Macro Climate
Four long-horizon market signals — each anchored to a published methodology and shown as today vs the full historical distribution. Each panel describes a long-run distribution, not next month's price.
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Four long-horizon market signals — each anchored to a published methodology and shown as today vs the full historical distribution. Each panel describes a long-run distribution, not next month's price.
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At today's CAPE of 39.6, history shows a 10-year forward real-return range of -5.3% to -3.1%/yr (median -4.7%) — based on 30historical months that started within ±10% of today's CAPE.
Predicts the long-run distribution, not next month's price.
Estrella & Mishkin probit model fit on the 10-year minus 3-month Treasury spread. A recession is flagged when the model crosses ~30%. Today's reading is 17.6% with a spread of 0.72% (22-day avg 0.64%).
Predicts a 12-month recession probability, not next month's equity returns.
Current ERP -8 bps · S&P 500 trailing earnings yield 4.16% · 10y Treasury 4.25%. 30-year median +91 bps; trailing 30-year 25th–75th band -90 bps to +238 bps.
The Chicago Fed's weekly index of financial conditions across money, debt, and equity markets. Positive values are tighter than average; negative values are looser. Today's reading is -0.51 — looser than 63% of weeks since 1971.
Not investment advice.