Implied Risk Premium Calculator: Cash Flow Choices

Impl premium calculator
Implied Risk Premium Calculator

Inputs
Entercurrentlevelofindex
Whatcashyield(dividends&buybacks)doyouwanttouseasyourbasenumber?
Cashyieldonindex(Calculatednumberbutyoucanoverrideit)
Whatexpectedgrowthratedoyouwanttouseforthenext5years?
Expectedgrowthrateinearningsforthenext5years=
Entercurrentlongtermriskfreerate=
Ifyouwanttocomputeanintrinsicvalueforindex,whatERPwouldyouliketouse?
CashflowChoices
2168.27
DividendsandBuybacksTrailing12months=
DividendsandBuybacks(Averageyieldlastdecade)
DividendsandBuybacks(Averageyieldlast5years)
DividendsandBuybacks(Averagepayoutlastdecade)
DividendsandBuybacks(Averagepayoutlast5years)
DividendandBuybacks(Averagepayout&normalearnings)
DividendsandBuybacks,netofstockissues,trailing12months
C
5.18%
TD
5.21%
1.60%
ERP10
ERPusedtocomputefairvalueofindex(youcanoverridethisnumber)=
5.32%
Expectedgrowthrateinthelongterm(afteryear5)=
1.60%
Doyouwanttoadjustthepayoutratiotosustainablelevelsinyear5?
No
Hereishowitworks
Fortheintrinsicvalueoftheindex,Istartwithyourbasecashflowchoice(fromB4)andgrowthesecashflowsat
theexpectedgrowthrate(fromB6)for5years.Afteryear5,Iusetheexpectedgrowthrateinthelongterm(B11)
astheperpetualgrowthrate.ThediscountratethatIuseisthesumoftheriskfreerate(B8)andyourERPchoice(B10).
GrowthChoices
Ifyouletmeadjustyourpayoutratio,Iadjustittosustainyourlongtermgrowthrate,givenyourROE.Payout=1g/ROE
FortheimpliedERP,youwillhavetousethegoalseekfunctioninExcel.(Seepicturetotheright)
ERPChoices(forindexintrinsicvalue)
1.Inthesetcellbox,enterB44
HistoricalEquityriskpremium(Global)=
2.In"Tovalue"box,enterthecurrentleveloftheindex
3.In"Bychangingcell"enterC36
4.ClickonOKandtheanswershouldshowupinC36.
AverageimpliedERP(lastdecade)=
AverageimpliedERP(1960Current)=
HistoricalHighERP(1960Current)=
Historicalearningsgrowthrate(lastdecade)=
Bottomupforecastedgrowthrate(next5years)=
Topdownforecastedgrowthrate(next5years)=
Fundamentalgrowthrate(basedoncurrentROE)=
Fundamentalgrowthrate(basedonaverageROE)=
HistoricalEquityriskpremium(US)=
IntrinsicValueEstimate(basedonyourchoiceofERP)
ExpectedEarnings
Expectedcashpayout(dividends+buybacks)as%ofearnings
ExpectedDividends=
ExpectedTerminalValue=
PresentValue=
IntrinsicValueofIndex=
IntrinsicTrailingPE=
IntrinsicCAPE(basedoninflationadjustedtenyearaverageearnings)=
ImpliedRiskPremiumincurrentlevelofIndex=
Last12months
98.98
113.57%
112.42
1
104.14
113.57%
2
109.57
113.57%
3
115.29
113.57%
4
121.30
113.57%
$118.28 $124.45 $130.93 $137.76

$110.63 $108.86 $107.13 $105.42
$2,518.19
25.44
29.81
ImpliedEquityRiskPremiumCalculator
6.16%
Last12months
Page 1
(GounderToolsandchooseSolverorGoalSeek:Seebelow)
1 2 3 4

ExpectedEarnings
Expectedcashpayout(dividends+buybacks)as%ofearnings
ExpectedDividends=
ExpectedTerminalValue=
PresentValue=
IntrinsicValueofIndex=
$98.98
$1.14
$112.42
104.14 109.57 115.29 121.30

113.57%
113.57%
113.57%
113.57%
$118.28
$124.45
$130.93
$137.76
$109.76 $107.17 $104.63 $102.16
$2,168.27
Page 2
112.42
114.73
112.80
89.02
85.51
82.17
102.69
4.27%
7.26%
5.21%
2.20%
2.05%
C
A10
A5
P10
P5
NORM
NC
H
BU
TD
FC
FA
4.54% HUS
4.00% HG
5.32% ERP10
4.11% ERPLong
6.45% ERPHigh
5
127.62
113.57%
TerminalYear
129.67
113.57%
$144.94
$2,769.65
$2,086.14
147.26
TerminalYear
Page 3

