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CAPITAL MARKET AND INVESTMENT CHARTS
The Asset Allocation Advisor maintains a bank of
charts of various data pertaining directly or indirectly
to capital market returns and investment portfolio
management. Consistent with our philosophy that trends
need to be viewed in long-term contexts, most of the
charts cover as long a period as possible. In so far as
possible, we use data in the public domain as the source
information. Information sources are noted on each
chart.
PORTFOLIO MANAGEMENT AND DIVERSIFICATION
The
Impact of Variability on Returns
Asset Class Risk/Return Map, Average Annual Returns
Versus the Standard Deviation of Annual Returns for
Twelve Selected Assets Classes
Target-date Retirement Fund, Asset Allocations by Age
BUSINESS CYCLE DATA
Consumer Confidence, Monthly from January 1978
U.S. Total Employment, January 1948 to Date
U.S. Unemployment Rate, January 1948 to Date
PMI Index
(formerly the Purchasing Managers' Index) of Conditions
in the U.S. Manufacturing Sector, Monthly from January 1948
Non-manufacturing Business Activity Index, July 1997 to
Date
Non-Manufacturing New Orders Index, July 1997 to Date
Manufacturers' New Orders for Durable Goods, Monthly
from February 1992
New Vehicle Sales, Monthly from January 2000
ECONOMIC DATA
Gross Domestic Product in
Current
Dollars
Consumer Price Inflation
Corporate Profits as a % of U.S. Gross Domestic Product
U.S. Personal Savings Rate, 1952 to Date
Household, Business, and Government Debt, 1974 to Date
World Gross Domestic Product, 1980 to 2008 with IMF
Estimates Through 2014
World Total Exports, 1980
Through 2008, with IMF
Estimates for 2009 and 2010
Inflation Expectations, Monthly Averages January 2003 to
Date
U.S. Gross Domestic Product Growth Trend Analysis
U.S. Housing Starts, Monthly from January 1959
Components of U.S. National Income, 1929 to Date
Components of U.S. Gross Domestic Product
Components of U.S. Private Domestic Investment
Components of U.S. Personal Consumption
Components of Government Spending within U.S. GDP
U.S. Exports and Imports
U.S. Construction Spending
FISCAL DATA
U.S. Federal Government Current Receipts as a
Percent of
GDP
U.S. Government Debt as % of Gross Domestic Product, 1950 to
Date
Federal Budget Deficit and Public Debt Projections,
current estimates by Congressional Budget Office
General Government Structural Balances, 2001 - 2008
Actual, Estimated thru 2012
Budget of the U.S. Government, Discretionary and
Mandatory Outlays by Department for Fiscal Years 2009
and 2010, in Tabular Format
Budget of the U.S. Government, Discretionary and
Mandatory Outlays by Department for 2010, in Graphic
Format
Federal Budget Deficits and Public Debt Projections per
the Office of Management and Budget Fiscal Year 2011
Estimates
Federal Outlays as a Percent of Gross Domestic
Product, 1962 to 2009
MONETARY DATA
Excess Bank Reserves 1959 to Date
Growth Rate of U.S. Money Supply
Federal Reserve Total Assets and Bank Balances on
Deposit, 1996 to Date
Federal Reserve Balance Sheet Asset Composition, Weekly
From 3 January 2007
Velocity of Money,
as Measured by the Ratio of Nominal GDP to the Size of
the M1 Money Stock, Quarterly from 1959
INTEREST RATES AND BOND MARKET DATA
U.S. Treasury Nominal Yield Curves, Current Versus
Median and Recent Yield Curves
U.S. Treasury Nominal Yield Curves, Log Scale
Treasury Real
Yield Curves, Latest Month Versus Prior Quarters and
Long Term Median
Current and Forward Spot Rate Curves
Current and Forward Spot Rate Curves, with Current and
Normalized Real Rates
Expected
Inflation Rate by Term Horizon
Federal Funds Target Rates Versus 3 Month and 10 Year
Treasury Yields, Monthly Averages January 1985 to Date
Ten Year Treasury Yields, Monthly Averages January 1957 to
Date
Ten year Treasury Inflation-Protected Securities Auction
Yields, 1997 to Date
Bid-to-Cover Ratios on Auctions of U.S. Treasury
Inflation-Protected Securities, 1997 to Date
Treasury Inflation-Protected Securities, Secondary
Market Rates, Monthly from January 2003
Yield Spreads on 3 Month Financial Commercial Paper,
Monthly Averages January 1994 to Date
World Sovereign Public Debt as a Percent of Gross
Domestic Product
Household, Business, and Government Debt, 1974 to Date
Inflation Expectations, Monthly Averages January 2003 to
Date
St. Louis Financial Market Stress Index, 31 December
1993 to Date
Yield Curve Slope, Monthly Average from January 1953 to
Date
Investment-grade Corporate Bond Credit Spreads,
Monthly
Averages from January 1994 to Date
High-yield Bond Credit Spreads, Monthly averages from
January 1994 to Date
Mortgage Market Rates, January 1985 to Date
Mortgage Market
Spreads, January 1985 to Date
STOCK MARKET DATA
S&P 500 Index Price, Earnings and Valuations, Monthly
from January 1987
U.S. Mid-cap Stock Index: Price, Earnings, and P/E
Valuations, Monthly from May 1993
U. S. Small-cap
Stocks: Price, Earnings, and P/E Valuations, Monthly
from January 1995
U.S. Stock Market
Implied Volatility versus Historical Volatility, January
2005 to Date
U.S. Stock Market
Implied Volatility versus Trends in Historical
Volatility, January 2005 to Date
Broker-dealer Margin Credit versus S&P 500 Index, Monthly
from February 2003
St. Louis Financial Market Stress Index, 31 December
1993 to Date
Yale School of
Management One Year Stock Market Confidence Index, April
1999 to Date
Corporate Profits as a % of U.S. Gross Domestic Product
Euro Stock Index: Price, Earnings and Valuations,
Monthly from May 2001
UK FTSE Stock Index,
Price, Earnings and Valuations, May 1993 to Date
COMMODITY AND CURRENCY MARKET DATA
Commodity Spot
Prices versus U.S. Gross Domestic Product, 1969 to 2009
Crude Oil and
Heating Oil Prices, by month, December 2000 to Date
Crude Oil, Futures Activity Versus Price, January 1998 to
Date
Euro/U.S. Dollar
Exchange Rate, Monthly Average Spot Rates, January 1999 to
Date
Gold Prices and Returns on Gold versus Returns on U.S.
Stocks
Chinese renminbi/U.S.
Dollar Spot Exchange Rate, Monthly
from January 1981
Japenese yen/U.S. dollar Exchange Rate, 1971 to
Date
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Parametrics LLC
860.570.0270
P.O. Box 270770
West Hartford
CT 06127-0770
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