Lighthouse Investment Management

Macro Report
Economic Indicators - USA

December 2013

Macro Report - US Economic Indicators - December 2013

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Lighthouse Investment Management
Contents Summary ....................................................................................................................................................... 3 Lighthouse Recession Probability Index........................................................................................................ 4 Introduction .................................................................................................................................................. 5 Fed Funds Rate............................................................................................................................................ 10 Crude Oil ..................................................................................................................................................... 11 Construction: Building Permits ................................................................................................................... 12 Employment: Non-Farm Payrolls ................................................................................................................ 13 Employment: Establishment versus Household Survey ............................................................................. 14 Employment: Jobs Gained / Lost ................................................................................................................ 15 Employment: Jobs Gained/Lost (zoomed-in).............................................................................................. 16 Employment: Hire and Fire ......................................................................................................................... 17 Employment: Initial and Revised Non-Farm Payrolls.................................................................................. 18 Employment: Full Time ............................................................................................................................... 19 Employment: Population, Labor Force, Employees .................................................................................... 20 Employment: Labor Force Participation Rate ............................................................................................. 21 Employment: Unemployment..................................................................................................................... 22 Consumer Confidence: University of Michigan Survey............................................................................... 23 Consumer Confidence: Conference Board Survey ...................................................................................... 24 Credit: Total Outstanding............................................................................................................................ 25 Credit: Bank Loans and Leases .................................................................................................................... 26 Retail Sales: Nominal .................................................................................................................................. 27 Retail Sales: Real ......................................................................................................................................... 28 Retail Sales: Real per-capita ........................................................................................................................ 29 Retail Sales: Excluding Autos ...................................................................................................................... 30 Manufacturing: Hours Worked ................................................................................................................... 31 Manufacturing: Orders ............................................................................................................................... 32 Orders: Capital Goods ................................................................................................................................. 33 Manufacturing: Supplier Deliveries ............................................................................................................ 34 Energy: Consumption.................................................................................................................................. 35 Energy: Production...................................................................................................................................... 36 Transportation: Miles Traveled................................................................................................................... 37 Transportation: Gasoline Consumption...................................................................................................... 38 Income: Real Disposable Income per Capita .............................................................................................. 39 Inflation: Consumer & Producer Prices....................................................................................................... 40 Inflation Expectations ................................................................................................................................. 41

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Summary

The "Good": • Decent recovery of civilian employment in November • Labor force participation rate improved slightly in November • University of Michigan Consumer Sentiment improved significantly • Retail sales growth accelerated further in November The "Bad": • Slow-down in growth of single-family house building permits from October • Growth of bank loans and leases slowed to 0.2% (past 3 months annualized) • Auto sales growth over past 3 months declined from +17% to +3% since August • Core capital goods order growth slowed down in October • Growth of real disposable income per capita remains around 1%

CONCLUSION: The probability for recession remains low. However, economic growth remains weak. Stagnation of bank credit and fiscal drag from a swift reduction in the US budget deficit could dampen growth in 2014. Macro Report - US Economic Indicators - December 2013 Page 3

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Lighthouse Recession Probability Index

