The expected risk premium for the Global Market Index (GMI) continued to hold at the 6.0%-plus level in December. Today’s 6.1% estimate (fractionally above the previous month’s forecast) marks the third straight month at 6.0% or higher. The estimate reflects the projected long-run return over the “risk-free” rate, according to a risk-based model (detailed below). […]
CAPE and Other Market Valuation Methodologies
The U.S. equity market recently hit new highs but has retreated as bond yields have risen on a more hawkish tone from several Fed members, with some market commentators (and Fed officials) now looking for four rate hikes this year. Technology stocks
The Global Market Index’s risk-adjusted performance continued to roar higher through the end of 2021, based on the trailing 3-year Sharpe ratio, a measure of return adjusted by volatility. GMI started looking a bit subdued in November, thanks to widespread selling. But the strong rebound for risk assets in December fired up risk-adjusted results for […]
The expected risk premium for the Global Market Index (GMI) continued to hold at the 6.0%-plus level in December. Today’s 6.1% estimate (fractionally above the previous month’s forecast) marks the third straight month at 6.0% or higher. The estimate reflects the projected long-run return over the “risk-free” rate, according to a risk-based model (detailed below). […]
Major stock indexes have bounced back from their March 23 trough to about 10 percent below their peaks. However, stocks that are more sensitive to the business cycle have not performed as well during this market rally. This suggests that stock markets are pricing in a slower, shallower economic recovery.
The Global Market Index’s risk-adjusted performance continued to roar higher through the end of 2021, based on the trailing 3-year Sharpe ratio, a measure of return adjusted by volatility. GMI started looking a bit subdued in November, thanks to widespread selling. But the strong rebound for risk assets in December fired up risk-adjusted results for […]