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2017

Capital Times | ,
10 2017

4
, 4
11
14
17
20
25
31
33
37
: 44
. 47

48

CASHLESS ECONOMY ( ) 58

63
63
65
66

70
70
75

80

83

90

92

98

112

119

126
128
136
141

17- - (EQUITY-BOND SPY) 144

: 160

2017 . 10 2017 2


.
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2016
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1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
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2004
2006
2008
2010
2012
2014
2016
2018
2020
(
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Moldova Poland Romania
). Russia Slovak Republic Turkey

,

200

. 180

160

. 140

120

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80
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.
20

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.
1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

2016

2018

2020


, , USD
All Commodity Price Index, 2005 = 100
Crude Oil (petroleum), Price index, 2005 = 100
.

2017 . 10 2017 4



: 200

IMF Commodity Price Index


1. (95% 2013
180 2014

: 2016
160


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2. ( 120 2015
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100 2016
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1980 = 100
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.
1963
1965
1967
1970
1972
1975
1977
1979
1982
1984
1987
1989
1992
1994
1996
1999
2001
2004
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2017 . 10 2017 6





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2017 . 10 2017 13


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2017 . 10 2017 14




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2017 . 10 2017 15



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2017 . 10 2017 16




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2017 . 10 2017 17


55% US$, % /
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2002

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2020

2017 . 10 2017 18


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2017 . 10 2017 19


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2017 . 10 2017 26


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2017 . 10 2017 27



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2017 . 10 2017 28


2017-18


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,
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) $58,9 50

. 40

30

20

10

0
1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

-10

2017 . 10 2017 29


,



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2017 . 10 2017 30


160 : USD 140% %
. :

140 120%

120
100%

100
80%
80
60%
60

40%
40

20 20%

0 0%

2003-4

2014-4
2015-4
2016-4
2003-4

2014-4
2015-4
2016-4

2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4
2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4


2014 . 130% -
. (
. USD).
USD %
160 140%
.


140 120%

120
100%

100
80%
80
60%
60

40%
40

20 20%

0 0%
2003-4

2014-4
2015-4
2016-4

2003-4

2014-4
2015-4
2016-4
2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4

2004-4
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2009-4
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2012-4
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2009
. $31 ., $6,2
2018 .
.
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2017 . 10 2017 31


, .$ ( , .$


)


120

35

( )
100
30

25 80

20
60

15

40

10

20
5

0 0
2003-4

2014-4
2015-4
2016-4
2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4

2003-4

2014-4
2015-4
2016-4
2004-4
2005-4
2006-4
2007-4
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2009-4
2010-4
2011-4
2012-4
2013-4
( USD) 1- 2013
2015 . -
4- 2016 .
( ) -
.
, .$ , %
80 80%


70 70%
( ) ( )
60 60%

50 50%

40 40%

30 30%

20 20%

10 10%

0 0%
2003-4

2014-4
2015-4
2016-4

2003-4

2014-4
2015-4
2016-4
2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4

2004-4
2005-4
2006-4
2007-4
2008-4
2009-4
2010-4
2011-4
2012-4
2013-4

2017 . 10 2017 32


45 000
, .USD
40 000
, .USD
, 35 000
30 000
. ,
25 000
20 000
.
15 000

$4,3 . 10 000

5 000
- :
0

1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
, .
-5 000

,



3,
3-
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.


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(
).

2017-18


,
($21.3 . 2017
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2016 $20
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22% $4,5
.

2017 . 10 2017 33


.
,
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2013 .

$21 .
. .
,
(
2014-15 )
.
( ):
1
[25%; 100%; 20%2] = [$13 .; $45 .; $8 .] = $45 .
2
:
30% + 15% + 10%2 + 10% = 13,6 + 4,5 + 4,0 + 4,6 = $26,6 .
:
30% + 10% + 5%2 + 5% = 13,6 + 3,0 + 2,0 + 2,3 = $20,9 .
($45,35 .)
($30,1 .)
2 2 (1 102 ..)
($51,5 .)
($45,9 .)

2017 . 10 2017 34

https://www.imf.org/external/np/pp/eng/2011/021411b.pdf

($15,5 .) ($11,3 .), ($3
.) ,
$4,3 . $20,9 .
2016 ( $2,9 .),
6 (!) , 2022 .
99% ,
.
2016 ,
, . (
),
, .
:
.
, ,
. 1 .
100


.





24,6 /.
,
.


, 10
,


,




89,6 /.

1
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019

2017 . 10 2017 35


700
, ..
.


600
2016



500
82 ..,
27 ..

400
" "

109
..

300

(
150-200 ..),
200



. 100

0
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

30 400
( )


. 350
25

,

300
,
20


. 250

15

. UAHUSD 200

, .. (..)

10
150

5 100
2014 2015 2016 2017

2017 . 10 2017 36


Bail-in 32 ..
200 . .
.. ( ). .
,
, 150-
- . 200 ..
30 2016
26 090 30 295

185 025 21 087
32 295 155 388

6 940 40 689
-29 942
21 932
,
20 698
8 502 24 081
271 540 271 540
73 827
(Bail-in) -32 000
.. -16 065
() 116 800
, 48 913
https://privatbank.ua/about/finansovaja-otchetnost/#quarterly
01 2017
31 185 12 664
( ?) 34 969 18 047
19 723 151 040
(?) 64 409 29 906
(?) 39 288
(?) 30 444 8 361
220 018 220 018
115 317
(Bail-in) -32 000
.. -16 065

2017 . 10 2017 37

?
- ( ) 20-50 ..
.
, .
200 ..
.
64 6% (
) 43
10%. .
.
1. .
? .
, .
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.
2. .
. , ?
- .
.


,


14% .




.

:
.

- 2,5
Loan-to-Deposit ratio
2,3

2,1
1,27
1,9

1,7
.
1,5
,
1,3

1,1

. 0,9
2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017 . 10 2017 38



.

.




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.




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,
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(
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2017 . 10 2017 39


2008-09 90 000 ,
USD
80 000 mln. ,
70 000
.
60 000

50 000

. 40 000

30 000
. 20 000

10 000

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017
, .
.
, .. , ..
15 000 200

0
10 000

Apr-14

Apr-15

Apr-16
Oct-14

Oct-15

Oct-16
Jan-14

Jan-15

Jan-16

Jan-17
Jul-14

Jul-15

Jul-16
-200
5 000
-400

0 -600
Apr-14

Apr-15

Apr-16
Oct-14

Oct-15

Oct-16
Jan-14

Jan-15

Jan-16

Jan-17
Jul-14

Jul-15

Jul-16

-5 000 -800

-1 000
-10 000
-1 200
-15 000
-1 400
,
,
-20 000 -1 600


. - $3 .,
. $14 .
-
. .
, .. , ..
450 , ,
35
400 , ,
30
350
25
300

250 20

200 15
150
10
100
5
50

0 0
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2017 . 10 2017 40


2016
,
. , , -
.
.

