musings · the debt-to-gdp ratio in developing economies remains less than half the level in...
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Musings
September 8th, 2015
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Where are we Today ?
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Current Shiller PE Ratio: 24.36, Sep 4th, 2015
Mean: 16.62
Median: 16.01
Min: 4.78 (Dec 1920)
Max: 44.19 (Dec 1999)
Price earnings ratio is based on average inflation-adjusted earnings from the previous 10 years, known as the Cyclically Adjusted PE Ratio (CAPE Ratio), Shiller PE Ratio, or PE 10
Source: http://www.multpl.com/
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Current S&P 500 Price to Sales Ratio: 1.66, Sep 4th 2015
Mean: 1.40
Median: 1.43
Min: 0.80 (Mar 2009)
Max: 1.79 (May 2015)
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An Old Friend: The Stock Market’s Shiller P/E Ratio, Cliff S. Asness
Results For S&P 500 From Different Starting Shiller P/Es 1926‐2012
Starting P/E Avg. Real Worst Real Best Real Standard
Low High 10 YR Return 10 YR Return 10 Year Return Deviation
5.2 9.6 10.30% 4.80% 17.50% 2.50%
9.6 10.8 10.40% 3.80% 17.00% 3.50%
10.8 11.9 10.40% 2.80% 15.10% 3.30%
11.9 13.8 9.10% 1.20% 14.30% 3.80%
13.8 15.7 8.00% -0.90% 15.10% 4.60%
15.7 17.3 5.60% -2.30% 15.10% 5.00%
17.3 18.9 5.30% -3.90% 13.80% 5.10%
18.9 21.1 3.90% -3.20% 9.90% 3.90%
21.1 25.1 0.90% -4.40% 8.30% 3.80%
25.1 46.1 0.50% -6.10% 6.30% 3.60%
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Tobin's Q is at a current level of 1.061, a decrease of 0.0076 or 0.71% from last quarter. This is a decrease of 0.008 or 0.75% from last year and is higher than the long term average of 0.7445.
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http://advisorperspectives.com/dshort/updates/Regression-to-Trend.php
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Interest Rates
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Exhibit 6 The debt-to-GDP ratio in developing economies remains less than half the level in advanced economies
73
129
82
43
86
77
113
54 54
108
114
165
77
74
67
69 31 213
139
92
89
80 188
221
Australia
Debt-to-GDP ratio, 2Q141 Household Non-financial corporate % Advanced economies Developing economies Japan 65 101 234 400 Hungary 29 114
76
115
65
127
68
83
183
1
Germany
233
Italy
United States
United Kingdom
231
Spain
Denmark
Sweden
325 Netherlands
317 Greece
Government
38 125
76 65 46 38 73
36 86
91
22 47
19 47
16 40
83
55 222
55 217
67 178
35 104
38 104
Russia 9
Romania
187
225
Turkey
65
Chile 15 136
Israel
Ireland 85 189 115 390 Malaysia
Singapore 76 201 105 382 China
Belgium 56 136 135 327 Thailand
South Korea 81 105 44
Canada 92 60 70 Indonesia 20 46 22 88
Mexico 22 44
73 7
32 60
42 2
313 Poland 35 42 57 134
302 South Africa 39 49 45 133
90 Czech Republic 33 49 47 128
259 Brazil 25 38 65 128
252 India 9 45 66 120
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Misc Slides
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Source(s): Strategas, TIS Group.
6
Said Too Many Paper Barrels of Oil?; WTI Support $44?
Potential Issue? Recent Large Buyer of June Puts at $20…
Bounced Right off $44 on 1/28 and Again on 3/17
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Figure 1. World liquids relative surplus or deficit (production minus consumption) and WTI crude oil price adjusted using the consumer price index (CPI) to real February 2015 U.S. dollars, 2003-2015. Source: EIA, U.S. Bureau of Labor Statistics, and Labyrinth Consulting Services, Inc.
Source(s): DavidStockmansContraCorner.com.
13
No Clear Relationship Between Surplus/Deficit & Oil Price
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Source(s): Morgan Stanley.
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Every Marginal Barrel of Oil Requires Higher Prices
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Source(s): Zerohedge.
72
Shale States Had No Recession, Rest of U.S. Still Down
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Proprietary information – not for distribution. Copyright © 2015 by GMO LLC. All rights reserved. 7yrForecasts
Source: GMO *The chart represents real return forecasts for several asset classes and not for any GMO fund or strategy. These forecasts are forward-looking statements based upon the reasonable beliefs of GMO and are not a guarantee of future performance. Forward-looking statements speak only as of the date they are made, and GMO assumes no duty to and does not undertake to update forward-looking statements. Forward-looking statements are subject to numerous assumptions, risks, and uncertainties, which change over time. Actual results may differ materially from those anticipated in forward- looking statements. U.S. inflation is assumed to mean revert to long-term inflation of 2.2% over 15 years.
7-Year Asset Class Real Return Forecasts*
As of January 31, 2015
6.5% Long‐term Historical U.S. Equity Return
STOCKS BONDS OTHER
-1.4%
-2.6%
0.9% 0.8% 0.8%
3.4%
-1.5%
-3.7%
2.9%
-0.9%
0% -0.2%
5.4%
-6%
-4%
-2%
2%
4%
6%
8%
U.S. Large
U.S. Small
U.S. High Quality
Intl Large
Intl Small
Emerging U.S. Bonds
Intl Bonds
Hedged
Emerging Debt
Inflation Linked Bonds
Cash Timber
Annu
al R
eal R
etur
n O
ver 7
Ye
ars
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General This is neither an offer to sell nor a solicitation of an offer to buy interests in any investment fund. This document is for informational purposes only and should not be distributed. This material has been prepared by Lanyon Advisory Services for private clients. The views expressed are those of Lanyon Advisory Services only and are subject to change. This information should not be construed as investment advice; it is presented for information purposes only.
No Warranty Lanyon Advisory Services, LLC does not warrant the accuracy, adequacy, completeness, timeliness or availability of any information. Risk Summary Investment objectives are not projections of expected performance or guarantees of anticipated investment results. Actual performance and results may vary substantially from the stated objectives with respect to risks. Investments are speculative and are meant for sophisticated investors. An investor may lose all or a substantial part of its investments. Are Not FDIC Insured Are Not Bank Guaranteed May Lose Value