127.62
113.57%
$144.94
$2,390.16
$1,744.55
129.67
1.14
147.26
Page 4
Buyback & Dividend computation
Gross Cash
Year
Dividend Yield Buybacks/Index
Yield
2001
1.37%
1.25%
2.62%
2002
1.81%
1.58%
3.39%
2003
1.61%
1.23%
2.84%
2004
1.57%
1.78%
3.35%
2005
1.79%
3.11%
4.90%
2006
1.77%
3.39%
5.16%
2007
1.92%
4.58%
6.49%
2008
3.15%
4.33%
7.47%
2009
1.97%
1.39%
3.36%
2010
1.80%
2.61%
4.42%
2011
2.11%
3.56%
5.67%
2012
2.19%
3.13%
5.32%
2013
1.89%
2.88%
4.77%
2014
1.92%
3.03%
4.95%
2015
2.12%
3.18%
5.30%
Average: Last 10 years =
5.29%
Average: Last 5 years
5.20%
Index at the start of the current quarter =
Year
Market value of
index
2006
1148.09
879.82
1111.91
1211.92
1248.29
1418.30
2007
1468.36
2008
2009
903.25
1115.00
2010
1257.64
2011
1257.60
2012
1426.19
2013
1848.36
2014
2015
Trailing four quart
S&P Cap IQ update
2058.90
2043.94
2168.27
2001
2002
2003
2004
2005
2168.27
Payout
77.43%
64.78%
57.74%
59.99%
80.01%
83.40%
115.53%
136.37%
65.82%
66.28%
73.91%
78.39%
84.00%
87.79%
107.83%
89.93%
86.38%
Base for normalized Cashflow; Upd
Earnings
Dividends
Buybacks
38.85
46.04
54.69
67.68
76.45
87.72
82.54
49.51
56.86
83.77
96.44
96.82
104.92
116.16
15.74
14.34
15.96
13.87
17.88
13.70
19.01
21.59
22.34
38.82
25.04
48.12
28.14
67.22
28.45
39.07
21.97
15.46
22.65
32.88
26.53
44.75
31.25
44.65
34.90
53.23
100.48
98.98
92.25
Market Cap
Page 5
39.55
62.44
43.41
64.94
44.88
67.53
39.99
64.06
Index level Unit adjuster
6/30/2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Ratio
Index units adjuster = 0.115374045
18193
17956
18245
16495
12742
11385
11430
9928
7852
12868
12729
2099
2043.94
2058.9
1848.36
1426.19
1257.6
1257.64
1115.00
903.25
1468.36
1418.30
0.11537404
0.11383047
0.11284736
0.11205577
0.11192827
0.11046113
0.11002975
0.11230862
0.11503439
0.11410942
0.11142274
Computing the trailing 12 month number (S&P Data updated every quarter on March 15, June 15, S
Quarter
Earnings
Dividends
Buybacks
Issuances
Last quarter
$222.77
$98.30
$127.50
2 quarters ago
$208.99
$96.26
$161.39
3 quarters ago
$201.95
$99.39
$145.88
4 quarters ago
$224.23
$95.07
$150.58
Sum
857.94
389.02
585.35
84.87
S&P Capital IQ data (updated every month and does not match up to the S&P update every three quarters)
Month
Earnings
Dividends
Buybacks
Issuances
10/1/16
847.378
367.339
588.44
89.369
Page 6
Return on Equity
Net Profit Margin
11.92%
5.27%
13.61%
6.82%
16.79%
7.69%
18.43%
8.59%
18.43%
8.74%
19.36%
9.21%
16.36%
8.05%
9.35%
4.75%
12.60%
6.26%
16.31%
8.70%
16.65%
9.16%
15.79%
8.86%
15.73%
9.39%
16.23%
9.96%
12.77%
8.77%
15.12%
8.31%
15.43%
9.23%
Updated every month

Updated every quarter
se for normalized Cashflow; Updated at the start of every quarteUpdated at the start of every quarter
Stock
Issuances
9.58
9.73
9.73
9.73
Dividends
Cash to
equity
Dividend
yield
Buyback yield
Gross Cash
Yield
30.08
1.37%
1.25%
2.62%
29.83
1.81%
1.58%
3.39%
31.58
1.61%
1.23%
2.84%
40.60
1.57%
1.78%
3.35%
61.17
1.79%
3.11%
4.90%
73.16
1.77%
3.39%
5.16%
95.36
1.92%
4.58%
6.49%
67.52
3.15%
4.33%
7.47%
37.43
1.97%
1.39%
3.36%
55.53
1.80%
2.61%
4.42%
71.28
2.11%
3.56%
5.67%
75.90
2.19%
3.13%
5.32%
88.13
1.89%
2.88%
4.77%
1.92%
2.12%
2.07%
3.03%
3.18%
3.11%
4.95%
5.30%
5.18%
101.98
108.35
112.42
104.05
Buybacks
Net Cash to
Equity
92.40
98.62
102.69
94.32
Page 7
389.02
382.46
350.43
311.77
280.69
240.20
205.83
195.61
247.29
246.59
585.35
572.16
553.27
475.59
398.91
405.08
298.82
137.65
339.64
589.12
Updated October 1, 2016
quarter on March 15, June 15, Sept 15 and Dec 15)

Updated October 1, 2016
P update every three quarters)

Index Units Adjuster
0.108864362
Updated Oct 1, 2016
Page 8
start of every quarter
Net Cash
Yield
4.49%
4.83%
4.74%
Last updated
1-Oct-16
Book Value of
Equity at
start of year
Return on
Equity
Sales per
share
Inflation rate
Inflation
adjusted
Earnings
325.8
11.92%
736.88
1.60%
51.75
338.37
13.61%
674.59
2.48%
59.84
325.72
16.79%
710.81
2.04%
69.67
367.17
18.43%
788.17
3.34%
83.42
414.75
18.43%
874.32
3.34%
91.19
453.06
19.36%
952.51
2.52%
102.06
504.39
16.36%
1025.08
4.11%
92.24
529.59
9.35%
1042.46
-0.02%
55.34
451.37
12.60%
908.4
2.81%
61.82
513.58
16.31%
962.71
1.44%
89.78
579.14
16.65%
1052.83
3.03%
100.32
613.14
15.79%
1092.37
1.77%
98.97
666.97
15.73%
1116.81
1.53%
105.63
715.84
786.78
736.78
16.23%
12.77%
13.43%
1165.8
1145.54
1145.54
0.68%
116.16
Updated at the start of every mo
Page 9
Page 10
Updated at the start of every quarter Last updated