, .. , ..
70
700


60
600

50
500

40
400

30
300

20
200

10
100

0
0
2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017


. .

.

.

,
:
,

.
.

2017 . 10 2017 41


.

.

2017 . 10 2017 42


, .
.

. .
, .
.
2017 .

.
, ,
, , ..

2017 . 10 2017 43

WIG-20,
(12 20 ).
24%. .
.
PKO Bank Polski ( 29,43%) .
PKN Orlen (27,52%), , .
PZU (35,19%)
KGHM Polska Miedz (31,79%) ,
PGNiG (70,4%)
PGE (57,39%)
ALIOR (10,28%)
IT- Asseco Poland (31,79%)
Lotos (53,19%) , ,

TAURON POLSKA ENERGIA (30,06%), ENEA S.A (53,33%), ENERGA


SA (51,52%)

WIG-20
Share and rights
Number of shares in Value in the basket Share in to share in total
Company ISIN
the index (PLN) index (%) equity turnover
(%)

1 PKOBP PLPKO0000016 857 593 000 23 669 566 800 14.285 7.24 29,43%

2 PKNORLEN PLPKN0000018 309 998 000 23 442 048 760 14.148 15.91 27,52%

3 PEKAO PLPEKAO00016 157 219 000 19 361 519 850 11.685 6.37 0%

4 PZU PLPZU0000011 568 305 000 15 685 218 000 9.466 14.36 35,19%

5 KGHM PLKGHM000017 136 410 000 9 794 238 000 5.911 5.04 31,79%

6 BZWBK PLBZ00000044 30 353 000 9 688 677 600 5.847 1.43 0%

7 PGNIG PLPGNIG00014 1 746 293 000 8 871 168 440 5.354 2.01 70,40%

8 PGE PLPGER000010 796 776 000 8 286 470 400 5.001 6.60 57,39%

9 LPP PLLPP0000011 1 283 000 7 331 062 000 4.425 2.42 0%

10 CYFRPLSAT PLCFRPT00013 214 367 000 5 198 399 750 3.137 1.31 0%

11 CCC PLCCC0000016 26 067 000 5 187 333 000 3.131 0.84 0%

12 MBANK PLBRE0000012 12 901 000 4 492 773 250 2.712 0.57 0%

13 ALIOR PLALIOR00045 91 484 000 4 435 144 320 2.677 0.87 10,28%

14 ASSECOPOL PLSOFTB00016 74 917 000 3 918 159 100 2.365 1.03 31,79%

15 ORANGEPL PLTLKPL00017 647 357 000 3 644 619 910 2.200 1.64 0%

16 EUROCASH PLEURCH00011 78 480 000 3 182 364 000 1.921 2.65 0%

17 LOTOS PLLOTOS00025 86 543 000 2 912 171 950 1.758 1.95 53,19%

18 TAURONPE PLTAURN00011 1 043 590 000 2 765 513 500 1.669 3.29 30,06%

19 ENEA PLENEA000013 214 078 000 2 187 877 160 1.320 1.38 53,33%

20 ENERGA PLENERG00022 200 740 000 1 638 038 400 0.989 1.26 51,52%

TOTAL 165 692 364 190 100 78.17 24% ()

2017 . 10 2017 44


, ..


.
20 2013

.
1992
15

5.4 ,
1997
3.9 ,
10 2013 3.5 .
2016


5 6.1 .
, 2021

5 ,
0
1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020

Ukraine Poland ($3257 $16192
).
140
2014
, . USD


120

,
100

80

6-
60
.
40 ,

20
, USD ,
0 .
0 2000 4000 6000 8000 10000

: 1995


(
,
..),

.
1995




.

2017 . 10 2017 45


: 2014 , 2014
,
,
,
, ,


.

.

: 2014 2014

,
1994 :
.


,

.

: 1995 () 2014 ()



.
1995 2014 .

: 2014
-


.

2016 26%

9,3%
,
.
2016

2,4% (
).
,

32%.
: http://atlas.media.mit.edu/en/profile/country/pol/
2017 . 10 2017 46


. . 2014 2015 2016 2017 2018 2019 2020
USD 133.1 90.9 92.3

Capital Times 97.7 98.0 102.0
(-16) 95.3 104.9 114.5 125.3
( -16) 93.5 103.0 112.4 122.9

Standard & Poor's 95.9 104.5 114.3


Economist Intelligence Unit 91.5 95.1 99.2
BMI Research 92.7 98.2 107.3

UAH 1 587 1 979 2 358

Capital Times 2 702 2 978 3 276


(-16) 2 596 2 916 3 216 3 546
( -16) 2 595 2 914 3 214 3 542

2 739 3 081 ..
% -7.9% -9.9% 1.8%

Capital Times 2.6% 1.2% 2.0%
(-16) 2.5% 3.0% 3.5% 4.0%
( -16) 2.5% 3.0% 3.5% 4.0%

Standard & Poor's 2.3% 2.5% 2.7%


Economist Intelligence Unit 2.5% 1.5% 1.5%
BMI Research 2.4% 3.4% 3.6%
2.8% 3.0% ..

(CPI) % 24.9% 43.3% 12.4%

Capital Times 8.4% 8.0% 7.0%


(-16) 8.5% 6.5% 6.0% 5.0%
(-16) 8.5% 6.5% 6.0% 5.0%

Standard & Poor's 9.5% 8.0% 7.0%


Economist Intelligence Unit 8.1% 13.1% 11.0%
BMI Research 8.3% 7.1% 6.0%
9,1% 6,0% ..
USDUAH 11.9 21.8 25.6
,
Capital Times 27.6 30.3 32.1
(-16) 27.2 27.8 28.1 28.3
( -16) 27.7 28.3 28.6 28.8

Standard & Poor's 26.5 27.0 27.2


Economist Intelligence Unit 30.3 32.6 33.1
BMI Research 26.5 28.0 28.9
USDUAH 15,8 24,0 27.2

Capital Times 29,3 31,2 32,8

2017 . 10 2017 47


( )
, 26 9,4 ..
( 18,2 .. 1990 8,8
. 2017 ).
.
,
.., ,
, , .
,
.

