The usual quarterly statistical work will be completed this week. These data will be presented initially in three installments. When these are completed, they will be consolidated into a master document.
The second installment covers "Stock Market & Related." This material is covered in the seven tables that appear below.
---------------------------------
SELECTED 2Q-2004 FINANCIAL DATA
---------------------------------
TABLE OF CONTENTS
-----------------
CATEGORY TABLE
-------- -----
STOCK MARKET & RELATED
----------------------
* Selected Stock-Market Returns
(Domestic) 1
* Selected Stock-Market Returns
(International) 2
* Bear-Market Parameters to Date
(DJIA, S&P 500, NASDAQ 100) 3
* DJIA Earnings 4
* DJIA Valuations 5
* DJIA Valuations Versus
10-Year Treasury Note 6
* CBOE Sentiment-Related Measures 7
-------------------------------------------
Table 1.
----------------------------------------------
SELECTED 2Q2004 AND YEAR-TO-DATE
STOCK-MARKET RETURNS (Excluding Dividends,
Ranked by Second-Quarter Results)
----------------------------------------------
06/30 03/31 12/31 % Change
2004 2004 2003 ----------
Close Close Close 1Q YTD
----------------------------------------------
NASDAQ 100 1517 1438 1468 5.5 3.3
S&P 500 1141 1126 1112 1.3 2.6
Wilshire 5000 11139 11039 10800 0.9 3.1
DJIA 10435 10358 10454 0.7 -0.2
Russell 2000 592 590 557 0.3 6.3
NYSE Composite 6603 6599 6464 0.1 2.2
Value Line (G) 377 377 363 0.0 3.9
----------------------------------------------
Average 1.3 3.0
Median 0.7 3.1
----------------------------------------------
Table 2.
-------------------------------------------------
2Q-2004 AND YEAR-TO DATE SELECTED
WORLD STOCK-MARKET RETURNS*
(Ranked by Second-Quarter Returns)
-------------------------------------------------
06/30 03/31 12/31 % Change
2004 2004 2003 ------------
Country / Index Close Close Close Q2 YTD
-------------------------------------------------
Germany [ 1] 4053 3857 3965 5.1 2.2
Italy [ 2] 21113 20352 19922 3.7 6.0
Australia [ 3] 3533 3416 3306 3.4 6.9
France [ 4] 3733 3625 3558 3.0 4.9
United King. [ 5] 4464 4386 4477 1.8 -0.3
-------------------------------------------------
United States[ 6] 1141 1126 1112 1.3 2.6
-------------------------------------------------
Japan [ 7] 11859 11715 10677 1.2 11.1
Switzerland [ 8] 5619 5619 5488 0.0 2.4
Canada [ 9] 8546 8586 8221 -0.1 4.0
Singapore [10] 1838 1859 1765 -1.1 -4.1
Mexico [11] 10282 10518 8795 -2.2 16.9
Hong Kong [12] 12286 12682 12576 -3.1 -2.3
Brazil [13] 21149 22142 22236 -4.5 -4.9
Taiwan [14] 5839 6522 5891 -10.5 -0.9
South Korea [15] 786 881 811 -10.8 -3.1
India [16] 4795 5591 5839 -14.2 -17.9
Argentina [17] 945 1202 1072 -21.4 -11.8
-------------------------------------------------
Average -2.8 0.7
Median -0.1 2.2
-------------------------------------------------
*In local currencies, excluding dividends. [1]DAX
Xetra; [2]Ml Btel; [3]All Ordinaries; [4]CAC 40;
[5]FTSE-100; [6]S&P 500; [7]Nikkei 225: [8]Swiss
Market; [9]Toronto 300; [10]Straits Times;
[11]LPC All-Share; [12]Hang Seng; [13]Bovespa;
[14]Weighted; [15]KOSPI; [16]Sensex; [17]Merval.
-------------------------------------------------
Table 3.