dated at the start of every month
Last updated 1-Oct-16
Page 11
1-Oct-16
Page 12
Implied ERP (Monthly from 9-08)
Start of
Ten-year
month
S&P 500
T.Bond Rate average CF
1-Sep-08
1252
3.72%
1-Oct-08
1166
3.83%
1-Nov-08
969
3.95%
1-Dec-08
896
2.92%
1-Jan-09
903
2.21%
1-Feb-09
826
2.87%
1-Mar-09
735
3.02%
1-Apr-09
798
2.71%
1-May-09
873
3.16%
1-Jun-09
919
3.47%
1-Jul-09
919
3.53%
1-Aug-09
987
3.52%
1-Sep-09
1021
3.40%
1-Oct-09
1057
3.30%
1-Nov-09
1036
3.39%
1-Dec-09
1096
3.24%
1-Jan-10
1115
3.84%
1-Feb-10
1074
3.58%
1-Mar-10
1104
3.61%
1-Apr-10
1169
3.83%
1-May-10
1187
3.65%
1-Jun-10
1089
3.30%
1-Jul-10
1031
2.96%
1-Aug-10
1106
2.91%
1-Sep-10
1049
2.47%
1-Oct-10
1141
2.51%
1-Nov-10
1183
2.60%
1-Dec-10
1181
2.80%
1-Jan-11
1258
3.29%
1-Feb-11
1286
3.38%
1-Mar-11
1327
3.42%
1-Apr-11
1326
3.47%
1-May-11
1364
3.29%
1-Jun-11
1345
3.06%
1-Jul-11
1321
3.17%
1-Aug-11
1292
2.80%
1-Sep-11
1219
2.23%
1-Oct-11
1131
1.92%
1-Nov-11
1253
2.05%
1-Dec-11
1247
2.07%
1-Jan-12
1258
1.87%
59.01
1-Feb-12
1312
1.81%
59.01
Page 13
CF (Trailing
12 month)
52.58
52.58
52.58
51.55
51.55
51.55
50.95
50.95
50.95
48.52
48.52
48.52
40.38
40.38
40.38
40.34
40.34
40.34
42.44
42.44
42.44
48.2
48.2
48.2
53.9645
53.9645
53.9645
58.54
58.15
58.15
62.24
62.24
62.24
68.65
68.65
68.65
72.23
72.23
Normalized
CF
1-Mar-12
1-Apr-12
1-May-12
1-Jun-12
1-Jul-12
1-Aug-12
1-Sep-12
1-Oct-12
1-Nov-12
1-Dec-12
1-Jan-13
1-Feb-13
1-Mar-13
1-Apr-13
1-May-13
1-Jun-13
1-Jul-13
1-Aug-13
1-Sep-13
1-Oct-13
1-Nov-13
1-Dec-13
1-Jan-14
1-Feb-14
1-Mar-14
1-Apr-14
1-May-14
1-Jun-14
1-Jul-14
1-Aug-14
1-Sep-14
1-Oct-14
1-Nov-14
1-Dec-14
1-Jan-15
1-Feb-15
1-Mar-15
1-Apr-15
1-May-15
1-Jun-15
1-Jul-15
1-Aug-15
1-Sep-15
1-Oct-15
1-Nov-15
1-Dec-15
1366
1408
1398
1310
1362
1379
1407
1441
1412
1416
1426
1498
1515
1569
1598
1631
1606
1686
1633
1682
1757
1806
1848
1783
1859
1874
1884
1924
1960
1931
2003
1973
2018
2068
2059
1995
2105
2068
2086
2107
2063
2104
1972
1920
2079
2080
1.98%
2.21%
1.92%
1.55%
1.65%
1.47%
1.55%
1.62%
1.75%
1.62%
1.76%
2.00%
1.88%
1.85%
1.65%
2.14%
2.49%
2.57%
2.79%
2.61%
2.55%
2.75%
3.04%
2.65%
2.66%
2.72%
2.65%
2.48%
2.52%
2.56%
2.35%
2.49%
2.34%
2.17%
2.17%
1.70%
2.00%
1.93%
2.05%
2.13%
2.36%
2.18%
2.22%
2.06%
2.15%
2.21%
59.01
66.29
66.29
66.29
64.06
64.06
64.06
67.74
67.74
67.74
69.46
69.46
69.46
76.76
76.76
76.76
78.66
78.66
78.66
82.35
82.35
82.35
90.52
90.52
90.52
95.39
95.39
95.39
99.78
99.78
99.78
100.41
100.41
100.41
107.97
107.97
107.97
108.59
108.59
108.59
108.34
108.34
108.34
100.83
100.83
100.83
Page 14
72.23
74.07
74.07
74.07
71.55
71.55
71.55
72.74
72.74
72.74
72.25
72.25
72.25
75.31
75.31
75.31
78.58
78.58
78.58
80.33
80.33
80.33
84.16
84.16
84.16
88.13
88.13
88.13
96.01
96.01
96.01
97.52
97.52
97.52
100.5
100.5
100.5
101.98
101.98
101.98
101.58
101.58