50

13,1
13,1
13,1

40
13,6
14,2
14,5
14,5
14,5
14,5
14,5
14,4
14,4
14,4
14,3
14,1
14,1
13,9
13,8

30
13,7
13,7

13,8
13,7

13,6
13,5
12,1
12,3
11,6
11,6
11,6
11,6
11,6
11,6
11,6
11,5
11,5
11,5
11,5
20

10
18,2

18,2
18,2

17,5
16,6
15,9
14,9
14,0
12,7
12,3
11,6

11,4
11,3

11,2
11,1

11,1
11,0
10,9
10,7

10,5
10,4
10,3
10,2
10,1

9,1
8,8
8,8
8,7
8,6
8,5
8,3
8,1
7,8
7,7
7,5
7,3
7,2
0
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026


" "
,


?
-,
.
-, , 1990
(1990-94, 1998-2000, 2008-09 2014-15 ),
.
. , 1990-95 ,
.
-,
. ,
.
-, 7
. .
,
. ,
2017 . 10 2017 48


.
.
.
, 26
8,8 ..,
.

.
?

1983-86
.

, .
750 .
.
1983-86 1987 2015

.

2002-08 : - ,
.
,
.
.


, % 17,7%
17,5%
17,5%

17,1%
20% 20%
16,6%
16,6%

16,5%

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10% 10%
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8% 8%

6% 6%

4% 4%

2% 2%

0% 0%
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017


: 15,2% .
,
2017 11%. ,
.
2017 . 10 2017 49


, % (2014 )
0 2 4 6 8 10 12 14 16 18
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Italy 16,5
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France 15,2
Austria 14,9
Denmark 14,2
Finland 13,4
Serbia 12,9
Spain 12,8
Belgium 12,5
Germany 11,8
Poland 11,8
Switzerland 11,8
Netherlands 11,5
Sweden 11,5
United Kingdom 11,3
Slovenia 11,2
Ukraine (2017) 11
Croatia 11
Cyprus 10,5
Luxembourg 9,4
Norway 9,3
Czech Republic 9
Hungary 9
Iceland 9
Bulgaria 8,8
Slovakia 8,7
Malta 8,6
Turkey (2013) 8,3
Romania 8,2
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Ireland 6,4

,
.
.
: .
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2015 , . .
800

700

600

500

400

300
200

100


0
2015
2013
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2005
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2001
1999
1997
1995
1993
1991
1989
1987
1985
1983
1981
1979
1977
1975
1973
1971
1969
1967
1965
1963
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1959
1957
1955
1953
1951
1949
1947
1945
1943
1941
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2017 . 10 2017 50


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2017 . 10 2017 51


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2017 . 10 2017 52


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2017 . 10 2017 53


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2017 . 10 2017 54


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2017 . 10 2017 56




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2017 . 10 2017 58


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2017 . 10 2017 59


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2017 . 10 2017 60



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, 1000 .

2017 . 10 2017 61


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12%
10%
8%
6%
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Aug-97

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Aug-05

Aug-07

Aug-09

Aug-11

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Dec-96

Dec-98

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2017 . 10 2017 62


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2017 . 10 2017 63


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2017 . 10 2017 64



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2017 . 10 2017 65



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2017 . 10 2017 66


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2017 . 10 2017 67


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2017 . 10 2017 68


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2017 . 10 2017 69


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2017 . 10 2017 70

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2017 . 10 2017 71



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80
110
105
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,
120
$25 100
EURUSD Nominal Dollar Index 140
95
1,17-1,20 Crude Oil, RHS
90 160

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Apr-11

Apr-14
Oct-00
Jul-01

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:
,

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.



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2017 . 10 2017 72

BP -
. ,
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2017 . 10 2017 73

BP:


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.
2035



.

, % --

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BP (2,5%). 4%


3%

2%

. 1%
,
0%

1951
1954
1957
1960
1963
1966
1969
1972
1975
1978
1981
1984
1987
1990
1993
1996
1999
2002
2005
2008
2011
2014
.
https://www.conference-board.org/data/economydatabase/index.cfm?id=27762



2017

:

,


10%
.

2017 . 10 2017 74


- (El Nio) - (La
Nia).
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- (La Nia)

- , .
.
.

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.

- ()
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.

.

2017 . 10 2017 75

245 3,50
Wheat
240

, 235
3,00
2004
. 230

2,50
225

220
, 2,00
215

210
1,50
. 205

200 1,00
1960
1962
1964
1966
1968
1970
1972
1974
1976
1978
1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
Area Harvested (million hectares) Yield (metric tons /hectare), RHS

800
Wheat
700
.
600

500

400

300

200
1960
1962
1964
1966
1968
1970
1972
1974
1976
1978
1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
Production (million metric tons) Domestic disappearance (million metric tons)

300 45%
Wheat
40%
250
35%

200 30%

25%
,
150
20%

100 15%
.
10%
, 50
5%

0 0%
1960
1962
1964
1966
1968
1970
1972
1974
1976
1978
1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016


60
. Ending Stocks (million metric tons) % Ending Stocks of Domestic Use

2017 . 10 2017 76






,

.




.

190 5,90
Corn
180 5,40

170
4,90

160
4,40
150
. 3,90
140
3,40
130
2,90
120

110 2,40

100 1,90
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
2004/2005
2006/2007
2008/2009
2010/2011
2012/2013
2014/2015
2016/2017
Area Harvested (million hectares) Yield (metric tons /hectare), RHS

1 100
Corn
1 000

900
. 800

700

600

500

400

300

200
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
2004/2005
2006/2007
2008/2009
2010/2011
2012/2013
2014/2015
2016/2017

Total Domestic Use (Total Consumption) Production (million metric tons)

2017 . 10 2017 77

250 50%
Corn
45%

200 40%

. 35%

150 30%
25%
100 20%

15%

, 50 10%
5%
0 0%
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
2004/2005
2006/2007
2008/2009
2010/2011
2012/2013
2014/2015
2016/2017

12 .

Ending Stocks (million metric tons) % Ending Stocks to Total Consumption, RHS


,

.



.

140 400
, Soybean
120 350

300
100
.
250
80
200
60
150
40
100

20 50

0 0

Soybean Area Harvested (million hectares) Soybean Production (million metric tons)

2017 . 10 2017 78

90 30%
Soybean
80
25%
70

60 20%

50
. 15%
40

30 10%
20
5%
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0 0%

Soybean Ending Stocks (million metric tons) % Ending Stocks-to-Use, RHS




.



