Blog Disclosures: Latticework Series

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All charts and tables within this Blog series are created by SaratogaRIM. Figures 1-3 are within Understanding Capital Investment Cycles. Figure 1 uses data from Stijn Van Nieuwerburgh, "Financing the AI Buildout," Columbia Business School Working Paper, March 19, 2026. Historical infrastructure episodes are shown as realized average annual investment as a share of U.S. GDP over the periods indicated. The AI infrastructure figure (*) is a forward-looking estimate based on projected U.S. investment required to support anticipated artificial intelligence computing infrastructure. Comparisons are intended to illustrate the relative scale of investment rather than predict actual expenditures or investment outcomes. Figure 2 displays the net income, capital expenditures, and free cashflow of Hyperscalers (AMZN, GOOGL, META, MSFT, ORCL) and Semiconductor Companies (NVDA, MU, AVGO, AMAT) from 2010-2025 using data from FactSet and BofA Research Investment Committee. Figure 3 is derived from a chart by BofA Investment Committee to show the rolling 12-month forward free cash flow (FCF) of "Hyperscalers" (AMZN, GOOGL, META, MSFT, ORCL) and Semiconductor Companies (NVDA, MU, AVGO, & AMAT) in $ billions. Figures 4-6 are within Money Has a Price. Figure 4 contains two charts displaying the 10-Year Treasury Yield over two different time periods using data from both FactSet and Bianco Research. Figure 5 reconstructs a chart concept popularized by Bianco Research using a different forecast source (Philadelphia Fed Survey of Professional Forecasters). The actual 10-Year Treasury Note Yield (black chart line) uses month-end data from FactSet. The SPF consensus forecast paths, one strand per quarterly survey vintage, colored by era, uses data from Philadelphia Fed Survey of Professional Forecasters (TBOND mean). Quarterly leg spliced with annual projections; full method and caveats available upon request. Figure 6 uses data from Bianco Research and Bloomberg to show the 5-Year TIPS Inflation Breakeven Rate, Before and After COVID. Treasury Inflation-Protected Securities (TIPS) are U.S. government bonds designed to protect investors from inflation. Unlike traditional Treasuries, TIPS adjust their principal value based on changes in the Consumer Price Index (CPI). The coupon rate remains fixed, but because it is applied to the inflation-adjusted principal, the interest payments effectively rise with inflation and fall with deflation, providing a real return to investors. The breakeven inflation rate is the difference between the yield on a nominal Treasury and the yield on a TIPS of the same maturity. It represents the annual inflation rate at which holding a TIPS would yield the same return as a nominal Treasury. For example, if a 5-year Treasury yields 4.5% and a 5-year TIPS yields 2.4%, the breakeven inflation rate is 2.1%. This rate is a widely used market-based measure of inflation expectations. Figure 7 is within Pricing the Unknowable. Figure 7 displays the illustrative range of possible outcomes as the investment horizon extends and how the range widens with time. Nearer-term outcomes are shown as a narrower illustrative range; more distant outcomes span a wider range of plausible results. The widening reflects greater scope for interacting forces and unforeseen developments over time – not a claim that the true distribution is measurable. Vertical axis is conceptual; the peak of each curve is normalized to 100. Figures 8-15 are within Wisdom and Madness. Figure 8 displays the Historical Cyclically Adjusted Price Earnings (CAPE) using data from Robert Shiller, Yale University calculated by SaratogaRIM. Monthly observations from January 1881–September 2026; shaded areas represent recessions. Figure 9 uses data from Robert J. Shiller and Irrational Exuberance for the monthly CAPE and 10-year annualized real stock-return series. One dot represents one completed monthly observation: beginning Shiller CAPE and the realized annualized real stock return over the following 120 months. Monthly observations overlap; the fitted line is descriptive of the long-run historical relationship, not a forecast model. The current-CAPE marker is positioned at the fitted historical relationship; it is not a realized forward return or a forecast. Figure 10 uses data from Strategas, FactSet, Bloomberg, and Robert Shiller to display current (as of September 2026) percentile rankings relative to history by metric at the S&P 500 level. Metric definitions are available upon request. Figure 11 shows the forward 10-Year real total return projections for the S&P 500 using data from Marketwatch and Hulbert Ratings. Projected return based on past correlations between indicators and the S&P 500. Annualized returns. Figure 12 reconstructs a chart popularized by S&P Global showing the average household equity allocation vs S&P 500 since 1951 by digitizing from the published chart image (annual samples) — approximate. The original chart used data from the St. Louis Federal Reserve and Hulbert Ratings. Figure 13 shows the 10-Year Term Premium using the Adrian, Crump & Moench Model from the New York Federal Reserve using data from Bloomberg, the New York Federal Reserve, and Bianco Research. Figure 14 uses FactSet data to display the BBB Corporate Credit Spread Above the U.S. Treasury Yield. Figure 15 shows the Cyclically Adjusted Equity Earnings Yield less the 10-Year Treasury Yield using data from FactSet and Robert Shiller. Figure 16 is within the 2026 Q3 Letter. Figure 16 displays the rolling 10-year annualized U.S. Bond real (after inflation) total returns since 1793 using data from Edward F. McQuarrie, Santa Clara University, and Bianco Research.

For further information or clarification regarding any of the charts, topics, or concepts within this report, please email your specific questions to InvestorRelations@SaratogaRIM.com.

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