Strategist s Handbook: Chart Updates

Transcription

1 Strategist s Handbook: Chart Updates February 1, 1 Dr. Edward Yardeni 1-2- eyardeni@ Please visit our sites at www. blog. thinking outside the box

2 Table Of Contents Table Of Contents Stock Prices 1 S&P Earnings, Revenues, Margins 2 S&P Revenues & Margins Forward Revenues, Earnings, & Margins 4 S&P /4/ Forward Earnings & Margins Blue Angels Valuation - S&P Sectors Forward P/Es S&P Sectors Price Indexes S&P Sectors Forward Earnings Equity Flows Dollar & Commodities Stocks & Commodities 14 Big Picture 1 US Economic Indicators 1-1 China 1 Eurozone 1 Global February 1, 1 / Strategist s Handbook: Chart Updates www.

3 Stock Prices... Figure 1. RELATIVE GLOBAL PERFORMANCE OF US MSCI: US MSCI (US$) DIVIDED BY ALL COUNTRY WORLD EX US MSCI (in both US$ and in local currencies, daily) MSCI US / ACW ex-us In dollars In local currencies Source: MSCI Figure 2. S&P BULL & BEAR MARKETS & CORRECTIONS: -1 (ratio scale) day moving average -.% (1) -1.% () -1.4% (1) -.% (2) -.% () -.% (2) -.% (4) % (1) -.4% (2) -.4% () -.% () -.2% () Note: Corrections are declines of % or more, while minor ones are %-% (all in blue shades). Bear markets are declines of % or more (in red shades). Number of calendar days in parentheses. Source: Standard & Poor s. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

4 Figure. S&P Earnings, Revenues, Margins S&P REVENUES PER SHARE: ACTUAL (S&P quarterly data) & FORWARD (TR weekly data) (dollars) Revenues Per Share 2-week Forward* Actual (x4) S&P EARNINGS PER SHARE: FORWARD & ACTUAL OPERATING EARNINGS (dollars) Earnings Per Share 2-week Forward* Thomson Reuters Operating (x4) S&P Operating (x4) Q Q Q 2/ S&P PROFIT MARGIN MEASURES (percent) Q S&P Operating Profit Margins 2-week Forward* (.) Thomson Reuters (.) S&P (.2) * Time-weighted average of consensus operating earnings estimates for current and next years. Source: Standard & Poor s (for actual revenues) and Thomson Reuters I/B/E/S (for forward revenues), and Bureau of the Census. Page 2 / February 1, 1 / Strategist s Handbook: Chart Updates www.

5 2 Figure 4. S&P Revenues & Margins S&P AGGREGATE REVENUES & US BUSINESS SALES OF GOODS (yearly percent change) Dec S&P Aggregate Revenues* (.) Business Sales of Goods** (.) * Revenues are derived by multiplying S&P revenues per share by the S&P divisor for each quarter. ** Manufacturing and trade sales. Source: Census Bureau and Standard & Poor s. Figure. S&P OPERATING PROFIT MARGIN (Thomson Reuters data) & AFTER-TAX CORPORATE PROFIT MARGIN (without IVA & CCAdj) Q Corporate Profits After Tax* (as a percent of nominal GDP) (blue line) Q 4 2 S&P Operating Profit Margin Using TR Earnings** (percent, quarterly, nsa) (red line) * After-tax profits as reported to IRS excluding Inventory Valuation Adjustment (IVA) and Capital Consumption Adjustment (CCAdj), which restate the historical cost basis used in profits tax accounting for inventory withdrawals and depreciation to the current cost measures used in GDP. ** Operating Proft Margin derived using revenues from S&P and earnings from Thomson Reuters I/B/E/S. Note: Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Standard & Poor s, Thomson Reuters I/B/E/S and Bureau of Economic Analysis. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