101.58
104.2
104.2
104.2
74.24
74.24
74.24
1-Jan-16
1-Feb-16
1-Mar-16
1-Apr-16
1-May-16
1-Jun-16
1-Jul-16
1-Aug-16
1-Sep-16
1-Oct-16
2044
1940
1932
2060
2065
2097
2099
2174
2171
2168
2.27%
1.92%
1.74%
1.77%
1.83%
1.83%
1.47%
1.45%
1.59%
1.60%
107.33
107.33
107.33
108.35
108.35
108.35
111.06
111.06
111.06
112.42
Page 15
106.1
106.1
106.1
108.16
108.99
108.88
110.61
110.61
110.61
114.73
74.24
74.24
74.24
74.24
82.17
82.17
82.17
82.17
82.17
82.17
Expected
growth rate
4%
4%
4%
4%
4%
4%
4%
4%
4%
4%
4%
4.00%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
7.21%
6.95%
6.95%
6.95%
6.95%
6.95%
6.95%
6.95%
6.95%
6.95%
6.95%
5.50%
5.50%
7.18%
7.18%
ERP (T12 m
with
ERP
sustainable
ERP
(Normalized ERP (Net
payout)
ERP (T12m) (Smoothed) )
Cash Yield)
4.22%
4.51%
5.90%
6.60%
6.43%
6.87%
7.68%
7.01%
6.32%
5.94%
5.86%
5.46%
5.30%
4.86%
4.97%
4.73%
4.36%
4.56%
4.44%
4.16%
4.54%
4.79%
5.10%
4.78%
5.10%
5.31%
5.11%
5.08%
5.20%
5.07%
4.90%
5.31%
5.16%
5.27%
5.72%
5.92%
6.39%
7.64%
6.49%
6.51%
7.32%
6.01%
7.04%
5.78%
Page 16
7.18%
7.18%
7.18%
7.18%
6.56%
6.56%
6.56%
6.56%
6.56%
6.56%
5.27%
5.27%
5.32%
5.31%
5.23%
5.43%
5.57%
5.60%
5.69%
5.62%
5.59%
5.67%
4.28%
4.13%
4.13%
4.15%
4.13%
4.06%
4.07%
4.09%
4.00%
4.04%
4.00%
3.93%
5.58%
5.38%
5.51%
5.48%
5.53%
5.56%
5.65%
5.58%
6.32%
6.25%
6.29%
6.32%
6.73%
6.64%
6.76%
7.28%
6.59%
6.55%
6.41%
6.35%
6.44%
6.45%
6.00%
5.67%
5.65%
5.68%
5.60%
5.45%
5.73%
5.46%
5.62%
5.59%
5.36%
5.19%
4.96%
5.17%
4.96%
5.15%
5.12%
5.03%
5.38%
5.45%
5.28%
5.43%
5.32%
5.21%
5.78%
6.01%
5.67%
5.86%
5.80%
5.74%
5.81%
5.90%
6.28%
6.63%
6.12%
6.11%
5.52%
5.96%
6.06%
6.54%
5.91%
5.88%
5.75%
5.92%
6.01%
6.02%
5.78%
5.46%
5.43%
5.79%
5.71%
5.55%
5.74%
5.46%
5.61%
5.73%
5.49%
5.32%
5.33%
5.56%
5.33%
5.57%
5.54%
5.45%
5.59%
5.67%
5.48%
5.59%
5.48%
5.36%
6.21%
6.45%
6.09%
6.24%
6.17%
6.10%
6.19%
6.27%
6.69%
6.42%
5.92%
5.92%
Page 17
4.69%
4.38%
4.38%
4.87%
4.78%
4.68%
5.21%
5.42%
5.11%
5.32%
5.27%
5.21%
5.23%
5.14%
5.65%
5.96%
5.50%
5.43%
5.55%
5.38%
5.29%
5.32%
5.33%
5.33%
5.15%
5.14%
5.21%
5.21%
5.16%
5.61%
5.72%
5.15%
5.11%
5.03%
5.08%
4.92%
4.86%
4.91%
6.12%
6.47%
6.51%
6.24%
6.22%
6.12%
6.27%
6.06%
6.06%
6.16%
6.19%
6.54%
6.58%
6.23%
6.25%
6.16%
6.30%
6.08%
6.08%
6.29%
Page 18
4.30%
4.55%
4.58%
4.30%
4.73%
4.66%
4.68%
4.52%
4.52%
4.52%
5.46%
5.92%
5.96%
5.62%
5.69%
5.54%
5.68%
5.49%
5.56%
5.64%
Notes
Normalized Cash flow = Average CF yield over last 10 years * Index level at start of quarter
Page 19
Adjusted cash flows and expected growth rate
Adjusted cash flows
Adjusted growth rate & cash flows
Adjusted cash flows
Adjusted cash flows
Adjusted cash flows
Updated cash flows, growth rate
Updated cash flows
Updated cash flows
Updated cash flows
Updated cash flows, growth rate
Updated cash flows
Updated cash flows

