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Duck Test

Grant Williams

Things that make you go

www.ttmygh.com

US GDP vs Total Credit Instruments


1949 - 2014

Recession

60,000

50,000

40,000

30,000

20,000

10,000

0
1950

1960

1970

1980

1990

2000

2010
Source: St. Louis Fed

S&P500
2011 - 2016

2200

2100

2000
1900
1800
1700
1600
1500
1400
1300
1200
1100
2011

2012

2013

2014

2015
Source: Bloomberg

MSCI World Index


2011 - 2016

1850

H
S

1750

1650

1550

1450

1350

1250

1150

1050
2011

2012

2013

2014

2015
Source: Bloomberg

Germany Dax Index


2000 - 2016

13000

12000

11000

10000

9000

8000

7000

6000

5000
2011

2012

2013

2014

2015

2016
Source: Bloomberg

Central Bank Total Assets


Fed/BoJ/SNB/BoE/ECB/PBoC
2006 - 2016
6,000,000

QE3 Ends

5,000,000

4,000,000

3,000,000

2,000,000

1,000,000

0
2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016
Source: Bloomberg

US Dollar Index
May 2009 - Jun 2014

90

85

80

75

70
2009

2010

2011

2012

2013

2014
Source: Bloomberg

Global Debt
Q4 2000 - Q4 2014

$40 Trillion
$57 Trillion

$33 Trillion

$56 Trillion

$38 Trillion
$19 Trillion
$26 Trillion

$58 Trillion
$33 Trillion

$22 Trillion
$20 Trillion
Q4 2000

$37 Trillion
Q4 2007

$45 Trillion

Q4 2014
Source: McKinsey: Debt and (not much) Deleveraging

Total Central Bank Assets


1995 vs 2015

2015

$21.0 trillion

1995

1995

$2.1 trillion
Source: David Stockman

S&P500
2500

1978 - 2016

2000

1500

1000

500

0
1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016
Source: Bloomberg

US Corporate Profits (with IVA & CCA YoY %)


1986 - 2015

60
50
40
30
20
10
0
-10
-20
-30
-40

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014 2015t
Source: Bloomberg

US Dollar Index Post-QE3


Oct 2014 - Feb 2016

102
100
98
96
94
92
90
88
86
84
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16
Source: Bloomberg

US Dollar Index
1976 - 2016

155
150
145
140
135
130
125
120
115
110
105
100
95
90
85
80
75
70

1976

1981

1986

1991

1996

2001

2006

2011

2016
Source: Bloomberg

S&P500 Post-QE3
Oct 2014 - Feb 2016

2150

2100

2050

2000

1950

1900

1850

1800
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16

S&P500 Price/Earnings Ratio


2006 - 2015

25

20

QE3 Ends

15

10
2006

2007

2008

2009

2010

2011

2012

2013

2014

2015
Source: Bloomberg

MSCI World Index Post-QE3


Oct 2014 - Feb 2016

1815
1805
1795
1785
1775
1765
1755
1745
1735
1725
1715
1705
1695
1685
1675
1665
1655
1645
1635
1625
1615
1605
1595
1585
1575
1565
1555
1545
1535
1525
1515
1505
1495
1485
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16
Source: Bloomberg

MSCI World Index


2011 - 2016

1850

QE3 Ends
1750

1650

1550

1450

1350

1250

1150

1050
2011

2012

2013

2014

2015
Source: Bloomberg

HYG Post-QE3
Oct 2014 - Feb 2016

93
91
89
87
85
83
81
79
77
75
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16
Source: Bloomberg

LQD Post-QE3
Oct 2014 - Feb 2016

124

122

120

118

116

114

112
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16
Source: Bloomberg

TLT Post-QE3
Oct 2014 - Feb 2016

140

135

130

125

120

115
Oct 14

Dec 14

Feb 15

Apr 15

Jun 15

Aug 15

Oct 15

Dec 15

Feb 16
Source: Bloomberg

German 10-Year Bund Yield


1989 - 2016

10

0
1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015
Source: Bloomberg

Japan 10-Year Bund Yield


1989 - 2016

10

0
1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015
Source: Bloomberg

US Manufacturing ISM
80

1948 - 2016

70

60

50

40

30
1948 1952 1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016
Source: Bloomberg

