S&P Regression to Trend

幾個S&P 趨勢討論的圖~

HFN editor Peter Brimelow, along with ESR Research’s Edwin S. Rubenstein observe:

"We have looked at stocks relative to this long-term trend line. When we last looked, we found stocks were down 38% below trend, around the levels seen at historic bear market bottoms in 1981 (40% below trend), 1974 (41% below trend) and 1932 (42% below trend).”






Here's the chart of the S&P Composite stretching back to 1871.

The peak in 2000 marked an unprecedented 152% overshooting of the trend, which is double the overshoot in 1929. The index has been above the trend for 17 years. We also see that the major troughs brought declines in excess of 50% below the trend. If the S&P 500 were sitting squarely on the regression, it would be hovering around 825. If the index should decline over the next 12 months to a level comparable to previous major bottoms, it would fall to the vicinity of 425.



~~ 利用不同通膨資料調整後(上圖是BLS-official, 下圖是Williams' Shadow Government Statisticse) 二者呈現不同的面貌.

[Below]
The S&P 500 has been below trend since 2002. The current bear market has dropped the monthly average index price 50% below the trend, which puts us in the territory of those secular market troughs. In fact, this regression analysis, the closing low on November 20th came within 2% of the monthly average trough following the Crash of 1929.



So the question is . . . Are you bearish or bullish about the market? Or which is more reliable: the Bureau of Labor Statistics or www.ShadowStats.com?


Note:
The Bureau of Labor Statistics (BLS) has been actively tracking inflation since 1919 and has estimated inflation rates back to 1913 using data on food prices. In 1982, however, the BLS began incorporating changes to the Consumer Price Index (CPI), which is used to calculate inflation.

Source:
Stocks' bottom in sight
Regression to trend