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Persistfolio Market Conditions

Historical Reconstruction — PF-MC-US-2023-02. What did market conditions look like on this date, reconstructed using only information available at that cutoff.

February 27, 2023·Historical Reconstruction
This snapshot was built after the fact from historical data, for dates January 2023 through September 2026. It reflects only information that was actually available as of this date - it is not something Persistfolio published at the time.

Current Picture

U.S. equity valuations are unusually high relative to their long-term historical range. Corporate free-cash-flow margins remain within their typical historical range, while FCF conversion is low. Capital investment remains low. Financial conditions are within their typical historical range, while inflation is high. Real interest rates are within their typical historical range, while the yield curve is inverted. The S&P 500 remains above its 200-day moving average (1.1% above).

Conditions Overview

Market Behaviour

S&P 500 vs 200-day average
The S&P 500's current price compared with its own average price over the last 200 trading days — a common way to describe whether the market is trading above or below its recent trend.
+1.1%

down 0.5 percentage points from previous month

Valuation

CAPE
The S&P 500's price divided by the average of the last 10 years of inflation-adjusted earnings. A long-term valuation measure that smooths out short-term earnings swings.
28.9

Very High relative to its historical range · 93rd percentile · up 0.59 from previous month

Corporate Economics

FCF margin
Free cash flow (operating cash flow minus capital expenditures) as a share of revenue across S&P 500 companies. Shows how much of each dollar of sales converts into cash after funding operations and investment.
9.7%

Typical relative to its historical range · 53rd percentile · down 1.3 percentage points from previous month

FCF conversion
Free cash flow as a share of net income across S&P 500 companies. Shows how much of reported accounting profit is actually realized as cash.
93%

Low relative to its historical range · 12th percentile · down 0.9 percentage points from previous month

Capex / revenue
Capital expenditures as a share of revenue across S&P 500 companies. Shows how much companies are spending on property, plant, and equipment relative to their sales.
5.9%

Low relative to its historical range · 24th percentile · up 0.3 percentage points from previous month

Financial Conditions

NFCI
The Chicago Fed's National Financial Conditions Index — a composite measure of how loose or tight financial conditions are across money, debt, and equity markets. Zero represents average conditions; negative values indicate looser-than-average conditions, and positive values indicate tighter-than-average conditions.
-0.27

Typical relative to its historical range · 56th percentile · up 0.04 from previous month

Inflation

Core CPI, year-over-year
The year-over-year change in the Consumer Price Index excluding food and energy — a commonly used measure of underlying inflation trends.
5.5%

High relative to its historical range · 82nd percentile · down 0.1 percentage points from previous month

Rates

Fed policy rate
The federal funds target range set by the Federal Reserve — the rate banks use for overnight lending to each other, and a key reference rate for the broader economy.
4.5%–4.75%

Target range — no historical percentile applies

10Y TIPS real yield
The yield on 10-year Treasury Inflation-Protected Securities — the return investors receive above inflation for lending to the U.S. government over 10 years. Because TIPS principal adjusts for inflation, the yield provides a market-based measure of the real, inflation-adjusted interest rate.
1.56%

Typical relative to its historical range · 69th percentile · up 0.3 percentage points from previous month

10Y–2Y slope
The difference between the 10-year and 2-year Treasury yields. Positive means longer-term rates are higher than shorter-term rates; negative ("inverted") means the opposite.
-0.86%

Very Low relative to its historical range · 2nd percentile · down 0.2 percentage points from previous month

Evidence & Historical Charts

Where each measurement sits in its own real historical series, through this snapshot’s date. Expand any measurement to see the full chart.

S&P 500 vs 200-day average
The S&P 500's current price compared with its own average price over the last 200 trading days — a common way to describe whether the market is trading above or below its recent trend.
CAPE (Cyclically Adjusted P/E)
The S&P 500's price divided by the average of the last 10 years of inflation-adjusted earnings. A long-term valuation measure that smooths out short-term earnings swings.
FCF margin (Free Cash Flow Margin)
Free cash flow (operating cash flow minus capital expenditures) as a share of revenue across S&P 500 companies. Shows how much of each dollar of sales converts into cash after funding operations and investment.
FCF conversion (Free Cash Flow Conversion)
Free cash flow as a share of net income across S&P 500 companies. Shows how much of reported accounting profit is actually realized as cash.
Capex / revenue (Capital Expenditures / Revenue)
Capital expenditures as a share of revenue across S&P 500 companies. Shows how much companies are spending on property, plant, and equipment relative to their sales.
NFCI (National Financial Conditions Index)
The Chicago Fed's National Financial Conditions Index — a composite measure of how loose or tight financial conditions are across money, debt, and equity markets. Zero represents average conditions; negative values indicate looser-than-average conditions, and positive values indicate tighter-than-average conditions.
Core CPI, year-over-year
The year-over-year change in the Consumer Price Index excluding food and energy — a commonly used measure of underlying inflation trends.
Fed policy rate
The federal funds target range set by the Federal Reserve — the rate banks use for overnight lending to each other, and a key reference rate for the broader economy.
10Y TIPS real yield (Treasury Inflation-Protected Securities)
The yield on 10-year Treasury Inflation-Protected Securities — the return investors receive above inflation for lending to the U.S. government over 10 years. Because TIPS principal adjusts for inflation, the yield provides a market-based measure of the real, inflation-adjusted interest rate.
10Y–2Y Treasury yield slope
The difference between the 10-year and 2-year Treasury yields. Positive means longer-term rates are higher than shorter-term rates; negative ("inverted") means the opposite.

What Changed?

February 2023 vs January 2023

FCF margin

10.9% → 9.7%

Classification changed from Very High to Typical. Down 1.3 percentage points from previous month.

Fed policy rate

4.50% → 4.75%

Up 0.25 from previous month.

10Y TIPS real yield

1.26% → 1.56%

Up 0.3 percentage points from previous month.

10Y–2Y slope

-0.70% → -0.86%

Down 0.2 percentage points from previous month.

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This is a Historical Reconstruction, created later using only information that was available by this snapshot’s cutoff date. It was not published by Persistfolio at the time. These measurements describe conditions relative to their own historical comparison windows — they are not predictions, recommendations, or buy/sell signals. Methodology