US PCE YoY
10.5
10.0
9.5
9.0
8.5
8.0
7.5
7.0
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
1960

1960 - 2016

1964

1968

1972

1976

1980

1984

1988

1992

1996

2000

2004

2008

2012

2016

Source: Bloomberg

US Industrial Production YoY


25

1944 - 2016

20
15
10
5
0
-5
-10
-15
-20
-25
-30
1944 1948 1952 1956 1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016
Source: Bloomberg

US Total Exports ($mln)


150000
145000
140000
135000
130000
125000
120000
115000
110000
105000
100000
95000
90000
85000
80000
75000
70000
65000
60000
55000
50000
45000
40000
35000
1993

1993 - 2015

?????

2008
Recession

2001
Recession
1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015

Source: Bloomberg

US Durable Goods New Orders (YoY)


1992 - 2015

30

20

10

-10

-20

-30

-40
1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014
Source: Bloomberg

Total Global Exports (YoY)


35

1998 - 2015

30
25
20
15
10
5
0
-5
-10
-15
-20
-25
-30
-35
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: Bloomberg

Global PMI
60

1998 - 2015

50

40

30
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: Bloomberg

China Manufacturing PMI


2005 - 2015

60

50

40
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Source: Bloomberg

China Non-Manufacturing PMI


2007 - 2015

62

60

58

56

54

52

50
2007

2008

2009

2010

2011

2012

2013

2014

2015
Source: Bloomberg

Korea Exports YoY


1967 - 2015

150

120

90

60

30

-30
1967

1971

1975

1979

1983

1987

1991

1995

1999

2003

2007

2011

2015

Source: Bloomberg

Taiwan Exports YoY


1982 - 2015

60
50
40
30
20
10
0
-10
-20
-30
-40
-50
1983

1987

1991

1995

1999

2003

2007

2011

2015
Source: Bloomberg

Nikkei 225 Index


Jan 29 2016

17650
REACTION

RECOVERY

17150

16650
11:30am

-4.94%
[0:33:30]
12:00pm

12:30pm

1:00pm

1:30pm

2:00pm
Source: Bloomberg

5,000,000

% of Global GDP under the auspices of


a Central Bank with Negative Rates

4,000,000

ECB
Denmark
Sweden
Switzerland
Japan

3,000,000

25.0%
22.5%

2,000,000

20.0%
17.5%
15.0%
12.5%
10.0%

1,000,000

7.5%
5.0%
2.5%

1995 1996 1997 1996 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

2012

2013

2014

0.0%

2015
Source: FactSet/Oxford Economics/WSJ/Bloomberg

Smoothed US Recession Probabilities


1967 - 2015

99.38%

100

99.48%

99.14%
94.50%

90
80
70
60
50
40
30
20
10
0
1970

1975

1980

1985

1990

1995

2000

2005

2010

2015

Source: Bloomberg

UST 2s/10s Spread vs Fed Funds


1986 - 2015

3.0

10

2.5
8
2.0
6

1.5

1.0

0.5
2
0.0

-0.5
1986

1991

1996

2001

2006

2011

0
2016
Source: Bloomberg

Global CPI (YoY %)


1997 - 2015

1997

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: Bloomberg

Benchmark Interest Rates


2000 - 2016

ECB
Denmark
Japan
Switzerland
Sweden

-1
2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Source: Bloomberg

CPI (YoY%)
1997 - 2016

-1
EU
Switzerland
Japan
Sweden
Denmark

-2

-3
1997

1999

2001

2003

2005

2007

2009

2011

2013

2015
Source: Bloomberg