---------------------------------------------------
BEAR-MARKET PARAMETERS TO DATE -- DJIA, S&P 500,
NASDAQ 100 (Updated Through the Close on 06/30/04)
---------------------------------------------------
2000 - 2004 Closing Prices
--------------------------
High/Date Low/Date/Change
----------------- -----------------------
DJIA 11722.98 01/14/00 7286.27 10/09/02 -37.8%
S&P 500 1527.46 03/24/00 776.96 10/09/02 -49.1%
NASDAQ 100 4704.73 03/27/00 804.64 10/07/02 -82.9%
---------------------------------------------------
2000 - 2004 Intraday Prices
---------------------------
High/Date Low/Date/Change
----------------- -----------------------
DJIA 11750.28 01/14/00 7197.49 10/10/02 -38.7%
S&P 500 1553.11 03/24/00 768.63 10/10/02 -50.5%
NASDAQ 100 4781.19 03/27/00 795.25 10/08/02 -83.4%
---------------------------------------------------
Versus Versus
Closing Intraday
------------- -------------
06/30/04 Close High Low High Low
---------------------------------------------------
DJIA 10435.48 -11.0% +43.2% -11.2% +45.0%
S&P 500 1140.84 -25.3% +46.8% -26.5% +48.4%
NASDAQ 100 1516.64 -67.8% +88.5% -68.3% +90.7%
---------------------------------------------------
Table 4.
------------------------------------------------
BEHAVIOR OF DJIA EARNINGS BEFORE/
DURING THE CURRENT BUSINESS CYCLE
------------------------------------------------
% Change
--------------------------
Earnings Qtr./ 4-Qtr. 4-Qtr./
($s) Same Qtr. Over Same
Quarter ------------- Prior Prior 4-Qtr.
Ended Qtr. 4-Qtr Year 4-Qtr. Prior Yr.
------------------------------------------------
2004
06/30 <----------- Not Available --------->
03/31 148.29 548.43 23.8 5.5 33.7
2003
12/31 150.52 519.96 69.5 13.5 34.9
09/30 121.26 458.23 13.9 3.3 18.5
06/30 128.36 443.43 34.9 8.1 16.5
03/31 119.82 410.19 25.8 6.4 12.5
2002
12/31 88.79 385.58 -1.4 -0.3 4.3
09/30 106.46 386.81 6.3 1.6 8.0
06/30 95.12 380.54 20.3 4.4 -2.5
03/31 95.21 364.46 -5.0 -1.4 -20.4
2001
12/31 90.02 369.51 14.4 3.2 -23.8
------------------------------------------------
11/30 <---- 2001 RECESSION OFFICIALLY ENDS* --->
------------------------------------------------
09/30 100.19 358.16 -24.2 -8.2 -29.0
06/30 79.04 390.23 -46.1 -14.8 -24.2
03/31 100.26 457.93 -21.3 -5.6 -8.2
------------------------------------------------
03/31 <-- 2001 RECESSION OFFICIALLY BEGINS* --->
------------------------------------------------
2000
12/31 78.69 485.14 -19.7 -3.8 1.7
09/30 132.24 504.39 -7.3 -2.0 4.3
06/30 146.74 514.75 -10.7 3.1 22.6
03/31 127.47 499.06 20.7 4.6 26.6
1999
12/31 97.94 477.22 -6.1 -1.3 24.5
------------------------------------------------
*Per the assessment of the National Bureau of
Economic Research ("NBER"), Cambridge, MA.
------------------------------------------------
Table 5.