Updated growth rate
Updated cash flow
Page 20
Updated cash flow, growth rate
Updated cash flow

Updated normalized and ten-year yield numbers
Updated cash flow
Updated cash flow
Page 21
el at start of quarter
Page 22
Page 23
Page 24
Expected growth rate
Bottom up Estimates
Year
Earnings on Index
2015
2016
2017
2018
2019
2020
Compounded average
8.31%
12.54%
8.89%
5.25%
1.60%
7.26%
Sources for bottom up estimates

Thomson Reuters
Factset
Sources for top down estimates
S&P
Ed Yardeni
Page 25
Source
117.2 Thomson Reuters
Top down Estimates

Year
2015
2016
2017
2018
2019
2020
Compounded avera
Earnings on Index
8.89%
7.07%
5.25%
3.42%
1.60%
5.21%
Page 26
Source
118.66 Factset
129.21 Factset
No forecasts available for 2017 & beyond
ilable for 2017 & beyond
Page 27
Implied ERP- Annual since 1960
Year
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
Earnings Yield Dividend Yield

5.34%
3.41%
4.71%
2.85%
5.81%
3.40%
5.51%
3.13%
5.62%
3.05%
5.73%
3.06%
6.74%
3.59%
5.66%
3.09%
5.51%
2.93%
6.63%
3.52%
5.98%
3.46%
5.46%
3.10%
5.23%
2.70%
8.16%
3.70%
13.64%
5.43%
8.55%
4.14%
9.07%
3.93%
11.43%
5.11%
12.11%
5.39%
13.48%
5.53%
11.04%
4.74%
12.39%
5.57%
9.83%
4.93%
8.06%
4.32%
10.07%
4.68%
7.42%
3.88%
5.96%
3.38%
6.49%
3.71%
8.20%
3.68%
6.80%
3.32%
6.58%
3.74%
4.58%
3.11%
4.16%
2.90%
4.25%
2.72%
5.89%
2.91%
5.74%
2.30%
4.83%
2.01%
4.08%
1.60%
3.11%
1.32%
3.07%
1.14%
3.94%
1.23%
3.85%
1.37%
5.23%
1.83%
4.87%
1.61%
5.58%
1.60%
T.Bond Rate
2.76%
2.35%
3.85%
4.14%
4.21%
4.65%
4.64%
5.70%
6.16%
7.88%
6.50%
5.89%
6.41%
6.90%
7.40%
7.76%
6.81%
7.78%
9.15%
10.33%
12.43%
13.98%
10.47%
11.80%
11.51%
8.99%
7.22%
8.86%
9.14%
7.93%
8.07%
6.70%
6.68%
5.79%
7.82%
5.57%
6.41%
5.74%
4.65%
6.44%
5.11%
5.05%
3.81%
4.25%
4.22%
Page 28
Implied ERP
2.92%
3.56%
3.38%
3.31%
3.32%
3.68%
3.20%
3.00%
3.74%
3.41%
3.09%
2.72%
4.30%
5.59%
4.13%
4.55%
5.92%
5.72%
6.45%
5.03%
5.73%
4.90%
4.31%
5.11%
3.84%
3.58%
3.99%
3.77%
3.51%
3.89%
3.48%
3.55%
3.17%
3.55%
3.29%
3.20%
2.73%
2.26%
2.05%
2.87%
3.62%
4.10%
3.69%
3.65%
Implied ERP- Annual since 1960
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
5.47%
6.18%
5.62%
7.24%
5.35%
6.65%
7.72%
7.18%
5.81%
5.49%
5.20%
1.79%
1.77%
1.89%
3.11%
2.00%
1.84%
2.07%
2.13%
1.96%
1.92%
2.11%
4.39%
4.70%
4.02%
2.21%
3.84%
3.29%
1.88%
1.76%
3.04%
2.17%
2.27%
Page 29
4.08%
4.16%
4.37%
6.43%
4.36%
5.20%
6.01%
5.78%
4.96%
5.78%
6.12%
Historical ERP
Year
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
AnnualReturnsonInvestmentsin
CompoundedValueof$100
S&P 500 3-month T.Bill
10-year T. Bond
Stocks
T.Bills
43.81%
3.08%
0.84%
$ 143.81 $ 103.08
-8.30%
3.16%
4.20%
$ 131.88 $ 106.34
-25.12%
4.55%
4.54%
$
98.75 $ 111.18
-43.84%
2.31%
-2.56%
$
55.46 $ 113.74
-8.64%
1.07%
8.79%
$
50.66 $ 114.96
49.98%
0.96%
1.86%
$
75.99 $ 116.06
-1.19%
0.32%
7.96%
$
75.09 $ 116.44
46.74%
0.18%
4.47%
$ 110.18 $ 116.64
31.94%
0.17%
5.02%
$ 145.38 $ 116.84
-35.34%
0.30%
1.38%
$
94.00 $ 117.19
29.28%
0.08%
4.21%
$ 121.53 $ 117.29
-1.10%
0.04%
4.41%
$ 120.20 $ 117.33
-10.67%
0.03%
5.40%
$ 107.37 $ 117.36
-12.77%
0.08%
-2.02%
$
93.66 $ 117.46
19.17%
0.34%
2.29%
$ 111.61 $ 117.85
25.06%
0.38%
2.49%
$ 139.59 $ 118.30
19.03%
0.38%
2.58%
$ 166.15 $ 118.75
35.82%
0.38%
3.80%
$ 225.67 $ 119.20
-8.43%
0.38%
3.13%
$ 206.65 $ 119.65
5.20%
0.57%
0.92%
$ 217.39 $ 120.33
5.70%
1.02%
1.95%
$ 229.79 $ 121.56
18.30%
1.10%
4.66%
$ 271.85 $ 122.90
30.81%
1.17%
0.43%
$ 355.60 $ 124.34
23.68%
1.48%
-0.30%
$ 439.80 $ 126.18
18.15%
1.67%
2.27%
$ 519.62 $ 128.29
-1.21%
1.89%
4.14%
$ 513.35 $ 130.72
52.56%
0.96%
3.29%
$ 783.18 $ 131.98
32.60%
1.66%
-1.34%
$ 1,038.47 $ 134.17
7.44%
2.56%
-2.26%
$ 1,115.73 $ 137.60
-10.46%
3.23%
6.80%
$ 999.05 $ 142.04
43.72%
1.78%
-2.10%
$ 1,435.84 $ 144.57
12.06%
3.26%
-2.65%
$ 1,608.95 $ 149.27
0.34%
3.05%
11.64%
$ 1,614.37 $ 153.82
26.64%
2.27%
2.06%
$ 2,044.40 $ 157.30
-8.81%
2.78%
5.69%
$ 1,864.26 $ 161.67
22.61%
3.11%
1.68%
$ 2,285.80 $ 166.70
16.42%
3.51%
3.73%
$ 2,661.02 $ 172.54
12.40%
3.90%
0.72%
$ 2,990.97 $ 179.28
Page 30
Historical ERP
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
-9.97%
23.80%
10.81%
-8.24%
3.56%
14.22%
18.76%
-14.31%
-25.90%
37.00%
23.83%
-6.98%
6.51%
18.52%
31.74%
-4.70%
20.42%
22.34%
6.15%
31.24%
18.49%
5.81%
16.54%
31.48%
-3.06%
30.23%
7.49%
9.97%
1.33%
37.20%
22.68%
33.10%
28.34%
20.89%
-9.03%