.

2017 . 10 2017 79


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2017 . 10 2017 81


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BREXIT 8
4

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2017 . 10 2017 83


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.

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PMI 50 ,
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2017 . 10 2017 84





.

.



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.
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2017 . 10 2017 85





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2017 . 10 2017 86


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2017 . 10 2017 87


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2017 . 10 2017 88


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.

2017 . 10 2017 89


- .
, 2017
,
.

200 ( USD)
IMF Commodity Price Index

180

0,96.
160 ,
140

, .
120

100

80

60

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0
0 500 1000 1500 2000 2500

200 2500 2016


180
,

160 2000 2015
140 .

120 1500

100 ,
80 1000 .

60

40 500 2017
20 ( $1,31 . $1,44 .).
0 0
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016
2018
2020

All Commodity Price Index, 2005 = 100


Crude Oil (petroleum), Price index, 2005 = 100
, USD (..)




(
)
(


).

: http://www.tradingeconomics.com/russia/balance-of-trade
2017 . 10 2017 90


800
2016
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600 .

500


400

300 2018 .
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$20
100 2017

0 .
01.01.94
01.05.95
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01.05.07
01.09.08
01.01.10
01.05.11
01.09.12
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01.09.16





( ) ( )
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.
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: 2017 3620
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2017 . 10 2017 91



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2017 . 10 2017 92


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2017 . 10 2017 93


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2017 . 10 2017 94







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2017 . 10 2017 95

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2017 . 10 2017 96



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:

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2017 . 10 2017 97


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.

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2017 . 10 2017 98


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,
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1

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.
, 0
65%
2007
0
60%
56% 72%, 0
55%
0


50% 0
.
1982

1987

1992

1997

2002

2007

2012
, 12-
, 0 1

1982

1987

1992

1997

2002

2007

2012
-50 1
.
-100 1

-150 1

-200 1
2008-16
-250 1
$400-470 .
-300 0
2015
-350 0

-400 0
:
, -450

0
Interest Expense on the Debt Outstanding
. -500 0

10-
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9%
8%
25%

( 7%
20%
).
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5% 15%

4%

: 10%
3%
20-25%

2%
5%
1990- 13% 10-
1%
. % ,
0% .. 0%
1988
1989
1990
1991
1992
1993
1995
1996
1997
1998
1999
2000
2002
2003
2004
2005
2006
2007
2009
2010
2011
2012
2013
2014
2016

2017 . 10 2017 99


10-
. ,
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.




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. 2020
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60%
.






.


.

2017 . 10 2017 100




( 1%
). - .
.
.
(12- )
% /
21% 1
20% 1
1 1
20% 15%
1 1
19% 10%
1 1
18% 5%
1 1
17% 1 0% 1

1982

1987

1992

1997

2002

2007

2012
0 0
16% -5%
0 0
15% -10%
0 0
14% -15%
0 0
13% 0 -20% 0
1982

1987

1992

1997

2002

2007

2012

12 ., % /

, 12-
400 1
200 1

0 1
: 3,1%
1982

1987

1992

1997

2002

2007

2012
$580 . 2016 -200 1
. -400 1
-600 1
-800 0
-1000 0
-1200 0
-1400 12 ., USD 0

-1600 0





.
,

:

$650 .
2017 .

2017 . 10 2017 101





: 2017

$1 .

:
,
.
2017



4%
$800 .
.



2 000 -1600

-1400
,
1 500 -1200
: -1000

1 000 -800

$800 . -600

500 -400

-200

0 0
1982

1987

1992

1997

2002

2007

2012
200

-500 400
Federal Debt Held by the Public 12

12 , USD ( .)

2014
1 000 1
12 ., USD

1
800
.
1

600 1

400
1

1

(QE4). 200
0

0 0
1982

1987

1992

1997

2002

2007

2012

0
-200
0

-400 0

2017 . 10 2017 102






,




(MBS)
.


1 000 1
12 ., USD
. 800
1
, 1
600 1
1
400
1
200
0

0
0
1982

1987

1992

1997

2002

2007

2012
. 0
-200
0
-400 0

1 100
.

900

700
2015 500

300
$400 .
100

-100

-300

-500

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
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017

( $130
.). https://www.treasury.gov/resource-center/data-chart-
$500 center/tic/Pages/ticpress.aspx
.

2017 . 10 2017 103




2016
1 400 1

, 1 200 1

. 1 000 1

800 1
$2,7
. 600 1

400 1

200 0

0 0

1982

1987

1992

1997

2002

2007

2012
-200 0

-400 12- Federal Debt Held by the Public (Foreigners + FED) 0

-600 0

LBOR, USD (1, 3 12 )








LIBOR,

.

https://fred.stlouisfed.org/series/USD3MTD156N#0
14 2016
2 500 GOVERNMENT
2012 PRIME
TAX-EXEMPT
, 2 000
()
.
1 500

2016
1 000

$800 .
.
500


0



.
https://www.ici.org/research/stats/mmf

2017 . 10 2017 104





( ..) :
. .
$290 .
, 36%
( $800 .
) -
.
$140 .


: $150 .


Moodys,
$1,77 ., $1,3
. .

$2,6
.

Bank of America,
(
)
$1,17 .

Apple, . $ Apple (
), . $

2017 . 10 2017 105





Homeland Investment Act
( 2004
2005 ),

85% ,
( 5,25%
35%).
IRS,
:
,
( -) ,
R&D , ,
acquisitions.
..
SHAREHOLDER DISTRIBUTIONS, STOCK
REDEMPTIONS Treasury bills,
municipal corporate bonds.
2005 :
10%,
,
(buybacks)
9%
S&P 500.
Analysts Accounting
Observer,
S&P 500 2016
$2.6
.
( Apple


)
.



Homeland Investment Act 2004 .
5,25% 8,75%
10%

.

$1 .,
$100-150 . 15-
20% 2017 (

http://fortune.com/2017/01/23/tech-pharma-best-
).
stocks-trump-cash-america/

2017 . 10 2017 106




30 ,
,
EPS
2018 ( $8-9).

, EPS ($4-6).

.

( Blueprint)
.
,
10 $2,4 6,2 .
.

Discretionary, Financials Utilities.

2017 . 10 2017 107



2017 . 10 2017 108






Financials, Consumer
Discretionary Telecom.


