Monthly Archives: February 2012

Handicapping Payroll Growth

Just the facts: Correlation of 4-wk claims average to payrolls: -0.53 Correlation of 4-wk claims average to payrolls when claims are < 385k: -0.14 Correlation of 4-wk claims average to payrolls when claims are > 385k: -0.57 This set of … Continue reading

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Cycle Charts: Payrolls, Claims and Equities

We’ve found that comparing apples to apples — that is, the same points in time relative to the beginning of a recovery or recession — is a useful technique for giving context to the present. These types of charts are … Continue reading

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Clefs & Accidentals: Upward volatility, tech bubbles and global LEIs

A reminder that upward volatility is volatility, too: Although the VIX generally doesn’t treat as obviously as such, recall that the VIX increased rather substantially from 1996 through the top in 2000. From 1990-1996, the VIX averaged 13.6.  From 1996-2001, … Continue reading

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Clefs & Accidentals: Wages, EMH, and more Wages

It’s been a pretty quiet year so far for Macrofugue.  The market and data have validated many of our views. A little on investment philosophy…. We tend to start with a 60/40 portfolio as a foundation for this reason: At … Continue reading

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