-11.85%
-21.97%
28.36%
10.74%
4.83%
4.84%
4.33%
5.26%
6.56%
6.69%
4.54%
3.95%
6.73%
7.78%
5.99%
4.97%
5.13%
6.93%
9.94%
11.22%
14.30%
11.01%
8.45%
9.61%
7.49%
6.04%
5.72%
6.45%
8.11%
7.55%
5.61%
3.41%
2.98%
3.99%
5.52%
5.02%
5.05%
4.73%
4.51%
5.76%
3.67%
1.66%
1.03%
1.23%
3.01%
2.91%
-1.58%
3.27%
-5.01%
16.75%
9.79%
2.82%
3.66%
1.99%
3.61%
15.98%
1.29%
-0.78%
0.67%
-2.99%
8.20%
32.81%
3.20%
13.73%
25.71%
24.28%
-4.96%
8.22%
17.69%
6.24%
15.00%
9.36%
14.21%
-8.04%
23.48%
1.43%
9.94%
14.92%
-8.25%
16.66%
5.57%
15.12%
0.38%
4.49%
2.87%
Page 31
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
2,692.74
3,333.69
3,694.23
3,389.77
3,510.49
4,009.72
4,761.76
4,080.44
3,023.54
4,142.10
5,129.20
4,771.20
5,081.77
6,022.89
7,934.26
7,561.16
9,105.08
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
###
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
187.95
196.10
206.41
219.96
234.66
245.32
255.01
272.16
293.33
310.90
326.35
343.09
366.87
403.33
448.58
512.73
569.18
617.26
676.60
727.26
771.15
815.27
867.86
938.24
1,009.08
1,065.69
1,101.98
1,134.84
1,180.07
1,245.15
1,307.68
1,373.76
1,438.70
1,503.58
1,590.23
1,648.63
1,675.96
1,693.22
1,714.00
1,765.59
Historical ERP
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
15.61%
5.48%
-36.55%
25.94%
14.82%
2.10%
15.89%
32.15%
13.48%
1.36%
4.68%
4.64%
1.59%
0.14%
0.13%
0.03%
0.05%
0.07%
0.05%
0.21%
1.96%
10.21%
20.10%
-11.12%
8.46%
16.04%
2.97%
-9.10%
10.75%
1.28%
Page 32
###
###
###
###
###
###
###
###
###
###
$
$
$
$
$
$
$
$
$
$
1,848.18
1,933.98
1,964.64
1,967.29
1,969.84
1,970.44
1,971.42
1,972.72
1,973.77
1,977.91
Historical ERP
dedValueof$100
T.Bonds
Stocks - BillsStocks - Bon Historical risk premium
$ 100.84
40.73% 42.98%
$ 105.07
-11.46% -12.50%
$ 109.85
-29.67% -29.66%
$ 107.03
-46.15% -41.28%
$ 116.44
-9.71% -17.43%
$ 118.60
49.02% 48.13%
$ 128.05
-1.51%
-9.15%
$ 133.78
46.57% 42.27%
$ 140.49
31.77% 26.93%
$ 142.43
-35.64% -36.72%
$ 148.43
29.21% 25.07%
$ 154.98
-1.14%
-5.51%
$ 163.35
-10.70% -16.08%
$ 160.04
-12.85% -10.75%
$ 163.72
18.84% 16.88%
$ 167.79
24.68% 22.57%
$ 172.12
18.65% 16.45%
$ 178.67
35.44% 32.02%
$ 184.26
-8.81% -11.56%
$ 185.95
4.63%
4.28%
$ 189.58
4.68%
3.75%
$ 198.42
17.20% 13.64%
$ 199.27
29.63% 30.38%
$ 198.68
22.20% 23.97%
$ 203.19
16.48% 15.88%
$ 211.61
-3.10%
-5.35%
$ 218.57
51.60% 49.27%
$ 215.65
30.94% 33.93%
$ 210.79
4.88%
9.70%
$ 225.11
-13.69% -17.25%
$ 220.39
41.94% 45.82%
$ 214.56
8.80% 14.70%
$ 239.53
-2.71% -11.30%
6.11%
$ 244.46
24.37% 24.58%
6.62%
$ 258.38
-11.59% -14.51%
5.97%
$ 262.74
19.50% 20.93%
6.36%
$ 272.53
12.91% 12.69%
6.53%
$ 274.49
8.50% 11.68%
6.66%
Page 33
Historical ERP
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
$
282.47
278.01
287.11
272.71
318.41
349.57
359.42
372.57
379.98
393.68
456.61
462.50
458.90
461.98
448.17
484.91
644.04
664.65
755.92
950.29
1,181.06
1,122.47
1,214.78
1,429.72
1,518.87
1,746.77
1,910.30
2,181.77
2,006.43
2,477.55
2,512.94
2,762.71
3,174.95
2,912.88
3,398.03
3,587.37
4,129.65
4,145.15
4,331.30
4,455.50
-14.81%
19.47%
5.55%
-14.80%
-3.12%
9.68%
14.80%
-21.03%
-33.68%
31.01%
18.86%
-12.11%
-0.42%
8.58%
20.52%
-19.00%
9.41%
13.89%
-3.47%
23.75%
12.46%
0.09%
10.09%
23.37%
-10.61%
24.62%
4.09%
6.98%
-2.66%
31.68%
17.66%
28.05%
23.61%
16.38%
-14.79%
-15.52%
-23.62%
27.33%
9.52%
1.82%
-12.88%
25.38%
7.54%
-3.23%
-13.19%
4.43%
15.94%
-17.97%
-27.89%
33.39%
7.85%
-8.27%
7.29%
17.85%
34.72%
-12.90%
-12.40%
19.14%
-7.59%
5.52%
-5.79%
10.77%
8.31%
13.78%
-9.30%
15.23%
-1.87%
-4.24%
9.36%
13.71%
21.25%
23.16%
13.42%
29.14%
-25.69%
-17.42%
-37.08%
27.98%
6.25%
1.97%
6.11%
6.57%
6.60%
6.33%
5.90%
5.87%
6.08%
5.50%
4.64%
5.17%
5.22%
4.93%
4.97%
5.21%
5.73%
5.37%
5.10%
5.34%
5.12%
5.13%
4.97%
5.07%
5.12%
5.24%
5.00%
5.14%
5.03%
4.90%
4.97%
5.08%
5.30%
5.53%
5.63%
5.96%
5.51%
5.17%
4.53%
4.82%
4.84%
4.80%
Page 34
Historical ERP
$
$
$
$
$
$
$
$
$
$
4,542.87
5,006.69
6,013.10
5,344.65
5,796.96
6,726.52
6,926.40
6,295.79
6,972.34
7,061.89
10.94%
0.84%
-38.14%
25.80%
14.69%
2.07%
15.84%
32.08%
13.42%
1.15%
13.65%
-4.73%
-56.65%
37.05%
6.36%
-13.94%
12.92%
41.25%
2.73%
0.08%
4.91%
4.79%
3.88%
4.29%
4.31%
4.10%
4.20%
4.62%
4.60%
4.54%
Page 35
T.Bond vs Nominal growth
Year end
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
Ten-year T.Bo Inflation rate Real GDP gro Fundamental T

