On November 7, 2016 the S&P 500 price was 8% below the 2-sigma level of 2300 calculated by GMO.

There are two parts: that GMO had calculated a 2-sigma level of 2300 for the S&P 500, and that the S&P 500 on 7 November 2016 was about 8% away from (below) it. The gap is measured from the 7 November 2016 close (intraday is acceptable), computed either as (2300 - price)/price or (2300 - price)/2300. TRUE: GMO's publication shows a roughly 2300 2-sigma figure, and the gap on either measure is between 7% and 9%. MOSTLY TRUE: the 2300 figure is confirmed and the gap is between 6% and 10%. MOSTLY FALSE: the gap is between 4% and 6% or between 10% and 12%, or the index was above 2300. FALSE: the gap is outside 4-12%, or GMO's records show a materially different 2-sigma level.

Set before the research began.

1. E1 Table Data - S&P 500 Federal Reserve Bank of St. Louis (FRED), data from S&P Dow Jones Indices LLC · 1 March 2017

   “| DATE | VALUE | |---|---| | 2016-10-31 | 2126.15 | | 2016-11-01 | 2111.72 | | 2016-11-02 | 2097.94 | | 2016-11-03 | 2088.66 | | 2016-11-04 | 2085.18 | | 2016-11-07 | 2131.52 |”

2. E2 Stock Market News for November 07, 2016 Yahoo Finance (Zacks-written market news) · 7 November 2016

   “The S&P 500 has fallen 3.48 points or 0.2% to close at 2,085.18, putting its nine-straight session decline at 3.1%.”

3. E3 GMO Quarterly Letter: 3Q 2016 (Hellish Choices / Not With A Bang But A Whimper) GMO (hosted on fullertreacymoney.com) Own record

   “The 2300 level on the S&P 500, which marks the 2-standard-deviation (2-sigma) point on historical data that has effectively separated real bubbles from mere bull markets”

4. E4 Table Data - S&P 500 Federal Reserve Bank of St. Louis (FRED), data from S&P Dow Jones Indices LLC

   “| 2016-11-07 | 2131.52 |”

5. E5 Table Data - S&P 500 Federal Reserve Bank of St. Louis (FRED), data from S&P Dow Jones Indices LLC

   “The observations for the S&P 500 represent the daily index value at market close.”

6. E6 GMO Quarterly Letter - GMO - Commentaries - Advisor Perspectives Advisor Perspectives (reprinting Jeremy Grantham's GMO quarterly letter, Part II) · 5 February 2016 Own record

   “The most important missing ingredient is a fully-fledged blow-off. This should come complete with crazy speculative anecdotes for your grandchildren, massive enthusiasm from individual investors, an overwrought, overcapacity economy, and, at minimum, a 2-sigma S&P 500 at 2300.”

7. E7 GMO Quarterly Letter - GMO - Commentaries - Advisor Perspectives Advisor Perspectives (reprinting Jeremy Grantham's GMO quarterly letter, Part II) · 5 February 2016 Own record

   “We at GMO have defined a bubble as a 2-standard-deviation event (2-sigma).”

8. E8 Jeremy Grantham Letter - Q1 2016 Jeremy Grantham (blog repost of GMO quarterly letter) · 16 May 2016 Own record

   “the threshold for a bubble level for the U.S. market is about 2300 on the S&P 500, about 10% above current levels, and would normally require”

GMO's 3Q 2016 quarterly letter calls 2300 on the S&P 500 the 2-standard-deviation (2-sigma) point (E5), and its earlier 2016 letters give the same figure (E8, E10). FRED's daily closing data shows the S&P 500 closed at 2131.52 on 7 November 2016 (E2, E6, E7). That puts the index about 7.9% below 2300 measured against the price, or about 7.3% measured against 2300; both are within the 7–9% band for true. The 2085.18 close in E3 is the 4 November close, which matches E2.