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Introduction
Recessions are bad for company profits and hence stock prices. Knowing when an economic slow-down looms can give important clues about asset class selection. In the US, the beginning and the end points of recessions are declared by the NBER (National Bureau of Economic Research). The NBER defines recessions as a "significant decline in economic activity spread across the economy" (not, as often believed, as two consecutive quarters of negative GDP growth). The NBER takes it's time to date the beginning and the end of a down-turn; it announced the beginning of the last recession (December 2007) only on December 1, 2008 - one year later. By that time, the S&P 500 Index had fallen from 1,575 points to 741. Similarly, the end of the recession in June 2009 was announced on September 20, 2010 - more than one year later. By that time, the S&P 500 had already soared from 940 points to 1,142. Waiting for the NBER to declare beginning and end of recessions would have led to inferior investment results (the NBER is correct in taking it's time, since many economic indicators are being revised multiple times as preliminary data gets updated). Traditional leading indicators include values such as the stock market and the slope of the yield curve. However, the stock market does not seem very good at anticipating recessions, as the S&P 500 index marked an all-time high in mid-October 2007, a mere six weeks before the most severe recession of the last 8 decades began. The yield curve has historically been a very good warning sign of recessions, as the Federal Reserve Bank was forced to increase short-term rates in order to cool an overheating economy (thereby triggering a recession). However, with short-term interest rates near zero for the foreseeable future, the yield curve could only invert if long-term yields dipped into negative territory. While not entirely impossible (negative yields for up to 2 year maturities have been observed in German, Swiss, Danish and other government bond markets) it is very unlikely to happen in US Treasuries. Therefore, the slope of the US yield curve is unlikely to give any hints about a recession occurring under ZIRP (zero-interest-ratepolicy). Indicators published by other institutions, such as ECRI (Economic Cycle Research Institute), are proprietary and not transparent, giving investors only the choice to "believe-it-or-leave-it". The Conference Board Leading Indicator includes questionable values such as the S&P 500 Index, the slope of the US yield curve and M2 money supply (which we have found to have little correlation with economic cycles). As most recessions last rarely longer than a year, the economy usually had already exited a recession by the time the NBER declared it to be in one. Macro Report - US Economic Indicators - December 2013 Page 5

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Revisions to GDP growth render it useless for investment purposes; On August 28, 2008 (already 8 months into the "great recession"), Q2 2008 GDP growth was revised upwards from an initial +1.9% to +3.3%, triggering a 2% stock market rally. Later, growth was revised down to 1.3%, with the following quarters delivering -3.7%, -9.2% and -5.4% (quarter-on-quarter, annualized). The S&P 500 Index didn't regain the level attained that day for another 2 1/2 years. Finding a reliable indicator for identifying recessions "real-time" would already be a great improvement over waiting for the NBER. Over the past 50 years, every recession was easily explained by two factors: oil and the Fed.

Unfortunately, this does not have to be the case going forward. Due to impotence of monetary policy at the lower zero bound and rapidly increasing government debt the Fed might not be able to raise rates in the foreseeable future. A recession might hence happen without prior tightening by the Fed. We looked at many indicators from every angle; most had to be smoothed to cancel out short-term "noise" in order to prevent false signals (we use 3-months moving averages). Some indicators do not reveal useful signals unless you look at decline from recent peaks. Other data needs to be trend adjusted (number of miles driven, for example, benefits from rising number of cars and population). The table on the following page shows indicators we have tested. Our criteria: • • • • false positives (calling for a recession when there was none) false negatives (missed a recession) confidence it will work in the future and lead / lag time

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No two recessions are the same. Trigger levels can be too strict (missing some recessions) or too lose (giving too many false positives). We therefore created a range. The lower ("strict") boundary is the level necessary to avoid false positives; the upper ("lenient") boundary is the level necessary to catch all recessions. A high-quality indicator will have a narrow range, and recessions will be called with high confidence. An indicator at the upper boundary will be awarded a 50% probability, increasing towards 100% at the lower boundary. The overall "Lighthouse Recession Probability Indicator" (LRPI) is a weighted mean of individual indicators. High confidence and timeliness of signal have been awarded higher weights (maximum: 3) then those with low confidence or tardiness (minimum: 1). On the following page you see the LRPI since 1971, predicting every recession (assumed once 40%-50% probability is exceeded). The Federal Reserve Bank of St. Louis publishes a recession probability indicator by Chauvet / Piger (black line). It is based on four inputs (non-farm payrolls, industrial production, real personal income and real manufacturing and trade sales). However, the most recent data point for Chauvet/Piger is usually three months old, while LRPI is constantly updated (1 months old data). You can see that LRPI shows first warnings signs much earlier than Chauvet/Piger. In a recent response to a blog post, Chauvet clarified their indicator calls for a recession only "after exceeding 80% for a couple of months". Additionally, their indicator is "smoothed" as the raw data can reach 70% (2003/4) without being followed by a recession. Their indicator initially showed a recession probability of 20% for August 2012, only to be revised down to 1.7% six months later.

