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Page | 1
 
The
Real Returns
Report
Non-Consensus, Data-Driven Analysis
 
VOL. 1, No. 19 MAY 29, 2012
Contents Page
Update 1  Value Barometer
 –
Equities & Bonds 2  Value Barometer
 –
Metals 3 
Update
There is no commentary this week due to the Memorial Day weekend;however, I'd like to point out that I've added copper to the ValueBarometer, which brings the number of series for which I ampublishing statistics to 16. In spite of its dreadful performance overthe last several months, the red metal has produced an extraordinaryannualized real return of 14% over the past ten years
 –
if that isn'tevidence of a commodities super-cycle, I don't know what is!Enjoy the abbreviated week.AD
1
 
Alex Dumortier, CFA
alex.dumortier@gmail.com
 
linkedin.com/in/alexdumortier 
Contents Page
Value Barometer - Energy 4  License/ Disclaimer 5 
 
May 28, 2012
 
The Real Returns Report
 
Page | 2
 
Value Barometer
U.S. Equities
Currentvalue(05/25)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviationBroad Market/ Large-capsAggregate U.S.equities, Equity qratio
0.95 1945
 –
2011 84% 0.66 0.71 0.26
S&P 500, Equity qratio
0.70 1871
 –
2012 49% 0.64 0.69 0.25
S&P 500, P/E10
20.5 1881
 –
2012 78% 15.2 16.4 6.6
Small-capsSmall-caps:Russell 2000, P/E10
28.9 2003 - 2012 27% 30.1 30.6 5.0Source: Federal Reserve Board of Governors, Robert Shiller, Russell Indexes, Standard & Poor's, The RealReturns Report
U.S. Fixed Income
Currentvalue(05/24)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviationHigh-YieldBofA ML High YieldMaster II Index,OAS
662 bps 1996
 –
2012 66% 538 bps 600 bps 306 bps
U.S. High YieldBonds, Trailing 10-yr return
6.1% 1936
 –
2012 75% 3.6% 3.7% 3.4%Source: BofA Merrill Lynch, Federal Reserve Bank of St. Louis, Ibbotson Associates, The Real Returns Report
 
May 28, 2012
 
The Real Returns Report
 
Page | 3
 
Value Barometer (cont.)
 
Currentvalue(05/25)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviation
Precious metals
GOLDReal price, USD
$1,574.6 1970
 –
2012 96% $634.8 $705.5 $336.8
Real price, CHF
CHF 1,506.6 1970
 –
2012 95% CHF 767.0 CHF 830.8 CHF 354.3
Trailing 10-yr realreturn, USD
14.3% 1979
 –
2012 89% 1.5% 1.8% 8.1%
Trailing 10-yr realreturn, CHF
10.8% 1979
 –
2012 92% 0.5% 0.8% 6.9%
SILVERReal price, USD
$28.2 1970
 –
2012 92% $12.4 $14.8 $11.2
Trailing 10-yr realreturn, USD
16.3% 1980
 –
2012 94% (0.6%) (0.1%) 9.0%
Industrial metals
COPPERReal price, USD
$7,739.0 1960
 –
2012 82% $4,810.7 $5,346.9 $2,487.3
Trailing 10-yr realreturn, USD
14.0% 1970
 –
2012 96% (0.6%) (0.4%) 6.6%Source: Kitco, LME, The Real Returns Report, The World Bank
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