Very interesting. For the correlations I was just going with Hussman’s analysis. I know it’s simple, but it’s the best I’m aware of.
This post has a summary of a couple of methods which he says have 84% correlation with long-run returns, and currently predict returns of just a couple of percent for the next decade.
Philosophical economics has a some critical discussion of this and similar graphs, e.g. here and more directly here. There is also a lot of discussion of current elevation of profit margins and CAPE, which I found useful.
Very interesting. For the correlations I was just going with Hussman’s analysis. I know it’s simple, but it’s the best I’m aware of.
This post has a summary of a couple of methods which he says have 84% correlation with long-run returns, and currently predict returns of just a couple of percent for the next decade.
http://www.hussmanfunds.com/wmc/wmc130318.htm
Why do these disagree with your figures?
Philosophical economics has a some critical discussion of this and similar graphs, e.g. here and more directly here. There is also a lot of discussion of current elevation of profit margins and CAPE, which I found useful.
Thanks, that looks like a great blog.
Not sure. Did you get the excel sheet I sent?