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Verification of LRPI: We set 40% as threshold for the LRPI to indicate a buy (recession probability <40%) or sell (>40%) signal. Transactions have been done at the monthly closing price of the S&P 500 following the month for which the signal occurred (in order to accommodate time lag):

An investor using the LRPI as a trading tool would have suffered only one loss of 7% (August 1980) while avoiding the dot-com crash (2001) and the 'great recession' (2008-2009). The system creates no unnecessary churn. While the control group ('buy-and-hold') would have created a higher return (with higher volatility) this might be due to the test period coinciding with one of the longest bull markets in history (1982-2000).

Annex: LRPI Components Please find charts for all contributors to the LRPI on the following pages.

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Fed Funds Rate

The US central bank ("Fed") increased interest rates ahead of each of the last 9 recessions. The black line shows the absolute level of the Fed Funds rate; the blue line the increase from the prior post-recession low. An increase between 2 and 4.5 percentage points from the previous low preceded every recession since 1954. Recessions are shaded in gray. Yellow dots indicate the beginning of a recession; green dots the end. The absolute level (black line) is usually on the right-hand scale, while percentage changes (blue line) are on the left-hand scale. Negative absolute numbers should be ignored as they are merely needed for better formatting. This indicator has a double weighting in the Lighthouse Recession Probability Indicator.

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Crude Oil

• • • • •

An increase in the price of crude oil of 75% to 100% preceded five out of the last six recessions. Close call in March 2011 and February 2012. Currently not a red flag. Crude oil would have to rise above $113/barrel in order to trigger an early warning. This indicator has a triple weighting in the LRPI

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Construction: Building Permits

Want to build a house? Need a permit! Any decline in permits of 25%+ from prior peak and you can bet on a recession. Missed the one in 2001 though. 2011 was a close call. Absolute level still below 1990/91 recession lows (despite US population growth from 250m then to 316m in 2013). Currently no red flag. However, it needs to be seen how rising mortgage rates will impact the housing market going forward. This indicator has a triple weighting in the LRPI.

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Employment: Non-Farm Payrolls

The number of people on "payroll", or employed, is a good proxy for the health of the economy. You can see the long "valleys" of lost payrolls after recent recessions compared to earlier ones. A decline of more than 1% from previous peak payroll level indicates a recession. There have been no misses and no false positives; even the "tricky" back-to-back recessions in 1980 and 1982 have been called correctly by this indicator. The payroll report, also known as "Establishment Survey", is based on a sample of a third of US payrolls (>40 million). The "Household Survey" (next page) consists of a sample of only 60,000 households. Over time, it leads to similar results, but is more volatile. Does counting jobs reflect the actual picture of the economy? Only 47% of all working-age Americans have full-time jobs. Since 2007, six million full-time jobs have been lost, but 2.5 million part-time jobs gained. Part-time jobs often come without "benefits" such as health insurance. From peak employment (Q1 2008) to Q1 2010 1.2 million "higher-" wage jobs (median hourly wage $21-54) have been lost; in the subsequent 2 years only 0.8 million have been recreated. While almost 4 million mid-wage jobs ($14-21) have been lost, only 0.9m have reappeared. Among lower wage jobs ($7-$14), 1.3 million have been lost, but 2 million gained. This indicator has a triple weighting in the LRPI. Macro Report - US Economic Indicators - December 2013 Page 13

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Employment: Establishment versus Household Survey

The National Bureau of Economic Research (NBER) uses the average of the Establishment and Household Survey in order to determine recessions.

The large drop in civilian employment in October apparently was due to government-related jobs (government shut-down due to debt ceiling debate). However, there also was a noticeable drop in non-government related jobs. The Establishment Survey showed none of this.

