Data Insights: Global Equity Risk Premia Friday, March 28, Source: Bloomberg, TrendMacro calculations

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1 Trend Macrolytics, LLC Donald Luskin, Chief Investment Officer Thomas Demas, Managing Director Michael Warren, Energy Strategist Data Insights: Global Equity Risk Premia Friday, March 28, 2016 Global leader-board: by equity risk premium, value, and growth Best Worst Rank Equity risk premium Forward PE ratio Fwd earnings upgrade rate Fwd sales upgrade rate By SD from crisis era mean Trailing 90 days, AR Trailing 90 days, AR By country By country By country By country 1 Japan: Nikkei Russia: MICEX 6.4 Turkey: Istanbul +19% Italy: MIB +74% 2 Taiwan:TWSA Turkey: Istanbul 8.9 Indonesia:JCI +4% India: SENSEX +14% 3 Germany: DAX HK: Hang Seng 10.5 Japan: Nikkei -7% Indonesia:JCI +5% 4 HK: Hang Seng Korea: KOSPI 11.3 US: S&P 500-8% UK: FTSE +4% 5 Italy: MIB Germany: DAX 12.1 Germany: DAX -8% US: S&P 500-1% 6 Korea: KOSPI China: Shanghai SE 12.3 Taiwan:TWSA -10% Turkey: Istanbul -3% 7 Turkey: Istanbul Brazil: Bovespa 12.8 Korea: KOSPI -11% France: CAC -3% 8 France: CAC Spain: IBEX 13.1 India: SENSEX -12% Korea: KOSPI -3% 9 Australia: ASE Taiwan:TWSA 13.2 France: CAC -12% Spain: IBEX -3% 10 Spain: IBEX Italy: MIB 13.3 Russia: MICEX -13% Taiwan:TWSA -4% 11 China: Shanghai SE France: CAC 13.8 Australia: ASE -15% Japan: Nikkei -4% 12 Russia: MICEX India: SENSEX 15.5 UK: FTSE -16% Germany: DAX -5% 13 Canada:TSX Japan: Nikkei 15.5 Netherlands: AEX -22% Brazil: Bovespa -10% 14 India: SENSEX UK: FTSE 15.5 Spain: IBEX -23% Canada:TSX -13% 15 US: S&P Australia: ASE 15.9 China: Shanghai SE -23% Australia: ASE -18% 16 Indonesia:JCI Indonesia:JCI 16.2 HK: Hang Seng -24% Netherlands: AEX -18% 17 Netherlands: AEX Netherlands: AEX 16.2 Italy: MIB -25% HK: Hang Seng -18% 18 UK: FTSE US: S&P Brazil: Bovespa -30% China: Shanghai SE -19% 19 Brazil: Bovespa Canada:TSX 16.9 Canada:TSX -34% Russia: MICEX -30% US, by style US, by style US, by style US, by style 1 S&P Smallcap S&P 500 Value 15.0 S&P 500 Growth +1% S&P Smallcap +10% 2 S&P Midcap S&P S&P Smallcap -2% S&P 500 Growth +6% 3 S&P 500 Value S&P Midcap 17.8 S&P 500-8% S&P Midcap +2% 4 S&P S&P 500 Growth 18.4 S&P Midcap -8% S&P 500-1% 5 S&P 500 Growth S&P Smallcap 18.5 S&P 500 Value -14% S&P 500 Value -5% US, by sector US, by sector US, by sector US, by sector 1 Telecom Financial 13.0 Consumer Disc +7% Financial +14% 2 Consumer Disc Telecom 13.9 Health Care +4% Info Tech +7% 3 Financial Health Care 14.8 Info Tech +4% Consumer Disc +5% 4 Industrial Industrial 15.9 Industrial +4% Industrial +5% 5 Health Care Info Tech 15.9 Telecom +3% Health Care +4% 6 Info Tech Materials 17.1 Consumer Stap -2% Consumer Stap -1% 7 Materials Consumer Disc 17.5 Utilities -2% Telecom -5% 8 Utilities Utilities 17.5 Financial -13% Utilities -13% 9 Consumer Stap Consumer Stap 20.6 Materials -26% Materials -13% 10 Energy Energy 51.8 Energy -90% Energy -41% Copyright 2016 Trend Macrolytics LLC. All rights reserved. This document is not to be forwarded to individuals or organizations not authorized by Trend Macrolytics LLC to receive it. For information purposes only; not to be deemed to be recommendations for buying or selling specific securities or to constitute personalized investment advice. Derived from sources deemed to be reliable, but no warranty is made as to accuracy.

