3 flat
Initial jobless claims* declined from 367k to 358k -2.5%
[*Note: these are inverse relationships, so the higher the number, the lower the growth score]
This week there is only one negative -- the JoC ECRI index. All the other components of the index were positive. The unweighted average change is +1.0, using purchase mortgage applications and BAA bonds (but would not materially change if we used the alternate measures).
In short, this should be a good week for the WLI. Others have calculated that the WLI growth index appears to be a function of comparing the last 4 weeks' average with the 52 week average. If so, there should be a marked improvment in the growth index as well.
We'll see tomorrow.
Thursday, January 26, 2012
Beta testing the Shadow Weekly Leading Index (week 3)
- by New Deal democrat
As readers know, I am trying to reverse engineer the ECRI Weekly Leading Index.
Research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. Six of the seven are public record.
Since the possible early monthly reports were reported two weeks ago, they wouldn't count in any event. This week we can begin to find out if the components are weighted (almost certainly they are) and their relative weights, since several components had significant moves in opposite directions,
Here are the presumed components of the WLI, with several possible alternative measures:
JoC ECRI 122.01 123.87 +1.5%
FRB H8 real estate loans flat
Alternatively, MBA PMA -9.7%
sp 500 1289.09 to 1315.38 +2.0%
wbaa bonds* 5.21 to 5.20 0.0%
Alternately, DJ Bond Avg 115.05 114.90 -0.1%
Credit spreads* 3.26 to 3.24 -0.1%
Altrnatively, real m2 9733.8 to 9756.1 0%
Initial jobless claims* 352k to 377k +7.1%
As readers know, I am trying to reverse engineer the ECRI Weekly Leading Index.
Research has revealed that the WLI (per Lakshman Achuthan) has 7 components. We know that two are initial jobless claims and the JoC-ECRI commodity index. Six of the seven are public record.
Since the possible early monthly reports were reported two weeks ago, they wouldn't count in any event. This week we can begin to find out if the components are weighted (almost certainly they are) and their relative weights, since several components had significant moves in opposite directions,
Here are the presumed components of the WLI, with several possible alternative measures:
JoC ECRI 122.01 123.87 +1.5%
FRB H8 real estate loans flat
Alternatively, MBA PMA -9.7%
sp 500 1289.09 to 1315.38 +2.0%
wbaa bonds* 5.21 to 5.20 0.0%
Alternately, DJ Bond Avg 115.05 114.90 -0.1%
Credit spreads* 3.26 to 3.24 -0.1%
Altrnatively, real m2 9733.8 to 9756.1 0%
Initial jobless claims* 352k to 377k +7.1%
[*Note: these are inverse relationships, so the higher the number, the lower the growth score]
The unweighted average change is -2.2 if purchase mortgage applications are used, and -0.6 if the alternative real estate loans is the metric. The predicted week over week change is therefore predicted to be negative in either event. A positive result would suggest that commodity prices are weighted more heavily compared to initial claims and either real estate metric.
We'll see tomorrow.
The unweighted average change is -2.2 if purchase mortgage applications are used, and -0.6 if the alternative real estate loans is the metric. The predicted week over week change is therefore predicted to be negative in either event. A positive result would suggest that commodity prices are weighted more heavily compared to initial claims and either real estate metric.
We'll see tomorrow.
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