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Employment: Jobs Gained / Lost

Current monthly payroll growth of 191,000 (12 months average) indicates zero probability of recession.

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Employment: Jobs Gained/Lost (zoomed-in)

The margin of error for monthly payroll data from the Establishment Survey is around 100,000, and revisions can be up to 300,000

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Employment: Hire and Fire

Each month, more than 4 million people are newly employed and more than 4 million people quit their job or are fired. These are big numbers compared to the balance between those two (the monthly change in non-farm payrolls). The difference between those two lines are the net changes in employment (lower chart). You will notice less separations (fewer employees resign) during the 'great recession'; unemployment rose simply because new hires fell even faster. The US labor market is very dynamic, as more than 1/3 of total employees (4.2m x 12 = 50m) change jobs each year.

• •

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Employment: Initial and Revised Non-Farm Payrolls

This chart shows monthly changes in employment as initially reported (black dotted line), the revised number (thick black line) and the difference between the two (green/red chart, right-hand scale). During the last recession (we didn’t know we were in one yet), monthly employment numbers were revised downwards by up to 273,000. In Q3 2008, revisions were -159k, -190k and -273k (that was before Lehman had happened).

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Employment: Full Time

The overall employment picture may be misleading, as higher paying full-time jobs are usually being replaced with part-time jobs during a recession. Part-time jobs come without healthcare benefits, forcing employees to cover their own medical expenses (leaving less money for consumption). Recent data of full-time employees had some unusual swings:

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Employment: Population, Labor Force, Employees

The growth rates of population, working age population, labor force and employment are slowing down. The unemployment rate is helped by high number of drop-outs from the labor force. November saw gains for employment via labor force and reduction in unemployment:

• •

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Employment: Labor Force Participation Rate

The US unemployment rate is declining thanks to a decline in the 'labor force participation rate' (people with jobs relative to people who could potentially work). Many have exhausted their unemployment benefits, have left the workforce and are not counted as unemployed.

Large numbers have applied for disability insurance, removing those folks permanently from the labor market (as opposed to unemployment, which usually is temporary). Economic growth depends on decent increases in employment and real incomes - none of which is occurring. Page 21

Macro Report - US Economic Indicators - December 2013

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Employment: Unemployment

• •

Less than half of the US population (49%) is in the labor force, and 45.5% are employed The share of population not in the labor force (children, home makers, discouraged workers, disability, retired) keeps rising, especially since the 'great recession' An ageing population explains only part of the observation. Instead, the number of people on disability insurance increased by 2.5 million since 2008. Expiration of unemployment benefits might have motivated some to apply for disability insurance. In contrast to unemployment, disability is permanent, meaning those folks have left the labor force for good. Since 2007, the number of people not in the labor force has increased by 13 million to 90 million, leading to less tax revenues and higher transfer payments for the government.

Elevated drop-outs from the labor force lead to under-reporting of the unemployment rate. Without those drop-outs from the labor force, the unemployment rate in November would have been 15.3% (instead of 7.0%). Macro Report - US Economic Indicators - December 2013 Page 22

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Consumer Confidence: University of Michigan Survey

The University of Michigan, together with Thompson-Reuters, conducts more than 500 telephone interviews twice a month to gauge consumer sentiment, with a reference point from 1964 set to 100. A preliminary mid-month survey is followed up by a final one towards the end of the month. The indicator had one false positive (2005) and one miss (1981; the 1980-1981 recessions were back-to-back, so let's not be too harsh about that). A decline of 25%+ from previous peak indicates a recession. 2011 was a close call. This indicator has a triple weighting in the LRPI and does currently not deliver a warning.

