I've got a system - hopefully I haven't done anything idiotic - that's backtesting well on large equities. It seems to do well back to 1970 altho there is some bias in my sample, but it does well enough to where I'm not too worried. But here's my question: In the last 35 years, when were the worst period(s) of stagflation? recession? inflation? I think stagflation was in 73/74 and inflation in 82-85 roughly, but I just can't remember the dates for those. (And googling on recession brings up about 10,000 links!) Of course, my goal is to look at those specific years to see how it holds up during differing nasty economic times.
Why not just check out the year over year % change in the CPI? ftp://ftp.bls.gov/pub/special.requests/cpi/cpiai.txt
You will also want GDP data, which you can also obtain in the BLS website. Lemme know if you can't find it ... i have it dating back to 1929.
I like this idea. Come to my own conclusions! I did searches on bls, looked in their index and googled and could not come up with the link/data. Any help would be much appreciated...
Thx guys - I'm in paradise. I've now got GDP, int rates and inflation. What else could a guy ask for?
If ya' wanna have some real fun, toss in the earnings data for the SP-500. You might find the relationship between interest rates, stock yields and inflation to be kinda intriguing.
I'll have to check that out for myself, but I've already read about the yield's prophetic ability to forecast broad mkt trends and I just read a book with the elegant title of You Can Time the Market that documents how to beat the market with earnings and other cumulative fundamental figures. Interesting stuff... But I'll check out your suggestion... Q for you: are the P/E numbers now pro forma or are companies still reporting the "old" way? I have the impression that pro forma never caught on. Yet pro forma is accepted by GAAP isn't it?