A problem this market presents to “asset liability managers” (ALM) is that the usual negative correlation between risky equity and risk free notes, strips, and bonds is approaching 0, and at times has been positive.

For instance in the 2008 to 2009 crash in risk assets, in equity markets, Us Treasurys soared in price with long duration increasing in price by 50% to 60%. This had large ALM problems survive.

Now, as correlation approaches 0, there is no offset.

A Markowitz type portfolio construct will not provide offset from riskless fixed income to equity declines.

The “risk premium” for risk free is derived, the increase in yield required to extend duration - per year in basis points.

The annual change in NGDI priced into the market is derived for that change in 7 years.

This can be seen as the growth potential in the US economy.

The US economy has, according to a forward Fisher Effect logic, increased as the Federal Reserve actions have raised long term rates. This rise has more than offset the drop in the term premium towards 0.

The “basis” of NGDI for 7 years is netting NGDI level in 7 years to current dollars NGDI.

The basis is the implicit growth priced into the US economy.

The basis is given in both then current dollars and then in percentage of the current NGDI.

The current dollars instantaneous NGDI, the NGDI level expected in 7 years, and then the basis of that 7 year forward NGDI level is used to qualify equity values overtime.

## calculating recursion for 4600 datapoints
Log SP500 to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-09-12 -6.735111 1.4583211 0.6672628
2008-09-15 2022-04-25 -20.424258 2.8529401 0.9793829
2022-04-26 2022-12-27 12.215906 -0.3864037 0.0770473 

## calculating recursion for 4600 datapoints
Log SP500 to Log NGDI 7 Years Forward
Start_Segment End_Segment Intercept Slope r2 Segment_Length
2008-09-12 2022-04-26 -20.410154 2.8515045 0.9792758 3418
2004-09-20 2008-06-26 -7.899221 1.5809544 0.7520440 960
2022-04-26 2022-12-27 12.215906 -0.3864037 0.0770473 168
2008-06-26 2008-09-12 6.883840 0.0271914 0.0000671 53 

## calculating recursion for 4600 datapoints
Log R2000 to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-01-03 -13.798017 2.1364555 0.8545813
2008-01-04 2022-04-21 -17.688565 2.5163749 0.9341708
2022-04-22 2022-12-27 8.404228 -0.0885006 0.0037033 

## calculating recursion for 4600 datapoints
Log W5000 to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-06-27 -7.493479 1.7800088 0.7969730
2008-06-27 2022-04-27 -17.574880 2.8016035 0.9722135
2022-04-27 2022-12-27 14.546432 -0.3894747 0.0745072 

## calculating recursion for 4600 datapoints
Log BRK to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2004-10-20 72.54458 -7.258696 0.8330054
2004-10-20 2005-03-15 -31.41784 3.753093 0.8262816
2005-03-15 2022-06-14 -22.41127 2.781898 0.9633876
2022-06-14 2022-08-19 -35.50283 4.046896 0.8878188
2022-08-19 2022-09-30 52.43883 -4.590274 0.8047764
2022-09-30 2022-12-02 -57.66003 6.196048 0.9059627 

## calculating recursion for 4600 datapoints
Log BA to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-06-05 -35.95339 4.1876386 0.8854726
2008-06-05 2020-06-05 -49.17322 5.5055298 0.9425461
2020-06-05 2022-12-27 14.88825 -0.9553569 0.1486123 

## calculating recursion for 4600 datapoints
Log AMZN to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2007-04-24 3.744929 -0.3260598 0.0133550
2007-04-24 2020-04-06 -73.402525 7.8102998 0.9641926
2020-04-06 2021-07-02 -16.531000 2.1546299 0.7729643
2021-07-02 2022-12-27 47.506510 -4.1940466 0.7678261 

## calculating recursion for 4600 datapoints
Log MSFT to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2013-09-10 -9.441907 1.297473 0.4184444
2013-09-10 2020-01-22 -62.077656 6.703071 0.9834033
2020-01-22 2022-01-13 -26.460177 3.181435 0.9299957
2022-01-13 2022-12-27 25.599853 -1.967050 0.6074857 

## calculating recursion for 4600 datapoints
Log BA to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2008-06-05 -35.95339 4.187639 0.8854726
2008-06-05 2020-06-12 -49.13608 5.501690 0.9424027
2020-06-12 2020-11-09 30.20474 -2.509696 0.6130761
2020-11-09 2022-12-27 27.87858 -2.235213 0.5148782 

## calculating recursion for 4600 datapoints
Log JPM to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2005-10-18 17.04920 -1.470631 0.7203397
2005-10-18 2007-07-24 -52.37952 5.834234 0.9236168
2007-07-24 2022-04-12 -30.75900 3.541330 0.9272142
2022-04-12 2022-10-21 18.97140 -1.397339 0.3021622
2022-10-21 2022-12-27 -12.17875 1.666786 0.2569352 

## calculating recursion for 4600 datapoints
Log COST to Log NGDI
Start_Segment End_Segment Intercept Slope r2
2004-09-20 2004-11-05 -248.45086 26.688883 0.9621267
2004-11-05 2005-04-21 35.51707 -3.386109 0.7524862
2005-04-21 2022-09-23 -39.49948 4.512251 0.9812640