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Consumer Confidence: Conference Board Survey

The Conference Board, an independent business membership and research association, conducts a survey of consumer confidence by mailing out surveys to more than 3,000 randomly selected households. The cut-off date for a preliminary number is the 18th of the months. The final number includes all surveys returned after that date. The indicator had two false positives (1992, 2003), but it did catch all recessions including the ones in 1981/2 and 2001 (difficult for a lot of other indicators). 2011 was a "close call". This indicator has a double weighting in the LRPI and currently does not raise any red flags.

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Credit: Total Outstanding

Most recessions have been accompanied by a reduction in the growth of debt. For the first time in 60 years, debt actually shrunk in 2009, when a mere 2% reduction caused a massive recession (or did the recession cause debt to shrink?). I have included the 1987 stock market crash (red triangle). A dramatic revelation dawns: economic growth is dependent on credit (debt) growth; without additional debt, growth is impossible. Unfortunately, data becomes available only once every quarter, with the latest data often many months old. To ensure timeliness for our LRPI we had to exclude this measure, however present it here for informational purposes.

Q2'09 saw the peak of TCMDO relative to GDP (374%). Year-over-year growth peaked in Q3'07 at 10.6% (when the S&P 500 hit its previous all-time-high of 1,575). Macro Report - US Economic Indicators - December 2013 Page 25

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Credit: Bank Loans and Leases

• • • •

Since 1971, growth of loans and leases below 2% has been associated with recessions Securitization and shadow banking might be able to mitigate the effects of slowing bank lending However, slowing lending is always a concern in a credit-based economy We have not yet incorporated this data into our recession indicator

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Retail Sales: Nominal

For the LRPI, we have replaced this indicator with "real retail sales" (see next page). Nominal retail sales include inflation, and hence say little about volume growth. The growth rate has recently picked up a bit:

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Retail Sales: Real

• •

No recession signal currently; this indicator has a triple weight in the LRPI Real retail sales growth has recently improved:

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Retail Sales: Real per-capita

• • •

Real per-capita retails sales are still 5% below their pre-recession peak No recession signal Rate of growth has recently improved:

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Retail Sales: Excluding Autos

Monthly auto sales, at $80 around 1/5th of total retail sales, continue to benefit from very low interest rates, abundant credit and deep-subprime used-car loans. Over the past three months, auto sales grew at 3% annualized (August: +17%).

• •

In Q4 2012, 45% of all car financings were subprime (FICO score <660) Car sales could fall significantly if car manufacturers (respective their financing subsidiaries) and consumers lose access to cheap credit.

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Manufacturing: Hours Worked

• •

Companies prefer to reduce employee's working hours rather than firing them straight away A drop in average weekly working hours in the manufacturing sector of 2% or more indicates a recession (except for 1996); the indicator carries a double weight in the LRPI

Hours and earnings have recently improved

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Manufacturing: Orders

The Institute for Supply Management (ISM) regularly asks company executives about orders, sales, inventories etc. A level of 50 indicates "unchanged" (economy stagnates). This indicator delivered one false positive (1989).

• •

This indicator carries double weighting in the LRPI and currently does not give a warning sign.

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Lighthouse Investment Management
Orders: Capital Goods

Defense and aircraft orders are lumpy and distort trends, so we exclude them here. We have "medium" confidence in this indicator due to limited historic data. The "red zone" has been set at -5% to 0%. The indicator carries a single weight in LRPI. Currently no warnings sign. Defense and aircraft orders are more than twice as much as the core

Growth in core capital goods orders has recently slowed down a bit.

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Manufacturing: Supplier Deliveries

Multiple false positives (1985, 1989, 1995, 1998, 2005) muddy the water. Therefore, this indicator has been slapped with "low" confidence and a corresponding single weighting.

The current reading suggests little growth in manufacturing supplier deliveries, but does not give a recession warning.

