Stock Market and Interest Rate charts

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Stock market indexes

Dow Jones Industrial Average List http://money.cnn.com/data/dow30/

S&P 500 Complete list http://nyjobsource.com/sandp1.html

NASDAQ http://en.wikipedia.org/wiki/Nasdaq_Composite

http://en.wikipedia.org/wiki/NASDAQ http://www.allstocks.com/NASDAQ/

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Long-term View of the DJIA

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06/30/1988 03/31/1992 12/31/1995 09/30/1999 06/30/2003 03/31/2007 12/31/20100.00200.00400.00600.00800.00

1,000.001,200.001,400.001,600.001,800.002,000.00

-$10-$5$0$5$10$15$20$25$30$35

S&P 500S&P 500 Price IndexOperating Earnings per share

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Mean: 15.55 Median: 14.60 Min: 5.31 (Dec 1917)Max: 123.73 (May 2009)

Current S&P 500 PE Ratio: 19.93 4:04 pm EDT, Tue Sep 15 Price to earnings ratio, based on trailing twelve month “as reported” earnings. Current PE is estimated from latest reported earnings and current market price.

7Shiller 10 year PE average is currently about 25 in 2015It suffers from the terribly high values in 2008/9 being includedin the average.

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03/31/198806/30/199209/30/199612/31/200003/31/200506/30/2009 9/30/2013-$30.00

-$20.00

-$10.00

$0.00

$10.00

$20.00

$30.00

$40.00S&P 500

Operating Earnings per share As Reported EPSDividends per share

S&P 500 Dividends, EPS (annual data)

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03/31/1988 12/31/1991 09/30/1995 06/30/1999 03/31/2003 12/31/2006 09/30/2010 6/30/2014-$30.00

-$20.00

-$10.00

$0.00

$10.00

$20.00

$30.00

$40.00S&P 500

Operating Earnings per share As Reported EPSDividends per share

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Stock Price=earnings x Multiple

• Multiple = price to earnings ratio• High multiples are sensible only if

earnings are going to grow rapidly

)*(*

DMDPSPMEPSP

S&P 500 P/E and P/D multiples

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Trailing, Forward, Operating Earnings

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P/E ratio Average since 1988 about 19, longer term average 15.9

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The forward PE ratio got quite high in the late 90s.

Forward PE ratio increasing

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Dot com bubble

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Trailing PE ratio, differs by sector

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USA TODAY Internet 1009/29/00

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Interest rate slides

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The Federal Reserve “targets” the federal funds rate.

22Treasury Interest Rates

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Prime Rate Constant at 3.25% since Jan. 2009

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Inflation

Inflation

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PCE deflator

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US Tax Rates

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Dividend Payout

Interest Rate: Forward and Futures Have looked at historical interest rates for

perspective Yield curve is forward looking and contains

implicit rates for future years Interest rate futures are traded on CME

group exchanges and provide market expectations

Interest rates are relatively low in 2012 Cannot “lock in” today’s low rate – can only

lock in forward or futures rates

Forward interest rates Hypothetical interest rates available

Fixed for one year @ 3% Fixed for two years @ 4% Fixed for three years @ 5%

The cost for the first year is 3%. The two year loan costs 8% over two years, of which

3% is the first year cost, leaving 5% as the implied forward rate for the second year.

If you take the three year fixed period, the cost for three years is 15%

subtracting 3% for the first year and 5% for the second year, leaves 7% as the cost in the third year.

Thus, 5% and 7% are the year two and three forward rates.

More Accurate Forward Rate Calculation (accounts for compounding)

irj = interest rate from time i to time j. one year rate ; 0r1 = 3% -- given two year cost: (1.04)2 = (1.03)(1+1r2)

1r2 = 5.01% three year cost: (1.05)3 = (1.03)

(1.0501)(1+2r3) 2r3 = 7.029%

Farm Credit Services of Mid-America rates as of 2/4/2011

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Product

MultiFlex Forward1-Year 3.50% 3.50%

3-Year 3.95% 4.18% for years 2 and 3

5-Year 4.60% 5.58% for years 4 and 5

7-Year 5.35% 7.25% for years 6 and 7

10-Year 6.05% 7.70% for years 8-10

15-Year 6.45% 7.25% for years 9-15

Interest Rate Futures CME group Treasuries of different maturities and Eurodollar

Futures Eurodollar futures are on 3 month LIBOR interest

rates London Interbank Offered Rate Traded many months into the future Prices quoted as 100 minus the percentage interest

rate 5% interest would be quoted as a Eurodollar futures price

of 95. http://www.cmegroup.com/trading/interest-rates/

Eurodollar Futures

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3 month LIBOR futures9/4/2012

rate %Sep '12 (GEU12) 99.615 0.385Oct '12 (GEV12) 99.635 0.365Nov '12 (GEX12) 99.64 0.36Dec '12 (GEZ12) 99.645 0.355Dec '13 (GEZ13) 99.605 0.395Dec '14 (GEZ14) 99.44 0.56Dec '15 (GEZ15) 99.065 0.935Dec '16 (GEZ16) 98.47 1.53Dec '17 (GEZ17) 97.885 2.115Dec '18 (GEZ18) 97.48 2.52Mar '20 (GEH20) 97.155 2.845Jun '20 (GEM20) 97.09 2.91