99% Correlation with the US Stock Market and an R² of 0.97 since 1970 Our forecasting models have a fantastic 99% correlation with the US stock market on a quarterly basis since 1970 and an R² of 0.97. It means that 97 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 5.6% in August. Trucks represent 70% of U.S. freight and serve as a barometer of the U.S. economy. This chart shows how the U.S. stock market has increased in line with the physical size and expansion of the US economy (R² = 0.95 since…
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
U.S. Core Inflation Expected Over the Next 21 Months (Leading Indicator) This chart suggests that M2 velocity year-over-year leads U.S. core CPI by 21 months (R² = 0.61 since 1996). It has been quite accurate for more than 20 years. Click the Image to Enlarge
U.S. 10-Year Treasury Yield and Mortgages Rates U.S. treasury yields and mortgage rates aren’t following the usual pattern over the last 6 weeks (R² = 0.93). Image: Macrobond Financial
S&P 500 Total Return Index and Actual Forward 10-Year Rate of Return This chart suggests that the long-term return forecast is around 3.5% now vs. 8% p.a. at March bottom (R² = 0.91). Image: Hondo Tomasz
U.S. Correlation Between GDP and Equity Market This chart shows the correlation between U.S. GDP and U.S. equity market (R² = 0.50). U.S. equity prices suggest U.S. GDP growth of 0.7% YoY in Q3 2020. Image: Deutsche Bank
S&P 500 Selloffs and Recession Duration This chart shows the correlation between the duration of recessions and the severity of S&P 500 selloffs (R² = 0.69). Image: BofA Global Research