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Energy: Consumption

If you run a business you need electricity. Weather can have an impact as electricity use in the US peaks in summer due to air conditioning. If electricity usage drops by 1% or more, it's a recession Limited historic data, but no misses and no false positives

• •

Current data puts the likelihood of recession at 100% "Electricity usage" carries a single weighting in the LRPI

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Energy: Production

Electricity production should be linked to economic growth. This indicator, unfortunately, had many false positives (1983, 1992, 1997, 2006), so confidence is "medium"; recent data revisions of up to 2.5% magnitude dent confidence further. Setting the trigger lower than -0.5% would eliminate false positives, but make you also miss some recessions.

In November, electricity production fell by 1.8%, suggesting we are in a recession with 100% likelihood The indicator carries a single weighting in the LRPI

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Transportation: Miles Traveled

The US population grows by 2.25m people (0.7%) per annum, so traffic increases constantly. If total miles driven grow less than 0.1% versus its own trend, you are likely to be in a recession (the unemployed drive less). The 2001 recession was missed. This indicator says we had a recession in 2011 (which is theoretically possible - we might not know it yet). The prolonged decline in miles traveled since 2007 is puzzling; the decline being deeper than the back-to-back recession 1980/81. Online shopping, car pooling and workfrom-home jobs might have contributed to this trend. A recent poll indicated young Americans are less keen on acquiring a driver's license than one or two decades ago. Unfortunately, data is made available only with a time lag of three months. This, combined with lower confidence, made us exclude this indicator from the LRPI. In March, historic data has been revised going back for years, denting confidence in this indicator further.

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Transportation: Gasoline Consumption

Cars need gas, and gas needs to be delivered to gas stations; inventory effects are unlikely because of high turnover "Low" confidence because of false positive (1996) and limited historic data The harsh decline in 2012 is puzzling (recovered since then) Some US cities are upgrading their public bus fleet onto natural gas, potentially contributing to the decline in gasoline consumption This indicator is currently giving 0% likelihood of recession

• • •

This indicator is related to "miles driven", confirming trends on one hand, but being redundant on the other. It has therefore been excluded from LRPI.

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Income: Real Disposable Income per Capita

Income growth has slightly accelerated over the last few months

Given low growth of real incomes, consumption can grow only if consumers dip into savings (difficult if no savings present) or take on additional debt The stagnation of real incomes is the main reason for slow economic growth in the US

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Inflation: Consumer & Producer Prices

• •

Declining producer prices signify no risk of accelerating inflation any time soon The only way for the Fed to generate inflation might be via a devaluation of the dollar (in order to import inflation via rising import prices)

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Inflation Expectations

Real yield = nominal yield minus inflation. Resolving the equation for inflation you get: inflation = nominal yield minus real yield The break-even rate of inflation is the rate at which it does not matter if you bought Treasury bonds or TIPS. The chart shows implied inflation rates for the next 5 (red), 10 (blue) and 30 (black) years. The "expected" rate of inflation is not a forecast; it may or may not come true (market expectations change). The stock market is, at times, highly correlated to changes in the expected rate of inflation. Inflation expectations have declined over the past month:

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Any questions or feedback highly welcome. Alex.Gloy@LighthouseInvestmentManagement.com
Disclaimer: It should be self-evident this is for informational and educational purposes only and shall not be taken as investment advice. Nothing posted here shall constitute a solicitation, recommendation or endorsement to buy or sell any security or other financial instrument. You shouldn't be surprised that accounts managed by Lighthouse Investment Management or the author may have financial interests in any instruments mentioned in these posts. We may buy or sell at any time, might not disclose those actions and we might not necessarily disclose updated information should we discover a fault with our analysis. The author has no obligation to update any information posted here. We reserve the right to make investment decisions inconsistent with the views expressed here. We can't make any representations or warranties as to the accuracy, completeness or timeliness of the information posted. All liability for errors, omissions, misinterpretation or misuse of any information posted is excluded. +++++++++++++++++++++++++++++++++++++++ All clients have their own individual accounts held at an independent, well-known brokerage company (US) or bank (Europe). This institution executes trades, sends confirms and statements. Lighthouse Investment Management does not take custody of any client assets.

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