The August Blues

S&P 500 (Close)

T.Bond rate

6.56%

5.90%

5.91%

4.74%
4.27%

4.29%

Implied ERP (TTM)

Implied ERP (Inflation-adjusted average
earnings)
2.96%

3.02%

3.14% Baa Default Spread

Date
7/31/2015
8/3/2015
8/4/2015
8/5/2015
8/6/2015
8/7/2015
8/10/2015
8/11/2015
8/12/2015
8/13/2015
8/14/2015
8/17/2015
8/18/2015
8/19/2015
8/20/2015
8/21/2015
8/24/2015
8/25/2015
8/26/2015
8/27/2015
8/28/2015
8/31/2015
Change 8/17- 8/31
% Change

S&P 500 (Close)

2,103.84
2,098.04
2,093.32
2,099.84
2,083.56
2,077.57
2,104.18
2,084.07
2,086.05
2,083.39
2,091.54
2,102.44
2,096.92
2,079.61
2,035.73
1,970.89
1,893.21
1,867.61
1,940.51
1,987.66
1,988.87
1,972.18
-130.26
-6.20%

Expected Return (IRR)

8.08%
8.07%
8.15%
8.17%
8.17%
8.14%
8.12%
8.10%
8.10%
8.14%
8.13%
8.07%
8.10%
8.10%
8.17%
8.34%
8.57%
8.75%
8.56%
8.42%
8.41%
8.50%
0.43%
5.30%

T.Bond rate
2.18%
2.15%
2.23%
2.27%
2.22%
2.17%
2.23%
2.14%
2.15%
2.19%
2.20%
2.17%
2.19%
2.13%
2.07%
2.04%
2.01%
2.07%
2.18%
2.19%
2.18%
2.22%
0.05%
2.21%

Implied ERP (TTM)

5.90%
5.92%
5.92%
5.90%
5.95%
5.97%
5.89%
5.96%
5.95%
5.95%
5.93%
5.90%
5.91%
5.97%
6.10%
6.30%
6.56%
6.64%
6.38%
6.23%
6.23%
6.28%
0.38%
6.44%

Implied ERP
(Inflation-adjusted
average earnings)
4.27%
4.29%
4.29%
4.28%
4.31%
4.33%
4.27%
4.32%
4.32%
4.31%
4.30%
4.28%
4.29%
4.33%
4.42%
4.56%
4.74%
4.81%
4.63%
4.52%
4.52%
4.55%
0.27%
6.31%

Baa Default Spread

2.96%
2.93%
2.89%
2.91%
2.93%
2.92%
2.94%
2.95%
2.96%
2.99%
2.97%
2.96%
3.02%
3.05%
3.06%
3.11%
3.14%
3.22%
3.20%
3.14%
3.14%
3.12%
0.16%
5.48%

VIX
12.12
12.56
13.00
12.51
13.77
13.39
12.23
13.71
13.61
13.49
12.83
13.02
13.79
15.25
19.14
28.03
40.74
36.02
30.30
26.10
26.05
28.43
15.41
118.36%

Baa Rate
5.14%
5.08%
5.11%
5.18%
5.15%
5.09%
5.17%
5.09%
5.11%
5.17%
5.17%
5.13%
5.21%
5.18%
5.13%
5.15%
5.15%
5.29%
5.38%
5.33%
5.32%
5.34%
0.21%
4.09%