--------------------------------------------------
DJIA VALUATIONS -- 1/14/00 - 06/30/04*
--------------------------------------------------
Earn- Divi- Book Div. Mkt./
DJIA ings* dends* Val. P/E Yield Book
Date Close ($s) ($s) ($s) Ratio (%) Ratio
--------------------------------------------------
2004
06/30 10435 548.43 212.92 2290 19.0 2.04 4.56
03/31 10358 548.43 214.55 2290 18.9 2.07 4.52
2003
12/31 10454 519.96 209.42 2290 20.1 2.00 4.57
09/30 9275 458.23 204.53 2290 20.2 2.21 4.05
06/30 8985 443.43 198.12 2464 20.3 2.21 3.65
03/31 7992 410.19 193.79 2464 19.5 2.42 3.24
2002
12/31 8342 385.58 189.68 2464 21.6 2.27 3.39
09/30 7592 386.81 184.06 2464 19.6 2.42 3.08
06/30 9243 380.54 185.18 2464 24.3 2.00 3.75
03/31 10404 364.46 180.08 2464 28.5 1.73 4.22
2001
12/31 10022 369.51 181.07 2464 27.1 1.81 4.07
==================================================
2000
01/14#11723 477.22 168.52 1315 24.6 1.44 8.91
--------------------------------------------------
Median of year-end values for the
50 years running from 1950-1999 15.3 3.75 1.65
--------------------------------------------------
*Reported four-quarter earnings and
dividends as of/closest to date shown.
#Last DJIA all-time closing high.
--------------------------------------------------
Table 6.
--------------------------------------------------
LOOKING AT DJIA PRICING VERSUS THE YIELD
ON THE ON-THE-RUN THE 10-YEAR TREASURY NOTE
--------------------------------------------------
A B C D
--- --- --- ---
Recip. of DJIA
DJIA 10-Year T- Earn- A Back
Date Close Note Yield ings* B x C A/D to D
--------------------------------------------------
2004
06/30 10435 21.74 $548.83 11932 -12.5% +14.3%
03/31 10358 26.11 $548.83 14330 -27.7% +38.3%
2003
12/31 10454 23.53 $519.96 12235 -14.6% +17.0%
09/30 9275 27.62 $458.23 12656 -26.7% +36.5%
06/30 8985 28.49 $443.43 12633 -28.9% +40.6%
03/31 7992 26.25 $410.19 10767 -25.8% +34.7%
2002
12/31 8342 26.46 $385.58 10202 -18.2% +22.3%
09/30 7592 27.62 $386.81 10684 -28.9% +40.7%
06/30 9243 20.88 $380.54 7946 +16.3% -14.0%
03/31 10404 18.48 $364.46 6735 +54.5% -35.3%
2001
12/31 10022 19.88 $369.51 7346 +36.4% -26.7%
--------------------------------------------------
*Trailing 4-qtr. earnings as of/closest to date.
--------------------------------------------------
Table 7.
----------------------------------------------------
2Q-2004, YEAR-TO-DATE AND YEAR-OVER-YEAR
PERFORMANCE OF THE S&P 500 AND THE BEHAVIOR
OF CBOE SENTIMENT-RELATED MEASURES
----------------------------------------------------
Date CBOE Options S&P 500
or Put/Call Ratios -------------------
Week CBOE ------------------- From
Ended VIX All Equ. Ind. Tot* Close Prior Cum.
----------------------------------------------------
2004
06/30 14.34 0.78 0.73 0.96 0.85 1140.8 +1.3% 117.07
03/31 16.74 1.31 1.10 2.27 0.83 1126.1 +1.3% 115.56
----------------------------------------------------
Q2-2004 1.3%
Year to Date 2.6%
Year/Year 17.1%
----------------------------------------------------
2003
12/31 18.31 1.25 0.95 2.96 0.82 1111.9 +11.6% 114.10
09/30 22.72 1.06 0.95 1.36 0.81 996.0 +2.2% 102.21
06/30 21.62 0.93 0.83 1.35 0.76 974.5 --> = 100.00
----------------------------------------------------
VIX Highs and Lows (Including Intraday)
---------------------------------------
Year High Date Low Date
---------------------------------------
2004 22.67 03/22 13.75 06/23
2003 41.16 03/12 14.83 12/15
2002 56.74 07/24 18.87 03/28
----------------------------------------------------
*P/C ratio of total open interest
of all products as of dates shown.
----------------------------------------------------
| 