6 14 1 Figure. Forward Revenues, Earnings, & Margins S&P REVENUES PER SHARE (consensus analysts estimates in dollars, weekly, ratio scale) Consensus Forecasts Annual Revenues Forward Revenues* S&P OPERATING EARNINGS PER SHARE (consensus analysts estimates in dollars, weekly, ratio scale) / 1 1 Consensus Forecasts Annual Earnings Forward Earnings* S&P PROFIT MARGIN (using analysts average earnings and sales forecasts, percent) Consensus Forecasts Annual Margins Forward Margins* (.) * Time-weighted average of the consensus estimates for current and next year. Source: Thomson Reuters I/B/E/S and Standard & Poor s. Page 4 / February 1, 1 / Strategist s Handbook: Chart Updates www.

7 1 1 1 Figure. S&P /4/ Forward Earnings & Margins S&P /4/ FORWARD EARNINGS (dollars per share, ratio scale) 2/ Forward Earnings* S&P LargeCap (1.) S&P 4 MidCap (1.) S&P SmallCap (.) * Time-weighted average of consensus estimates for current year and next year. Source: Thomson Reuters I/B/E/S. Figure. S&P FORWARD PROFIT MARGINS* (using analysts average earnings and sales forecasts, percent) S&P (.) S&P 4 (.) S&P (.) * Time-weighted average of the consensus estimates for current and next year. Source: Thomson Reuters I/B/E/S and Standard & Poor s. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

8 4 Figure. Blue Angels S&P, FORWARD EARNINGS, and VALUATION (weekly) Blue Angels: S&P Actual /1 Implied* 2//1 x1 x1 x1 x1 x x14 x x x x * Implied price index calculated using forward earnings times forward P/Es. Weekly data start January. Source: Standard & Poor s and Thomson Reuters I/B/E/S. 4 4 Figure. ALL COUNTRY WORLD EX-US MSCI, FORWARD EARNINGS, & VALUATION All Country World Ex-US MSCI Index (In local currencies) /1 Blue Angels Implied Price Index* 2/ x1 4 4 x14 x 2 x 2 x * Implied price index calculated using forward earnings times forward P/Es. Monthly through December, weekly thereafter. Source: MSCI and Thomson Reuters I/B/E/S. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

9 2 2 Figure. Valuation FORWARD P/E RATIOS FOR S&P STOCK PRICE INDEXES* (daily) S&P LargeCap (1.2) S&P 4 MidCap (1.) S&P SmallCap (1.) * Daily stock price index divided by 2-week forward consensus expected operating earnings per share. Source: Thomson Reuters I/B/E/S and Standard & Poor s. 2 Figure. MSCI FORWARD P/E (weekly) 2 Capped at Forward P/E* Emerging Markets (.) EMU (14.) Japan (14.) UK (14.) US (1.) * Price divided by -month forward consensus expected operating earnings per share. Source: Thomson Reuters I/B/E/S. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

10 Figure. Valuation S&P REPORTED EARNINGS YIELD* MINUS CPI INFLATION RATE** Average. Latest (2.) Q * S&P reported earnings as a percent of quarterly average S&P index. Q4- dropped because of negative value. ** Year-over-year percent change in three-month average of each quarter. Note: Shaded red areas denote S&P bear market declines of % or more. Yellow areas show bull markets. Source: Standard & Poor s and Bureau of Labor Statistics. Figure 14. S&P FORWARD P/E* PLUS MISERY INDEX** Average = 2. 2 Jan 2 Latest (24.) * Average monthly S&P stock price index divided by S&P -month forward consensus expected operating earnings per share. ** Unemployment rate plus yearly percent change in consumer price index. Note: Bear markets are declines of % or more (in red shades). Source: Bureau of Economic Analysis, Bureau of Labor Statistics, and Thomson Reuters I/B/E/S. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

