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The Real Returns Report, June 11 2012

The Real Returns Report, June 11 2012

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Published by: The Real Returns Report on Jun 11, 2012
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Page | 1
 
The
Real Returns
Report
Sometimes Contrarian, Always Data-Driven
 
VOL. 1, No. 21 JUNE 11, 2012
Contents Page
Update
Cheap Chinese!
I have added the Hang Seng Index to the Value Barometer (see thetop of page 3), and the timing is not incidental: Hong Kong shares arecheap right now! I strongly urge interested investors to look at thisopportunity more closely.As always, I welcome in any constructive feedback
 –
you can reachme at alex.dumortier@gmail.com.AD
1
 
Alex Dumortier, CFA
Contents Page
 
June 11, 2012
 
The Real Returns Report
 
Page | 2
 
Value Barometer
U.S. Equities
Currentvalue(06/08)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviationBroad Market/ Large-capsS&P 500, Equity qratio
0.70 1871
 –
2012 50% 0.64 0.69 0.25
S&P 500, P/E10
20.5 1881
 –
2012 78% 15.2 16.4 6.6
S&P 500, 10-yr realreturn
2.0% 1936
 –
2012 24% 6.7% 6.9% 5.6%
Equity volatilityVIX Index
21.2 1990 - 2012 60% 19.3 20.5 7.8Source: Federal Reserve Board of Governors, Robert Shiller, Russell Indexes, Standard & Poor's, The RealReturns Report
U.S. Fixed Income
Currentvalue(06/07)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviationHigh-YieldBofA ML High YieldMaster II Index,OAS
695 bps 1996
 –
2012 69% 538 bps 601 bps 305 bps
U.S. High YieldBonds, 10-yr realreturn
6.2% 1936
 –
2012 76% 3.6% 3.7% 3.4%Source: BofA Merrill Lynch, Federal Reserve Bank of St. Louis, Ibbotson Associates, The Real Returns Report
 
June 11, 2012
 
The Real Returns Report
 
Page | 3
 
Foreign Equities
Currentvalue(06/11)SerieslengthPercentilerankGeometricaverageArithmeticaverageStandarddeviationHang Seng Index(Hong Kong), P/E10
14.1 1996
 –
2012 13% 18.6 19.1 4.4Source: Hang Seng Indexes
Precious metals
GoldReal price, USD
$1,576.5 1970
 –
2012 96% $637.8 $709.4 $343.7
Real price, CHF
CHF 1,526.6 1970
 –
2012 95% CHF 766.9 CHF 830.8 CHF 354.9
10-yr real return,USD
14.1% 1979
 –
2012 89% 1.6% 1.9% 8.2%
10-yr real return,CHF
10.9% 1979
 –
2012 92% 0.6% 0.8% 6.9%
SilverReal price, USD
$28.2 1970
 –
2012 92% $12.4 $14.9 $11.2
10-yr real return,USD
15.9% 1980
 –
2012 93% (0.5%) (0.1%) 9.0%
Industrial metals
CopperReal price, USD
$7,480.3 1960
 –
2012 79% $4,832.3 $5,370.4 $2,494.3
10-yr real return,USD
13.2% 1970
 –
2012 95% (0.6%) (0.4%) 6.6%Source: LME, The Real Returns Report, The World Gold Council

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