Key points from the report:
Inverted three-month ( 13-week ) to 10-year yield curve has been a good predictor of recessions ( about 12 months out ).
Inversion does not always lead to weak market performance but does so on average.
- In all cases where the curve inverted on a weekly basis since 1962, average 4/8/13/26/52-week forward performance for the S&P 500 is negative.
Cyclicals and Utility tend to be weak, while Material has performed the best.
- Interestingly, Utility is current the best performer over one year, while Material is the worst. A mean reversion could be approaching.