. ,
25 $4-5
EPS 2018 ( 4%).
Energy, Telecom Materials.
IT.
$90 .
.


, (BTA) 20%,
,
.
(border-adjusted corporate tax,
BTA). ( 10-20%),

.
(
-
, BTA ( 5%).

). $140 . .
,

(
2006 2012 3).
, .

3
http://www.liga.net/opinion/312592_kak-povliyaet-na-dollar-nalogovaya-reforma-trampa.htm
2017 . 10 2017 109


BTA Consumer Staples Discretionary (-).
Materials Industrials.

BTA : Goldman Sachs


WTI 25%
Brent.
- .
- .
, Urals, ,
Brent, , .

2017 . 10 2017 110



(BTA) 20%:
- 25%;
- ( ) ;
- 10-20%;
- 5%;
- % ;
- .
, Bank of America,

15%. ,
( 25%),
. .
, ,
.
, 2017 .
.

2017 . 10 2017 111




EURUSD
0,9, , .
, ,
() , .

,
, , .

EURUSD 10-

9
2016
6%.








(
).

10-

1,8%
2,58%
.

https://www.fidelity.com/viewpoints/market-and-economic-insights/business-cycle-
update-December-2016
10-

.




.

,


.
,


.


.
2017 . 10 2017 112


EURUSD 1971-2017

:


. 1,2


,
2016 . 0,9



. EURUSD

0,9,
1,2.
USD EURUSD
2014 ,

EURUSD 1,40.


(-
14 -15):
= .



QE3 -
14.
2015


,
.
,


,

(
).
Homeland Investment Act
(2004) 2005
10%.



,
. Nomura

$240 .
EURUSD, USDCHF,
GBPUSD, USDCAD.

2017 . 10 2017 113




.
.

: (EURUSD : (EURUSD
1,2) 1,10-1,15)
,
.
. 10- UST
.

.

2017 . 10 2017 114




(
) .
.


, ,

.
, ,


.
27%
( $11 . $41 ), $6
. .


. 12 -12
:
(TIC), 1978.,
..
10 -10

(
$500 . )
8 -8
,
( $350
. ).
6 (), . -6


( 4 -4


).
2 -2
2014
.
0 0
1978
1980
1982
1984
1986
1988
1990
1992
1994
1996
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016

2017 . 10 2017 115





15 1971
.
1972-75

,

,


.

,

.

,


.


:
.


.

-
, ,
,
.
,


,
2014
. .
-
,
.

, 2016

(

)

.


.

2017 . 10 2017 116




,
. ( ).
. ( ).
. .
,
.

.
(SDR) .
SDR:

.
.
:
, , 0.1%-
0.2% .
.


.
-,
.
.

2017 . 10 2017 117




( 22%
17%).
( 33% ).
,
.
2016 2015

, 17%
( ),
5%.
, .


,
-
.

2017 . 10 2017 118




( ) ,
.
: , .

.

-

.



.



:


.



,

,

.



2014 . ,


.

.

2017 . 10 2017 119






$1 . ( $4
. 2014 $3
. 2017 ).
:
$1 .

$1 .

,
( ?)
.
,



(

)
$1 .
-
,
.

.
,
,
. :
-
(, );
-
();
-
45% ( ,
).
(
, , ).
2014 , %
,


.




.
,


, .

: BMI, China Statistical Yearbook 2015

.

2017 . 10 2017 120




2014 , %

,


.



()
.

,

2%
.
, : BMI, NBS
NB:
,

.



.


,


,

,


.
, General Motors

, .
: BMI, Bloomberg, UN comtrade



.

.

2017 . 10 2017 121




CNY/USD


,


.


,


.

.
CNY/USD
( )


-

(
).




.

, %

,

,
.

, ,
.

: BMI, UN comtrade, ADB

2017 . 10 2017 122








.

-
-
,
.


.

,
.


. : BMI

, : ()
()

: BMI, Global Trade Alert

2017 . 10 2017 123







.



.
.


.


.


,

(


).


.


,

.


.

: http://policyuncertainty.com/index.html

2017 . 10 2017 124



,
.
. ,
.

,
.

,
.
. ,
. , .
, .
,
. ,
-
.


, ,
.
:
,
.
.

. : ,
,
.
.

.
, ,
.

2017 . 10 2017 125




: , (),
( ).
,
, private equity ..

2016 :
, .
.


2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

38,9% 22,5% 76,0% 29,3% 29,3% 20,8% 25,9% 30,1% 2,2% 11,6% Emerging Markets
31,6% 6,7% 39,1% 28,3% 13,2% 18,6% 24,7% 25,3% 1,6% 11,2% High Yield Corporate Bonds

30,5% 4,9% 31,9% 18,9% 9,6% 17,5% 11,7% 10,8% 0,7% 10,1% Commodities

13,8% 1,6% 29,6% 12,4% 8,6% 14,4% 4,5% 9,7% 0,6% 8,3% REIT

11,6% 0,4% 24,0% 12,0% 8,5% 12,6% 2,3% 9,7% 0,5% 8,0% Gold
9,2% -2,4% 21,1% 9,0% 7,1% 11,6% 1,4% 4,6% 0,0% 6,8% S&P 500

7,9% -2,9% 15,3% 8,9% 2,5% 9,5% 0,0% 3,8% 0,0% 6,1% Global Bonds (USD Hedged)
5,0% -13,6% 11,2% 8,5% 2,3% 6,8% -0,1% 0,9% -1,4% 5,2% Investment Inflation

4,7% -21,3% 10,8% 7,2% 0,3% 6,6% -0,8% 0,7% -1,5% 4,5% TIPS

3,5% -37,1% 3,9% 6,2% 0,0% 3,5% -1,8% 0,4% -1,8% 1,4% Consumer Inflation PCE

3,4% -44,7% 2,1% 4,9% 0,0% 1,7% -5,2% 0,0% -2,0% 1,2% Long Term Treasury
2,0% -45,8% 1,4% 2,6% -3,3% 0,7% -8,9% -2,2% -10,7% 1,1% Short Term Treasury
0,5% -48,6% 0,1% 1,4% -11,6% 0,1% -13,0% -6,7% -15,5% 0,2% Cash

-16,5% -52,8% -12,1% 0,1% -18,8% -0,6% -28,3% -33,0% -34,1% -0,8% European Stocks
: https://www.portfoliovisualizer.com/historical-asset-class-returns, Capital Times

: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf
2017 . 10 2017 126

2016 .
.
16,3%.
RTS 52%.
:
- 45%;
- ,
.
.
17,8%.
BOVESPA 38%.
2011-15
.