r. Bond - Fun
2.51%
-0.37%
2.79%
2.41%
0.10%
2.96%
0.37%
6.57%
6.95%
-3.99%
3.59%
2.83%
1.84%
4.67%
-1.08%
3.21%
3.04%
0.27%
3.31%
-0.10%
3.86%
1.76%
2.52%
4.27%
-0.41%
4.69%
1.52%
4.84%
6.36%
-1.67%
3.84%
1.36%
0.63%
1.99%
1.85%
4.06%
0.67%
6.25%
6.92%
-2.86%
3.86%
1.23%
4.12%
5.35%
-1.49%
4.13%
1.65%
5.30%
6.95%
-2.82%
4.18%
1.20%
5.11%
6.31%
-2.13%
4.62%
1.92%
8.51%
10.43%
-5.81%
4.84%
3.36%
4.31%
7.67%
-2.83%
5.70%
3.28%
2.48%
5.76%
-0.06%
6.03%
4.71%
4.96%
9.66%
-3.63%
7.65%
5.90%
2.03%
7.93%
-0.28%
6.39%
5.57%
-0.15%
5.42%
0.97%
5.93%
3.27%
4.46%
7.72%
-1.79%
6.36%
3.41%
6.93%
10.34%
-3.98%
6.74%
8.94%
4.17%
13.12%
-6.38%
7.43%
12.10%
-1.99%
10.10%
-2.67%
8.00%
7.13%
2.54%
9.67%
-1.67%
6.87%
5.04%
4.30%
9.33%
-2.46%
7.69%
6.68%
4.99%
11.67%
-3.98%
9.01%
8.99%
6.71%
15.69%
-6.68%
10.39%
13.25%
1.26%
14.51%
-4.12%
12.84%
12.35%
-0.10%
12.25%
0.59%
13.72%
8.91%
1.22%
10.13%
3.59%
10.54%
3.83%
-1.41%
2.41%
8.13%
11.83%
3.79%
7.74%
11.53%
0.30%
11.50%
4.04%
5.56%
9.60%
1.90%
9.26%
3.79%
4.17%
7.96%
1.30%
7.11%
1.19%
2.84%
4.03%
3.08%
8.99%
4.33%
4.26%
8.59%
0.40%
9.11%
4.41%
3.70%
8.11%
1.00%
7.84%
4.64%
2.72%
7.36%
0.48%
8.08%
6.25%
0.56%
6.81%
1.27%
7.09%
2.98%
1.00%
3.99%
3.10%
6.77%
2.97%
4.31%
7.28%
-0.51%
5.77%
2.81%
2.69%
5.51%
0.26%
7.81%
2.60%
4.16%
6.76%
1.05%
5.71%
2.53%
2.01%
4.54%
1.17%
6.30%
3.38%
4.45%
7.82%
-1.52%
5.81%
1.70%
4.34%
6.04%
-0.23%
4.65%
1.61%
4.98%
6.59%
-1.94%
Page 36
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
1954-2012
1954-1980
1981-2012
6.28%
5.24%
5.09%
4.03%
4.27%
4.23%
4.47%
4.56%
4.10%
2.42%
3.59%
3.29%
1.98%
1.72%
6.11%
5.83%
6.35%
2.68%
3.44%
1.60%
2.48%
2.04%
3.34%
3.34%
2.52%
4.11%
-0.02%
2.82%
1.43%
3.02%
1.76%
3.75%
4.49%
3.13%
4.82%
2.91%
0.40%
1.94%
3.87%
2.90%
2.81%
2.38%
2.21%
-3.32%
-0.08%
2.39%
1.97%
1.67%
3.08%
3.54%
2.69%
Page 37
7.50%
6.35%
2.00%
4.42%
5.90%
6.24%
6.15%
4.90%
6.31%
-3.34%
2.74%
3.82%
5.00%
3.43%
6.83%
8.03%
5.83%
-1.22%
-1.11%
3.09%
-0.39%
-1.63%
-2.01%
-1.68%
-0.34%
-2.21%
5.76%
0.85%
-0.53%
-3.02%
-1.71%
-0.72%
-2.20%
0.52%
Next 5 years
4.32%
5.11%
4.12%
4.57%
4.98%
5.51%
5.50%
7.19%
7.34%
7.43%
7.97%
8.29%
7.29%
7.30%
8.21%
8.90%
9.34%
10.19%
10.51%
10.78%
11.29%
12.18%
12.69%
12.85%
11.00%
10.17%
9.19%
8.33%
7.11%
8.34%
7.66%
7.21%
6.98%
6.97%
6.71%
6.19%
6.07%
5.61%
6.38%
6.13%
6.35%
6.50%
6.86%
5.69%
5.37%
Page 38
5.23%
4.98%
4.94%
5.52%
5.90%
4.05%
3.35%
2.89%
2.91%
Page 39
S&P 500 Monthly Data (Cap IQ)
This is what I get from S&P Capital IQ, if I use the raw data from individual companies. It does not
Aggregate (in US dollars)
Trailing 12
month
ending
1-Aug-15
1-Oct-15
1-Nov-15
1-Dec-15
S&P 500 IndeMarket Cap
Dividends
1-Mar-16
2103.84
1920.03
2079.36
2080.41
2043.94
1940.24
1932.23
1-Apr-16
2059.74
19126109.5
371205
1-May-16
2065.3
2096.96
2098.96
2170.95
2168.27
19123581
286307
19336209
371249
19075239
373707
19933639
381368
19917170
367339
1-Jan-16
1-Feb-16
1-Jun-16
1-Jul-16
1-Sep-16
1-Oct-16
$19,712,475
$17,981,669
$19,353,110
$
19,361,440
19,205,383
$
$
$
$
263,808
357,140
252,069
373,740
373472.9
17972170.6
277933
17910494
345472
Page 40
Buybacks
$
$
$
$
$
$
$
$
$
$
$
423,600
558,052
416,930
567,962
569,620
459,600
552,312
578,442
470,983
594,591
597,633
593239.9
588,442
ividual companies. It does not match up to what S&P itelf reports once every quarter. Use it to look for trend
Aggregate (in US dollars)
Stock Issues
$
$
$
$
$
$
$
$
$
$
$
$
$
75,426
99,552
83,536
110,058
108,973
84,612
86,105
101,550
86,635
96,361
95,895
85,132
89,369
Net Income
$
$
$
$
$
$
$
$
$
$
$
$
$
923,972
907,379
882,624
881,259
882,415
827,436
842,836
845,698
835,997
848,108
848,045
843,244
847,378
Cash Return
$
$
$
$
$
$
$
$
$
$
$
$
$
Net Cash Ret Index Units
687,408
915,192
668,999
941,702
943,093
737,533
897,784
949,647
757,290
965,840
971,340
974,608
955,781
Page 41
$611,982
$657,604
$500,466
###
###
$544,212
$638,417
$679,992
$557,618
$690,952
$693,528
$678,372
$677,811
###
###
###
###
###
###
###
###
###
###
###
###
###
quarter. Use it to look for trend lines.

