Market Correlations: Spot Price Index December 15, 2017 Dr. Edward Yardeni 516-972-7683 eyardeni@ Debbie Johnson 480-664-1333 djohnson@ Mali Quintana 480-664-1333 aquintana@ Please visit our sites at www. blog. thinking outside the box
Table Of Contents Table Of Contents Market Correlations: 3-8 December 15, 2017 / Market Correlations: Spot Price Index www.
Market Correlations: 80 Figure 1. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR 85 90 95 100 105 JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) 110 115 120 125 130 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 ** 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 2. EMERGING MARKETS MSCI STOCK PRICE INDEX (in dollars) & INDUSTRIALS COMMODITY PRICE INDEX (daily) Emerging Markets MSCI Stock Price Index (in dollars) 1 1000 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 0 Source: MSCI and Commodity Research Bureau. Page 3 / December 15, 2017 / Market Correlations: Spot Price Index www.
Figure 3. Market Correlations: INDUSTRIALS COMMODITY PRICE INDEX & COPPER FUTURES PRICE 650 550 450 350 Copper Futures Price** (cents per pound) 4 5 6 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 100 ** Nearby futures contract. Source: Commodity Research Bureau and Haver Analytics. 0 1900 1800 1 1 1 1 1 1 1100 1000 900 800 100 0 Figure 4. GOLD PRICE & INDUSTRIALS COMMODITY PRICE INDEX Gold Price* (dollars per ounce) * 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 660 620 580 540 460 420 380 340 260 220 180 140 * Cash price London gold bullion, PM Fix. * Source: Haver Analytics and Commodity Research Bureau. Page 4 / December 15, 2017 / Market Correlations: Spot Price Index www.
.22 Figure 5. Market Correlations: S&P MATERIALS & INDUSTRIALS COMMODITY PRICE INDEX.20 650.18 550.16 450.14 S&P Materials Index (as a ratio of S&P Index) 350.12 5 6 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 Source: Standard & Poor s and Commodity Research Bureau. 3.4 3.2 3.0 2.8 2.6 2.4 2.2 2.0 1.8 1.6 1.4 1.2 1.0.8.6.4.2.0 Figure 6. INDUSTRIALS COMMODITY PRICE INDEX & EXPECTED INFLATION Expected Inflation in 10-Year TIPS* Index 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 * Yield spread between 10-year US Treasury bond and comparable TIPS. Source: Federal Reserve Board, US Treasury, and Bureau of Economic Analysis. Page 5 / December 15, 2017 / Market Correlations: Spot Price Index www.
Figure 7. Market Correlations: EMERGING MARKETS MSCI STOCK PRICE INDEX (in local currencies) & INDUSTRIALS COMMODITY PRICE INDEX 00 Emerging Markets MSCI Stock Price Index (local currencies) 00 00 00 00 00 10000 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 0 Source: Morgan Stanley Capital International and Commodity Research Bureau. 90 85 Figure 8. CHINA MSCI & INDUSTRIALS COMMODITY PRICE INDEX 80 75 70 65 60 55 50 45 China MSCI Share Price Index (in dollars) 40 35 30 Spot Index 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 6 / December 15, 2017 / Market Correlations: Spot Price Index www.
-18-16 -14-12 -10-8 -6-4 -2 0 2 4 6 8 10 12 14 16 18 20 22 Figure 9. Market Correlations: INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR (yearly percent change) JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 65 55 45 35 25 15 5-5 -15-25 -35-45 ** 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..8.9 Figure 10. INDUSTRIALS COMMODITY PRICE INDEX & CANADIAN DOLLAR 1.0 1.1 1.2 1.3 1.4 Canada (C$/US$, inverted scale) 1.5 1.6 1.7 0 1 2 3 4 5 6 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 Source: Haver Analytics. Page 7 / December 15, 2017 / Market Correlations: Spot Price Index www.
.8.9 1.0 1.1 1.2 Figure 11. Market Correlations: INDUSTRIALS COMMODITY PRICE INDEX & AUSTRALIAN DOLLAR 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2.0 2.1 Australia (A$/US$, inverted scale) 0 1 2 3 4 5 6 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 Source: Haver Analytics. 650 Figure 12. INDUSTRIALS COMMODITY PRICE INDEX & COPPER PRICE 450 550 450 350 Copper Futures Price** (cents per pound) 350 250 150 250 5 6 7 8 9 2010 2011 2012 2013 2014 2015 2016 2017 2018 100 ** Nearby futures contract. Source: Commodity Research Bureau and Haver Analytics. Page 8 / December 15, 2017 / Market Correlations: Spot Price Index www.
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