: -
. , -
.
.
.
.

: https://novelinvestor.com/emerging-markets-performance/

2017 . 10 2017 127




( S&P 500)
( 10- ),
.

.
1934
1002
6 . 9 . 1
(
. % . % . %
% )
520 52% 539 54% 527 53%
10- 308 31% 309 31% 307 31%
3- 174 17% 151 15% 162 16%

-
,
. ,
.
,
, ( 1 12
),
, 0.5%:
45% ;
30% ;
25% .

,
.
S&P 500.

S&P 500 4

1 000

100

Corporate Profits with Inventory Valuation Adjustment (IVA) and Capital Consumption Adjustment
(CCAdj), Billions of Dollars, Quarterly, Seasonally Adjusted Annual Rate
SP500
10
1947
1949
1951
1952
1954
1956
1958
1960
1962
1964
1966
1968
1970
1972
1974
1975
1977
1979
1981
1983
1985
1987
1989
1991
1993
1995
1997
1998
2000
2002
2004
2006
2008
2010
2012
2014
2016

4
https://fred.stlouisfed.org/series/CPROFIT
2017 . 10 2017 128

, . ,
, ,
. ,
, , . ,
, ,
.
EPS: earnings per share
( ).
EPS S&P 500 ,
, . EPS -
.

EPS S&P 500

120

12
Oct-88

Oct-99

Oct-10
May-93

May-04

May-15
Feb-85

Feb-96

Feb-07
Dec-86

Dec-97

Dec-08
Jan-86

Nov-87

Apr-94

Jan-97

Apr-05

Jan-08

Apr-16
Sep-89

Jun-92

Mar-95

Nov-98

Sep-00

Jun-03

Mar-06

Nov-09

Sep-11

Jun-14

Mar-17
Aug-90
Jul-91

Aug-01
Jul-02

Aug-12
Jul-13

, 2016
EPS S&P 500 2017 $131,
20% --.
,
2017 .

, (
). P/E
(17 23). , PE S&P 500
. .

2017 . 10 2017 129




P/E S&P500
2,50

P/E

2,00
50,00 SP500 / Corporate Profit, RHS

1,50

1,00

0,50

5,00 0,00
1947
1949
1951
1953
1955
1957
1959
1961
1963
1965
1967
1969
1971
1973
1975
1977
1979
1981
1983
1985
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
2011
2013
2015
EPS ()
PE, S&P 500. , EPS
130, PE 17, S&P 500 2210
, . PE 20, S&P 500
2600.

EPS PE

Morgan Stanley EPS



. , .
, EPS 130,
116.
2017 . 10 2017 130

, 2009 ,
,
. :
.
.
,
. ,
.
.

CAPE PE (Cyclically adjusted price-to-earnings ratio) ,


2017 . 10 2017 131




.
,
.
-
- ,
.
, ,
.

EPS 2017 $130-135 2017


$127-130.
Goldman Sachs $116. ,
EPS ( ) EPS
.
$116, EPS 7% --
.

2017 . 10 2017 132



EPS S&P 500.


0,94.
, . .
, , .
, . sell-side ,
, .

2017 . 10 2017 133




12- EPS S&P 500

1500

S&P 500 COMPOSITE - 12MTH FWD WTD EPS

15 150
Jul-91

Jul-04
Apr-88

Apr-01

Apr-14
May-89

Nov-95

May-02

Nov-08

May-15
Mar-87

Aug-92

Mar-00

Aug-05

Mar-13
Oct-94

Oct-07
Jun-90

Jun-03

Jun-16
Jan-85
Feb-86

Sep-93

Dec-96
Jan-98
Feb-99

Sep-06

Dec-09
Jan-11
Feb-12
, P/E . . ,
,
,
P/E .
, .

P/E S&P 500

: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf

2017 . 10 2017 134




:
.
, P/E
. . .

2%, P/E . 10- 3-

: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf

2017 . 10 2017 135



.
, . (
) ,
.

, .

10-
, ,

,
.
.

2017 . 10 2017 136




10-


: , . ,
Fidelity 3,6%
10- 3,6%
.

10-

: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf
2017 . 10 2017 137

, ,
.
1,1% 0,5%,
1,6%.

: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf

,
,
, ( )
0,766% . , . Fidelity
0,5% .
, 2012 .

. ,
( 2011 )
. ,
,
.

2017 . 10 2017 138




,
, IPO:

OECD 2017-18
1,1% , Fidelity.

, % --

: https://fred.stlouisfed.org/graph/?g=6Tdy#0

: .
10- .
, .
, . :
- .

. 2%,
0,5%, ,
10- 2,5% . .

. .
, ,
TIPS (Treasury Inflation-Protected Secutities),
TIPS .
, , .

2017 . 10 2017 139



: https://www.fidelity.com/bin-
public/060_www_fidelity_com/documents/Q1%202017%20Market%20Update_Fidelity.pdf

.
.
, . ,
:
, . .
, : ,
. ,
. .
,
, ,
.
,
. ,
,
.

10-

: https://fred.stlouisfed.org/graph/?g=cqlj
2017 . 10 2017 140

,
--, 10-
, (
).
: .
: .
.

EPS

: - : - : -
: 100% : 50% : -
: - : 50% : 100%

: 12% : 25% : 50%


: 75% : 50% : -
: 12% : 25% : 50%

: 50% : 75% : 100%


: 50% : 25% : -
: - : - : -
EPS: http://us.spindices.com/indices/equity/sp-500
(US inflationary expectation): https://fred.stlouisfed.org/series/T5YIFR

,
, ,
.

2017 . 10 2017 141




: https://www.fidelity.com/viewpoints/market-and-economic-insights/business-cycle-update-
December-2016

:
,
. ,
.
2013
.

2017 . 10 2017 142



2017 . 10 2017 143



17- - (equity-bond SPY)


.
.




.
.
,
.
,
SPY
ETF.

: 10-
500 S&P 500?

SPY,
S&P 500, , .

.
: , ,
.
.
,
. ,
( ,
, ) , 5-
. 20-
, 5- . .
. ,
, . : .
,
. -.
, ,
.

2017 . 10 2017 144



S&P 500 ,
.

( 30%
), 1881 2016 19
S&P 500 0,3% , 16,6%
6,8% .

