95% Correlation with the US Stock Market and an R² of 0.90 since 1970 Our forecasting models have a fantastic 95% correlation with the US stock market on a quarterly basis since 1970 and an R² of 0.90. It means that 90 percent of the US stock market variance is predictable by the flows of data…
Truck Tonnage vs. S&P 500 Index The Truck Tonnage Index decreased by 0.1% in May. Trucks represent 72.7% of U.S. freight and serve as a barometer of the U.S. economy. This chart shows that, historically, the U.S. stock market tends to increase in line with the physical size and expansion of the U.S. economy (R²…
Cumulative Growth of Fed Balance Sheet and S&P 500 Index Cumulative Growth The expansion of the Fed’s balance sheet tends to have a positive impact on the S&P 500 Index, suggesting a correlation between the two (R² = 0.8832 since 2009). Image: Real Investment Advice
Coronavirus – Hospitalizations vs. Vaccinations The negative relationship between hospitalizations and vaccinations is significant (R² = 0.55). Image: BofA Global Research
MSCI World Value vs. Growth Relative Index and U.S. 10-Year Real Yields Value tends to outperform growth as U.S. real rates rise (R² = 0.93). Image: Morgan Stanley Research
Inflation vs. S&P 500 Trailing P/E The U.S. equity market tends to see multiple compression when inflation rises (R² = 0.54). Image: BofA US Equity & Quant Strategy
U.S. Core Inflation Expected Over the Next 21 Months (Leading Indicator) M2 velocity year-over-year tends to lead U.S. core CPI by 21 months (R² = 0.52 since 1996). It has been quite accurate for more than 20 years. Click the Image to Enlarge
S&P 500 CAPE Valuation and Following 10-Year Annualized Returns Since 1950 Does valuation still matter in the long run? Elevated CAPE ratio suggests anemic stock market returns over the next 10 years (R² = 0.467 since 1950). Image: Real Investment Advice
U.S. Macro Fundamentals vs. S&P 500 This chart shows the current wide divergence between U.S. lead indicators and the S&P 500 (R² = 0.97). Image: Pictet Asset Management
S&P 500 Valuation – Consensus FY2 PB and Return on Equity (ROE) This chart suggests that the current valuation of the S&P 500 appears broadly consistent with the correlation between consensus FY2 P/B and return on equity (R² = 0.42). Image: Goldman Sachs Global Investment Research
S&P 500 Sector Return on Equity vs. Price to Book Valuation This chart suggests that sectors trade closely to their return on equity implied valuations (R² = 0.87). Image: Goldman Sachs Global Investment Research