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 declined 2.1% in October. 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 has tended 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 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. 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