() () S&P
500 1 20 (1871-2016 ),
( 30% )
150%

100%

50%

0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

-50%


-100%

, 500
, . US
Treasuries , S&P 500.
Standard & Poor's
Global Ratings AA+/A-1+ ,
/A-1+. ( 100%
) 10-15 1-1,6%5.
10 100% SPY 1%
0%. ( ,
..) 100%
SPY. ?

S&P 500 ,
.
SPY , 10- .
, SPY -
17- ,
( 2% ), ,
. ,
, S&P 500,
.

5
https://www.nact.org/resources/2014_SP_Global_Corporate_Default_Study.pdf (.57-58)
2017 . 10 2017 145



?

S&P 500 P/E


(1/PE = Operating EPS (ests are bottom up) S&P 500).

S&P 500 ( )
, ( Operating
EPS (ests are bottom up))
100%

90%

80%

70%

60%

50%

40%

30%

20%

10% SPTR 1/PE S&P 500 1/PE,

0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

, (85%) 17 .
17
S&P 500.

S&P 500
.

S&P 500 (
30%) SPTR
1/PE, %
25% 20%

20%

15%

10%

5%

0%
May-20

May-57

May-94
Jul-26

Jul-63

Jul-00
Jun-23

Jun-60

Jun-97
Jan-08

Jan-45

Jan-82
Feb-11

Oct-35

Feb-48

Oct-72

Feb-85

Oct-09
Nov-01

Mar-14

Nov-38

Mar-51

Nov-75

Mar-88

Nov-12
Dec-04

Apr-17

Dec-41

Apr-54

Dec-78

Apr-91

Dec-15
Aug-29

Aug-66

Aug-03
Sep-32

Sep-69

Sep-06
1880/04
1883/05
1886/06
1889/07
1892/08
1895/09
1898/10
1871/01
1874/02
1877/03

-5%
S&P 500 (17 ),
SPTR (10 )
-10% 1/PE, RHS 2%

2017 . 10 2017 146



S&P 500 ,
.

S&P 500 (17 )


S&P 500 (1/PE), ( 30%
), 1948-2016
20%
y = 0,0758ln(x) + 0,294
18% R = 0,69568

16%

14%

12%

10%

8%

6%

4%

2%

0%
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

S&P 500 ( )
17 , % :
S&P 500 = 0,0758 * ln(1/PE) + 0,294

S&P 500
S&P 500 (17 ),
19%

S&P 500 (17 )

14%

9%

4%
1880/01
1883/01
1886/01
1889/01
1892/01
1895/01
1898/01
Jan-01
Jan-04
Jan-07
Jan-10
Jan-13
Jan-16
Jan-19
Jan-22
Jan-25
Jan-28
Jan-31
Jan-34
Jan-37
Jan-40
Jan-43
Jan-46
Jan-49
Jan-52
Jan-55
Jan-58
Jan-61
Jan-64
Jan-67
Jan-70
Jan-73
Jan-76
Jan-79
Jan-82
Jan-85
Jan-88
Jan-91
Jan-94
Jan-97
Jan-00
Jan-03
Jan-06
Jan-09
Jan-12
Jan-15
1871/01
1874/01
1877/01

-1%

2017 . 10 2017 147



1929-33
S&P 500,
. 1913 ,
1933
S&P 500
(0,85).
1881 2016 S&P 500
17- 6,7% 99,9%
0% 18% . 130 ,
S&P 500 17- (-0,3% ).
: 1929 , .

S&P 500 17- (


)

18,2%

16,3%

14,4%

12,4%

10,5%

8,6%

6,7%

5,5%

4,3%

3,2%

2,0%

0,8%

-0,3%
0% 2% 4% 6% 8% 10% 12%

SPY 17 , 6,4%
-0,07% +13%
. :
. , 130 , S&P 500
1929 , 1929-33 .
,
, .

S&P 500.

17
2,8% .
.
.
. 2008-09
,
. .

2017 . 10 2017 148



,
1% ,
S&P 500.

S&P 500 ( ) 10-


17-

19,0%
18,0%
17,0%
16,0%
15,0%
14,0%
13,0%
13,0%
12,0%
11,0%
10,0%
9,0%
8,0%
7,0%
6,0% SPY: 6,4%
5,0%
4,0%
3,0% IEF: 2,8%
2,0%
1,0% UST
0,0%
S&P 500 -0,07%
-1,0%
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

S&P 500 ( )

, ,
,
S&P 500 (
).
(85%) S&P 500
P/E (1/PE = Operating EPS (ests are bottom up)
S&P 500) 17 .
S&P 500 17
.

2017 . 10 2017 149




( )
S&P 500 ( ) ,
( Operating EPS (ests are bottom up))

100%

90%

80%

70%

60%

50%

40%

30%

20% SPTR 1/PE


10% S&P 500 1/PE,
0%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

S&P 500
17 130 (
1929-33 1929 ).
S&P 500,
: 1901-1906 ., - 1915 , 1929-30 ., 1961-68 .
,
- .
: (1931 ),
( ).
, (
).

S&P 500 (
30%)
1/PE, %
20% 20%

15%

10%

5%

0%
1871/01
1874/09
1878/05

May-00

May-11

May-22

May-33

May-44

May-55

May-66

May-77

May-88

May-99

May-10
1882/01
1885/09
1889/05
1893/01
1896/09

Jan-04

Jan-15

Jan-26

Jan-37

Jan-48

Jan-59

Jan-70

Jan-81

Jan-92

Jan-03

Jan-14
Sep-07

Sep-18

Sep-29

Sep-40

Sep-51

Sep-62

Sep-73

Sep-84

Sep-95

Sep-06

Sep-17

-5%

S&P 500 (17 ),


-10% 1/PE, RHS 2%

2017 . 10 2017 150





, . , : .
, .
.
, -
, ,
.
, , ,
: .
, ,
.
, 2008-09 ,
.
( )
- .
( ),
, .

S&P 500 (
30%)
17
350% 17 20%

S&P 500 (17 ),

300% UST (17 )


15%

250%
10%

200%

5%

150%

0%
100%


-5%
50%

0% -10%
1871/01
1874/03
1877/05

May-15

May-34

May-53

May-72

May-91
Jul-18

Jul-37

Jul-56

Jul-75

Jul-94
1880/07
1883/09
1886/11
1890/01
1893/03
1896/05
1899/07

Nov-05
Jan-09
Mar-12

Nov-24
Jan-28
Mar-31

Nov-43
Jan-47
Mar-50

Nov-62
Jan-66
Mar-69

Nov-81
Jan-85
Mar-88
Sep-02

Sep-21

Sep-40

Sep-59

Sep-78

Sep-97

S&P 500
,
.
, : 0,57
0,70 .
.

