Daily Archives: Dec 28, 2017 at 08:30 am EDT

Are Recent S&P 500 Returns Excessive? Part IV

In today’s final installment1 of evaluating the US stock market’s recent performance, the toolkit uses three alternative risk metrics: the Sterling Ratio, the Calmar Ratio, and the Omega Ratio. In the dark art of deciding if the current return is extreme or not, I crunched the numbers using two rolling periods: 5 years and 20 years. Depending on which window you favor, the market’s current performance looks middling or flying in the upper reaches relative to the historical record.
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Macro Briefing: 28 December 2017

Turkey’s president says Syria’s Assad is “terrorist” and should step down: CNN
Venezuela’s state oil company, a major producer, may be collapsing: NY Times
US holiday sales set to break records: Reuters
S. Korea considers tough new measures to limit bitcoin trading: CNN Money
US Consumer Confidence Index falls in Dec from 17-year high: AP
Pending Homes Sales Index for US rises in Nov: Reuters 
US 10yr-2yr Treasury yield curve close to decade low: Bloomberg