11 Figure 1. S&P (forward P/E) P/E (1.1) CONSUMER DISCRETIONARY S&P Sectors Forward P/Es (21.4) INDUSTRIALS (1.) INFORMATION TECHNOLOGY (1.) CONSUMER STAPLES (1.) MATERIALS (1.1) ENERGY (21.) REAL ESTATE (.) FINANCIALS (14.1) Includes Real Estate through September HEALTH CARE (1.) TELECOMMUNICATION SERVICES (.) UTILITIES (1.) Source: Thomson Reuters I/B/E/S and Standard & Poor s. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

12 S&P Sectors Price Indexes Figure 1. CONSUMER DISCRETIONARY S&P sector price indexes INDUSTRIALS CONSUMER STAPLES INFORMATION TECHNOLOGY ENERGY MATERIALS FINANCIALS TELECOMMUNICATION SERVICES HEALTH CARE UTILITIES Source: Standard & Poor s and Haver Analytics. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

13 Figure 1. S&P (forward earnings*) S&P Sectors Forward Earnings Annual consensus estimates Forward earnings CONSUMER DISCRETIONARY INDUSTRIALS INFORMATION TECHNOLOGY CONSUMER STAPLES MATERIALS ENERGY REAL ESTATE FINANCIALS TELECOMMUNICATIONS SERVICES Includes Real Estate through September HEALTH CARE UTILITIES * Time-weighted average (in blue) of consensus operating earnings estimates for current and next year (in red). Source: Thomson Reuters I/B/E/S. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

14 24 Figure 1. S&P DIVIDENDS & BUYBACKS (billion dollars, annualized) Buybacks Dividends Equity Flows S&P Index Jan 24 1 Q 1 Q4 4 S&P FORWARD EARNINGS YIELD & CORPORATE BOND YIELD (percent) S&P Forward Earnings Yield* (.1) Investment Grade Corporate Bond Yield** (.) 2/ 2/ * Forward earnings (time-weighted average of consensus operating earnings estimates for current and next year) divided by S&P index. ** BoA Merrill Lynch data for AA-AAA yields. Source: Thomson Reuters I/B/E/S, Federal Reserve Board, and Standard & Poor s. 4 Figure 1. EQUITY ETFs* (yearly net inflows, billion dollars) Dec * Net share issuance by equity ETFs. Source: Investment Company Institute. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

15 Dollar & Commodities Figure. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR CRB Raw Industrials Spot Price Index* (1=) JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. Figure 21. BRENT CRUDE OIL PRICE & TRADE-WEIGHTED DOLLAR Brent Crude Oil Futures Price* (dollars per barrel) JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) * Nearby futures price. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Haver Analytics. Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

16 Stocks & Commodities Figure 22. S&P INDEX & YRI WEEKLY LEADING INDEX 2/ 2 1 S&P Index 2 YRI Weekly Leading Index* * Average of Consumer Comfort Index (which is a four-week average) and the four-week average of Boom-Bust Barometer, which is CRB raw industrials spot price index (weekly average) divided by weekly initial unemployment claims. Source: Bloomberg, Commodity Research Bureau, Bureau of Labor Statistics, and Standard & Poor s. Figure 2. EMERGING MARKETS MSCI STOCK PRICE INDEX (in dollars) & INDUSTRIALS COMMODITY PRICE INDEX (daily) 1 Emerging Markets MSCI Stock Price Index (in dollars) CRB Raw Industrials Spot Price Index* * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: MSCI and Commodity Research Bureau. Page 14 / February 1, 1 / Strategist s Handbook: Chart Updates www.

17 Figure 24. CONSUMER PRICE INDEX*: -14 Big Picture War of 1 (1-) CPI** 1 1 Cold War (14-1) Jan World War I (4-) World War II (-14) Civil War (-1) * Annual data. Base index from to 14 is 1 =. ** 12-4=. Source: Census Bureau, Historical Statistics of the United States Figure 2. AGE WAVE & INFLATION Age Wave* 2 Inflation Trend** Jan * Percent of labor force 1-4 years old. ** Five-year moving average of yearly percent change in CPI. Source: Bureau of Labor Statistics. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

