Equity Market Data: S&P 500 Valuations, Earnings & Market Breadth

Equity Data for Macro Analysts

Macro analysts need equity data for:

• Wealth effect on consumption
• Financial conditions assessment
• Risk appetite measurement
• Corporate health indicators
• Policy transmission

Valuation Metrics

Price-to-Earnings (P/E)

Trailing P/E (TTM):

Last 12 months of actual earnings.

FRED Series: SP500PE (approximate)

Forward P/E:

Next 12 months estimated earnings.

Better for valuation, but estimate-dependent.

Historical S&P 500 P/E ranges:

Shiller CAPE (Cyclically Adjusted P/E)

FRED Series: Not direct, but data available

10-year average real earnings.

Why it matters:

• Smooths cycle
• Long-term predictor of returns
• Currently: ~30-35 (historically high)

Long-term averages:

• Pre-1990: ~15
• Post-1990: ~25
• Why higher? Lower rates, tech growth

Price-to-Book

Uses: Financial sector valuation, tangible asset value

Current: ~4-5x (historically elevated)

Price-to-Sales

Uses: When earnings are negative/volatile

Equity Risk Premium

Expected stock return minus risk-free rate.

Calculation approaches:

• Fed Model: Earnings yield - 10Y yield
• DDM implied: More complex
• Survey-based

Earnings Data

S&P 500 Earnings

Sources:

• S&P Dow Jones Indices (official)
• FactSet, Bloomberg (aggregators)
• I/B/E/S (estimates)

Earnings per share trends:

• Operating vs GAAP
• Forward vs trailing
• Growth rates (YoY)

Earnings Estimates

Consensus estimates:

• Next quarter
• Next 4 quarters (NTM)
• Multi-year

Estimate revisions:

• Positive revisions = bullish
• Negative revisions = bearish
• Revision ratio

Earnings Season Calendar

• Q1: April-May
• Q2: July-August
• Q3: October-November
• Q4: January-February

Key reporters: Banks kick off, then tech, then industrials

Market Breadth

Advance-Decline Line

Cumulative advances minus declines.

Interpretation:

• Rising with index = healthy
• Diverging from index = warning

New Highs - New Lows

Net new 52-week highs.

FRED Series: NHNLO (approximate)

Warning sign: Index rising, but net new highs falling.

Percentage Above Moving Averages

What % of stocks above 50-day, 200-day MA.

Interpretation:

Equal-Weight vs Cap-Weight

S&P 500 Equal Weight (RSP) vs Cap-Weight (SPY).

Divergence signals:

• EW outperforms = broad rally, healthy
• CW outperforms = narrow leadership, concerning

Sector Data

S&P 500 Sector Indices

11 GICS sectors:

• Information Technology

• Health Care

• Financials

• Consumer Discretionary

• Communication Services

• Industrials

• Consumer Staples

• Energy

• Utilities

• Real Estate

• Materials

Sector Rotation Patterns

Economic cycle:

• Early: Financials, Consumer Discretionary
• Mid: Technology, Industrials
• Late: Energy, Materials
• Recession: Utilities, Consumer Staples, Health Care

Sector Relative Strength

Compare sector performance to S&P 500.

Outperformance/underperformance trends.

Volatility Data

VIX (CBOE Volatility Index)

FRED Series: VIXCLS | IQ Score: 97

S&P 500 implied volatility (30-day).

Interpretation:

VIX Term Structure

• Contango: Normal (future vol > spot)
• Backwardation: Stress (spot vol > future)

Realized Volatility

Actual price movement (vs implied).

Compare to VIX for over/underpricing.

Market Internals Data

Put-Call Ratio

FRED Series: Not direct, but available from CBOE

Interpretation:

• High (>1.0): Bearish sentiment (contrarian bullish)
• Low (<0.7): Bullish sentiment (contrarian bearish)

Short Interest

Percentage of float sold short.

• High short interest = potential squeeze
• Rising short interest = bearish sentiment

Fund Flows

ETF and mutual fund flows:

• Inflows = bullish sentiment
• Outflows = bearish sentiment
• Contrarian at extremes

Data Sources

Free Sources

FRED:

• S&P 500 (SP500)
• VIX (VIXCLS)
• Some valuations
• IQ Score: 94-97

Yahoo Finance:

• Daily prices
• Basic fundamentals
• Free API

Shiller Data:

• CAPE data
• Long history
• Robert Shiller's website

Premium Sources

Bloomberg:

• Everything
• Real-time
• Expensive

FactSet/Refinitiv:

• Institutional grade
• Earnings data
• Analytics

S&P Capital IQ:

• Fundamental data
• Estimates
• Screening

Building an Equity Dashboard

Daily Monitoring

• S&P 500 level and change

• VIX level

• Sector performance (leaders/laggards)

• Breadth (A-D, new highs/lows)

Weekly Analysis

• Put-call ratio trend

• Fund flows

• Estimate revisions

• Sector rotation

Monthly/Quarterly

• Valuation metrics (P/E, CAPE)

• Earnings season results

• Equity risk premium

• Technical trends

Pro Tips

• CAPE for long-term: Not for timing, but return expectations

• Breadth divergences: Warning but not timing

• VIX extremes: Mean-reverting

• Earnings matter: Ultimately drive returns

• Sentiment contrarian: At extremes only

• Sector rotation: Tells you cycle position

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