2 Equity risk premium: forward earnings yield minus bond yield, July 2007 to current Standard deviations from crisis-era mean First, High, Low, Last US by style (vs 30y Treasury) US by S&P 500 sector Canada, Europe (vs 10y gov) Pacific/EM (vs 10y gov) S&P Consumer Disc 0.51 Canada TSX 0.04 Japan: Nikkei 0.94 S&P 500 (vs 10Y) Consumer Stap UK: FTSE Australia: ASE 0.37 S&P 500 (vs. Corp) -0.3 Energy Germany: DAX 0.87 China: Shanghai SE 0.18 S&P 500 Growth Financial 0.35 France: CAC 0.48 Hong Kong: Hang Seng 0.74 S&P 500 Value Health Care 0.09 Netherlands: AEX Korea: KOSPI 0.56 S&P Midcap 0.29 Industrial 0.12 Italy: MIB 0.67 Taiwan: TWSE 0.91 S&P Smallcap 0.49 Info Tech 0.08 Spain: IBEX 0.28 Indonesia: JCI Snapple-0.35 Materials EABank: STOXX FR10Y 0.74 India: SENSEX Brazil: Bovespa (v. 3yr) -1.5 Turkey: Istanbul (v 7yr) 0.55 Russia: MICEX

3 EPS: forward consensus, bottom-up, July 2007 to current First, High, Low, Last US by style US by S&P 500 sector Canada, Europe Pacific/EM S&P 500 Consumer Discretionary Canada: TSX Japan: Nikkei Consumer Staples UK: FTSE Australia: ASE Energy Germany: DAX China: Shanghai SE S&P 500 Growth Financial France: CAC Hong Kong: Hang Seng S&P 500 Value Health Care Netherlands: AEX Korea: KOSPI S&P Midcap Industrial Italy: MIB Taiwan: TWSE S&P Smallcap Information Technology Spain: IBEX Indonesia: JCI Snapple Materials EA Banks: STOXX India: SENSEX Brazil: Bovespa Turkey: Istanbul Russia: MICEX 3

4 P/E ratio: forward consensus, bottom-up, July 2007 to current First, High, Low, Last US by style US by S&P 500 sector Canada, Europe Pacific/EM S&P 500 Consumer Discretionary Canada: TSX Japan: Nikkei Consumer Staples UK: FTSE Australia: ASE Energy Germany: DAX China: Shanghai SE S&P 500 Growth Financial France: CAC Hong Kong: Hang Seng S&P 500 Value Health Care Netherlands: AEX Korea: KOSPI S&P Midcap Industrial Italy: MIB Taiwan: TWSE S&P Smallcap Information Technology Spain: IBEX Indonesia: JCI Snapple Materials EA Banks: STOXX India: SENSEX Brazil: Bovespa Turkey: Istanbul Russia: MICEX 4

5 Benchmark bond yields, July 2007 to current First, High, Low, Last US Canada, Europe Pacific/EM 30-year Treasury Canada 10-year govt Japan: 10-year govt 10-year Treasury UK: 10-year govt Australia: 10-year govt Moody's Corporate Avg Germany: 10-year govt China: 10-year govt France: 10-year govt Hong Kong: 10-year govt Netherlands: 10-year govt Korea: 10-year govt Italy: 10-year govt Taiwan: 10-year govt Spain: 10-year govt Indonesia: 10-year govt India: 10-year govt Brazil: 3-year govt Turkey: 7-year govt Russia: 10-year govt 5

6 Daily S&P 500 equity risk premium in the crisis era --- Crisis era mean --- Pre-crisis mean Downtrends Recession 8% 7% 6% 5% 4% 3% 2% Nov March November Jun Oct Aug Feb S&P 500 market cap difference between the means: 47.8% 1% Jul 07 Jul 08 Jul 09 Jul 10 Jul 11 Jul 12 Jul 13 Jul 14 Jul 15 Versus 30-year Treasury Source: Bloomberg, NBER, TrendMacro calculations A century-plus of the monthly S&P 500 equity risk premium Feb % Yield-cap era Aug Oct % 5% Decade mean S&P 500 Equity Risk Premium 10-year moving average MA from 1900 Oct Jun Mar Crisis mean BushObama years Pre-crisis mean 0% QE era Post-1961 mean ReaganClinton years JohnsonNixonCarter years -5% Versus 30-year Treasury Source: Various, TrendMacro calculations 6

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