18 US Economic Indicators.. Figure 2. YRI EARNED INCOME PROXY & PRIVATE WAGES & SALARIES IN PERSONAL INCOME (trillion dollars, saar, ratio scale) Dec..... YRI Earned Income Proxy* Private Wages & Salaries Jan * Aggregate weekly hours times average hourly earnings of total private industries times 2. Source: Bureau of Labor Statistics and Bureau of Economic Analysis. Figure 2. COINCIDENT ECONOMIC INDICATORS: RECOVERIES & EXPANSIONS* (1=, sa, ratio scale) Dec Months -/ Months 1/-/ 4 2 Months /-/ 2 Months /1-/ 2 Months /-/2 4 1 Months /-/1 2 Months /1-/ 1 Months /-/1 2 Months /-/ 4 Months /2- Months /-1/ * Red horizontal lines span cyclical peaks through subsequent cyclical recoveries. Green horizontal lines are expansion periods following recoveries. Source: Conference Board, Haver Analytics, and YRI calculations. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

19 14 Figure 2. US Economic Indicators REAL CONSUMER INCOME & SPENDING PER HOUSEHOLD* (thousand dollars, saar) Real Income & Spending per Household* Personal Income (2.2) Personal Consumption Expenditures (.) Disposable Personal Income (.) Money Income** (.) * All series deflated using Personal Consumption Expenditures Deflator. ** Mean household income. Source: Bureau of Economic Analysis, Bureau of the Census and Current Population Reports Figure 2. MANUFACTURING PRODUCTION & CAPACITY (=, ratio scale) Manufacturing Production Capacity C Jan Jan Note: C = China joined WTO on December, 1. Shaded areas denote recessions according to the National Bureau of Economic Research. Source: Federal Reserve Board. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

20 2 Figure. China CHINA: INDUSTRIAL PRODUCTION & PRODUCER PRICE INDEX (yearly percent change) Jan - - Industrial Production* (.2) PPI: Total Industrial Products (4.) * Value added basis. Source: IMF International Financial Statistics and China National Bureau of Statistics. Figure 1. BANK LOANS & MONEY SUPPLY (trillion US dollars) Jan 2 2 China: Bank Loans (nsa) (1.1) US: Bank Loans (sa) (.1) China: M2 (2.) Jan 1 1 Jan Source: Federal Reserve Board and People s Bank of China. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

21 1 Figure 2. EUROZONE: INDUSTRIAL PRODUCTION EXCLUDING CONSTRUCTION Eurozone Eurozone (Dec=.4) Germany (Dec=.) France (Dec=4.) Italy (Dec=.) Spain (Dec=.4) Source: Haver Analytics. 1 Figure. GERMANY: IFO BUSINESS CONFIDENCE INDEX (=, sa) Jan Source: Institut Fur Wirtschaftsforschung. Page 1 / February 1, 1 / Strategist s Handbook: Chart Updates www.

22 Figure 4. WORLD CRUDE OIL REVENUES & OUTLAYS* (trillion dollars, annual rate, ratio scale) Global Oct Crude Oil Revenues & Outlays* (1.) * Monthly crude oil production (in mbd) times days times dollar price of a barrel of Brent crude oil. Note: West Texas Intermediate Spot Price from 1 TO 14, Brent Crude oil price thereafter. Source: Energy Intelligence Administration. 2 2 Figure. S&P INDEX & QE QE1 QE2 QE S&P Index Total of Fed, ECB, BOJ Note: QE1 (/2/) = Fed starts buying $1.24tn in mortgage securities. QE1 expanded (/1/) = Fed starts buying $bn in Treasuries. QE2 (//) = Fed starts buying $bn in Treasuries. QE (//) = Fed starts buying $4bn/month in mortgage securities (open ended). QE expanded (//) = Fed starts buying $4bn/month in Treasuries. Source: Federal Reserve Board, Standard & Poor s and Haver Analytics. 4 Page / February 1, 1 / Strategist s Handbook: Chart Updates www.

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