Sensitivity of S&P 500 to U.S. 10-Year Treasury Yield and Equity Risk Premium (ERP) The 4700 year-end target for the S&P 500 index assumes ERP of 4.8% and U.S. Treasury yield at 1.6%. Image: Goldman Sachs Global Investment Research
FMS Investors – Biggest “Tail Risk” FMS investors see inflation as the biggest “tail risk”. Image: BofA Global Fund Manager Survey
Equity Risk Premium – 12-Month Forward Earnings Yield Minus Real 10-Year Government Bond Yield The Equity Risk Premium has increased over the last few months. Image: BCA Research
Risk Appetite Indicator Level and Momentum Factors The risk appetite indicator remains positive. Image: Goldman Sachs Global Investment Research
S&P 500 Equity Risk Premium – Consensus Bottoms Up Earnings Yield – 10-Year Treasury Yield The S&P 500 Equity Risk Premium has increased over the last few months. Image: Morgan Stanley Research
Risky vs. Safe Assets Fund Flows Risky vs. safe assets fund flows have turned negative. Image: Goldman Sachs Global Investment Research
Equity Risk Indicator and S&P 500 The equity risk indicator remains positive and is far from stretched. Image: Morgan Stanley Research
S&P 500 Equity Risk Premium and Yield Gap U.S. equities remain attractively valued relative to bonds. Image: Goldman Sachs Global Investment Research
Risk Appetite Indicator and U.S. ISM Manufacturing The risk appetite indicator is now below zero, as investors expect growth to slowdown significantly in H2. Image: Goldman Sachs Global Investment Research
Cross-Asset Momentum Indicator (Risk-On Cross Asset Breadth) The cross-asset momentum indicator has turned negative. Image: Deutsche Bank Asset Allocation