This index is one of the most interesting indices that you can come across, and it has some pretty smart math behind it. About 3-4 years or so ago, I checked it out and I can but imagine that it has gotten even better.
Kamakura Corporation announced today that its monthly index of troubled public companies showed the greatest one month increase since September 2001. The percent of public companies classified as troubled jumped 2.4% in November to 10.4% of the public company universe. In September 2001, the index had leaped 3.0% to reach its all-time high of 28.0% of the public company universe. The index is now a full 5.0% higher than its all time low 5.4%, a level reached in April and May, 2006. Current credit conditions are still better than 63.3% of the monthly periods since the start of the index in January, 1990. This is down sharply, however, from a 95.2% rank in July. The average value of the index has been 13.4% over the last 18 years. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index now covers more than 20,000 public companies in 29 countries using the fourth generation version of Kamakura's advanced credit models.
So read and worry!
All this to be taken with a grain of piquant salt!!!