Stock/Bond Equity Doesn’t Signal much…

/Stock/Bond Equity Doesn’t Signal much…

Stock/Bond Equity Doesn’t Signal much…

By | 2017-08-18T16:56:40+00:00 August 6th, 2013|Macroeconomics Research|6 Comments

Do-It-Yourself tactical macro modules for August are posted.

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Macro Chart of the Month:


Equity/bond risk premiums are mid range on a historical scale…


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About the Author:

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes,, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.


  1. Andrew Miller
    Andrew Miller August 6, 2013 at 9:23 am

    I don’t think that it is the spread between the two that really matters, its how low the return is between any combination of S&P 500 and TRSY. What percentile historically is 60% Shiller E/P and 40% 10Y TRSY?

    • Wes Gray August 6, 2013 at 9:27 am

      True. GMO has an aptly titled article, “Purgatory of Low Returns.”

      • Andrew Miller
        Andrew Miller August 6, 2013 at 1:41 pm

        Thanks, I’m the geek that reads it within hours of being published. As a side note, the S&P 500 is exhibiting LPPL behavior. Have you done any reading about LPPL?

        • Wes Gray August 7, 2013 at 8:57 am

          is this what you are referring too? I have never heard of LPPL. Fascinating.
          I’ve been waiting for the market to blow up since March of 2009…with a long enough time series, maybe my prediction will come true. 😉

          • Andrew Miller
            Andrew Miller August 8, 2013 at 8:49 am

            That is what I was referring to. It might be worth reading some of Sornette’s work on SSRN. Given enough, the market will at some point trade at a Shiller P/E of 8 or so.

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