2017 . 10 2017 151




S&P 500 (17 )
S&P 500 (1/PE), ( 30%
), 1948-2016
15% y = 0,0795ln(x) + 0,2629
R = 0,57446

10%

5%

0%
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

-5%

S&P 500 ( )
17 , % :
S&P 500 = 0,0795 * ln(1/PE) + 0,2629

S&P 500 1998-2003


- (P/E -
). -.
,
.
, 2007-08
2008-09 .

S&P 500
S&P 500 (17 ),
15%

S&P 500 (17 )

10%

5%

0%
1871/01
1874/08
1878/03

Oct-24

Oct-67

Oct-10
May-28

May-71

May-14
Jun-10

Jun-53

Jun-96
Jul-35

Jul-78
1885/05
1888/12
1892/07
1896/02
1899/09

Nov-06

Jan-14

Mar-21

Nov-49

Jan-57

Mar-64

Nov-92

Jan-00

Mar-07
Apr-03

Aug-17

Apr-46

Aug-60

Apr-89

Aug-03
1881/1

Dec-31

Dec-74
Feb-39
Sep-42

Feb-82
Sep-85

-5%

2017 . 10 2017 152



S&P 500 17-


( )
14,6%

13,0%

11,5%

9,9%

8,3%

6,7%

5,2%

3,9%

2,7%

1,4%

0,1%

-1,1%

-2,4%
0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

SPY 17 , 2,2%
-4,6% +9%
. (4%),
(2%).
: (1)
(2) . ,
,
.
S&P 500. 17
0,8% 2%.
, 2%
.

S&P 500 ( ) 10-


17-
UST
14,5%
13,5%
12,5% S&P 500
11,5%
10,5%
9,5% 9,0%
8,5%
7,5%
6,5%
5,5%
4,5%
3,5%
2,5% SPY: 2,2%
1,5%
0,5%
IEF: 0,8%
-0,5%
-1,5%
-2,5%
-3,5%
-4,5%
-5,5% -4,6%
0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20%

2017 . 10 2017 153



PE 70% ,
SPY 17 6,4% ,
30% .

, 20- 98,4%
(1,6% - ) 2,8% . , SPY
.

99,4% S&P 500 (


30% ) 17
-0,07% 13,0% .

S&P 500:
S&P 500 US Treasuries
17 20
, % 6,4% 2,8%
:
/ 1,5% 2,8%
4,9% -

99% , % 0-13% 2,8%

, %
2,2% 0,8%

(4,6)-9% 0,8%


0-0,1% 1,6%
( 100% )


( 1929-33 .)

, S&P 500
,
,
.
P/E
, .
: ?
,
.
.
( 30%)
, .
, - .
.
: 17- -.
(6,4% ), , (2,8%)
(
SPY ).
.
, 100% .
0% 100%
.

2017 . 10 2017 154




S&P 500 ( ,
)
. ,
-
, ,
.

S&P 500 :
1
10 000,00

1 000,00

100,00

10,00

1,00

0,10
Bear market
Crisis
0,01 S&P 500 0
1883/01
1887/01
1891/01
1895/01
1899/01
Jan-03
Jan-07
Jan-11
Jan-15
Jan-19
Jan-23
Jan-27
Jan-31
Jan-35
Jan-39
Jan-43
Jan-47
Jan-51
Jan-55
Jan-59
Jan-63
Jan-67
Jan-71
Jan-75
Jan-79
Jan-83
Jan-87
Jan-91
Jan-95
Jan-99
Jan-03
Jan-07
Jan-11
Jan-15
Jan-19
Jan-23
Jan-27
Jan-31
1871/01
1875/01
1879/01

, (1509-1601),
(1602-1692), (1693-1788) (1789-2016),
.

2017 . 10 2017 155



: SPY
? SPY
.
, S&P 500 30%
.
,
SPY 30%,
30%.
SPY , .
SPY , .
S&P 500 3250 ,
SPY ( 30%- ).
S&P 500 3250 ,
SPY , .
: S&P 500
3250 ?

, ,
. 17- -.
, ,
. ,
, .

: https://fred.stlouisfed.org/series/RECPROUSM156N

-, 10-
3- . ,
(3- )
(10- ), .
- ,
.
.

. . -
( ,
).

2017 . 10 2017 156




10-
3-
:
12
90% 1

80% , next 12m

70%

60%

50%

40%

30%

20%

10%

0% 0
1914
1918
1922
1926
1930
1934
1938
1942
1946
1950
1954
1958
1962
1966
1970
1974
1978
1982
1986
1990
1994
1998
2002
2006
2010
2014
2018
2022
2026
2030
: https://www.newyorkfed.org/research/capital_markets/ycfaq.html

Moodys: ,
6
70% 1

60% , next 12m

50% United States: Risk of Recession (Moody's), next 6m

40%

30%

20%

10%

0% 0
2001 2005 2009 2013 2017

: https://www.economy.com/dismal/indicators/releases/usa_recession/2239DA1A-8FFE-4471-
B5A5-38D463848AB8/United-States-Risk-of-Recession

, ,
- SPY.

2017 . 10 2017 157




(WLEI): ,

100,000 1

50,000 1

0,000 1

-50,000 0

-100,000 0

WLEI
-150,000 0
: http://recessionalert.com/

- : , .

: http://imarketsignals.com/wp-content/uploads/2017/02/BCI-Fig-3-2-2-2017.png

2017 . 10 2017 158



The Aruoba-Diebold-Scotti business conditions index: ,


.
3 1
The Aruoba-Diebold-Scotti business conditions index

-1

-2

-3

-4

-5 0
1960 1964 1968 1972 1976 1980 1984 1988 1992 1996 2000 2004 2008 2012 2016

: https://www.philadelphiafed.org/research-and-data/real-time-center/business-conditions-index

SPY 17 .
.
6,4% .
( -0,07% ) 6 1000.

17
: SPY (, $100
).

17 2
, SPY 30% .
: .

( ):
1) SPY;
2) , ,
.

2017 . 10 2017 159




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2017 . 10 2017 160




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2017 . 10 2017 161


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2017 . 10 2017 162




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2017 . 10 2017 163


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2017 . 10 2017 164


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2017 . 10 2017 165




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2017 . 10 2017 166