In Index Units
Market Cap
2103.84
1920.03
2079.36
2080.41
2043.94
1940.24
1932.23
2059.74
2065.30
2096.96
2098.96
2170.95
2168.27
Dividends
$28.16
$38.13
$27.08
$40.16
$39.75
$30.01
$37.27
$39.98
$30.92
$40.26
$41.12
$41.53
$39.99
Buybacks
Stock Issues Net Income
$45.21
$59.59
$44.80
$61.03
$60.62
$49.62
$59.58
$62.29
$50.87
$64.48
$65.76
$64.61
$64.06
Page 42
$8.05
$10.63
$8.98
$11.83
$11.60
$9.13
$9.29
$10.94
$9.36
$10.45
$10.55
$9.27
$9.73
$98.61
$96.89
$94.83
$94.69
$93.91
$89.33
$90.93
$91.08
$90.29
$91.98
$93.32
$91.84
$92.25
Cash Return
$73.36
$97.72
$71.88
$101.19
$100.37
$79.62
$96.86
$102.27
$81.79
$104.74
$106.88
$106.14
$104.05
Net Cash Ret Payout Ratio Dividend Yiel Cash Return/ Net Cash Return/Net Income
$65.31
$70.22
$53.77
$72.85
$72.22
$58.75
$68.87
$73.23
$60.22
$74.93
$76.31
$73.88
$73.79
28.55%
39.36%
28.56%
42.41%
42.32%
33.59%
40.99%
43.89%
34.25%
43.77%
44.07%
45.23%
43.35%
1.34%
1.99%
1.30%
1.93%
1.94%
1.55%
1.93%
1.94%
1.50%
1.92%
1.96%
1.91%
1.84%
74.40%
100.86%
75.80%
106.86%
106.88%
89.13%
106.52%
112.29%
90.59%
113.88%
114.54%
115.58%
112.79%
Page 43
66.23%
72.47%
56.70%
76.94%
76.90%
65.77%
75.75%
80.41%
66.70%
81.47%
81.78%
80.45%
79.99%
Net Income
Page 44
Sheet9
Yes/No
Yes
No
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