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Stock Market and Interest Rate charts. Stock market indexes. Dow Jones Industrial Average List http://money.cnn.com/data/dow30/ S&P 500 Complete list http://nyjobsource.com/sandp1.html NASDAQ http://en.wikipedia.org/wiki/Nasdaq_Composite http://en.wikipedia.org/wiki/NASDAQ

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Stock market indexes
Stock market indexes

  • Dow Jones Industrial Average List http://money.cnn.com/data/dow30/

  • S&P 500 Complete list http://nyjobsource.com/sandp1.html

  • NASDAQ http://en.wikipedia.org/wiki/Nasdaq_Composite

    http://en.wikipedia.org/wiki/NASDAQ

    http://www.allstocks.com/NASDAQ/



Long-term View of the DJIA



S p 500 price dividends eps annual data
S&P 500 Price, Dividends, EPS (annual data)

Price and earnings move together, dividends are lagging


Stock price earnings x multiple
Stock Price=earnings x Multiple

  • Multiple = price to earnings ratio

  • High multiples are sensible only if earnings are going to grow rapidly




P e ratio average since 1988 about 19 longer term average 15 9
P/E ratio Average since 1988 about 19, longer term average 15.9







Prime Rate Constant at 3.25% since Jan. 2009








Interest rate forward and futures
Interest Rate: Forward and Futures

  • Have looked at historical interest rates for perspective

  • Yield curve is forward looking and contains implicit rates for future years

  • Interest rate futures are traded on CME group exchanges and provide market expectations

  • Interest rates are relatively low in 2012

  • Cannot “lock in” today’s low rate – can only lock in forward or futures rates


Forward interest rates
Forward interest rates

  • Hypothetical interest rates available

    • Fixed for one year @ 3%

    • Fixed for two years @ 4%

    • Fixed for three years @ 5%

  • The cost for the first year is 3%.

  • The two year loan costs 8% over two years, of which

    • 3% is the first year cost,

    • leaving 5% as the implied forward rate for the second year.

  • If you take the three year fixed period, the cost for three years is 15%

  • subtracting 3% for the first year and 5% for the second year, leaves 7% as the cost in the third year.

  • Thus, 5% and 7% are the year two and three forward rates.


More accurate forward rate calculation accounts for compounding
More Accurate Forward Rate Calculation (accounts for compounding)

  • irj = interest rate from time i to time j.

  • one year rate ; 0r1 = 3% -- given

  • two year cost: (1.04)2 = (1.03)(1+1r2) 1r2 = 5.01%

  • three year cost: (1.05)3 = (1.03)(1.0501)(1+2r3) 2r3 = 7.029%



Interest rate futures
Interest Rate Futures compounding)

  • CME group

  • Treasuries of different maturities and Eurodollar Futures

  • Eurodollar futures are on 3 month LIBOR interest rates

    • London Interbank Offered Rate

    • Traded many months into the future

    • Prices quoted as 100 minus the percentage interest rate

      • 5% interest would be quoted as a Eurodollar futures price of 95.

  • http://www.cmegroup.com/trading/interest-rates/


Eurodollar futures
Eurodollar Futures compounding)

3 month LIBOR futures

9/4/2012


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