Aggregated U.S. Equity Futures Positions vs. ISM Manufacturing The correlation between aggregated U.S. equity futures positions and ISM manufacturing remains quite strong. Image: Deutsche Bank Asset Allocation
ISM Manufacturing Index vs. S&P 500 Index This chart shows the correlation between the ISM manufacturing index and the S&P 500 index year-over-year percent change, since 2011. U.S. ISM Manufacturing Index increased to 61.2% in May. Click the Image to Enlarge
Average Return Following a Peak in ISM Manufacturing After a peak in ISM manufacturing, the forward return on the S&P 500 tends to be negative on average over the next 3 months. Image: Goldman Sachs Global Investment Research
ISM Manufacturing Index and ISM Prices Paid Index (Leading Indicator) The ISM Prices Paid Index tends to lead the ISM Manufacturing Index by 12 months, suggesting a mid-cycle shift this year. Image: Morgan Stanley Research
ISM Manufacturing Index and SOX Philadelphia Semiconductor Index There is a quite good correlation between the ISM Manufacturing Index and the performance of the SOX Philadelphia Semiconductor Index. Image: BofA Global Investment Strategy
ISM Manufacturing New Orders and U.S. 10-Year Bond Yield ISM Manufacturing New Orders would imply much higher bond yields. Image: Credit Suisse Research
ISM Manufacturing vs. S&P 500 Performance More than 90% of the gains in the S&P500 Index have occurred when the ISM Manufacturing Index rises. Image: Alpine Macro
CTAs’ Net Position in S&P 500 Futures vs. the ISM PMI CTAs remain net buyers of S&P 500 futures. Image: Nomura
Median Forward S&P 500 Return Based on ISM Manufacturing Index at Time of Investment When the ISM is above 60, like today, the median forward return on the S&P 500 tends to be negative over the next 3 months. Image: Goldman Sachs Global Investment Research
ISM Manufacturing Index vs. Discretionary Investors Positioning The correlation between discretionary investor equity positioning and ISM manufacturing is quite strong.