21^st Century Alternatives

for

Investment and Risk Management

U.S. Housing

Filed pursuant to Rule 433

Registration No. 333-151522

Table of Contents

Click on any subtitle below to jump to the corresponding section

C Home Price Research / White Papers

B Housing Market Data

A Component Metro Market Profiles

Appendices

MacroShares Research and Pricing Tools

S&P/Case-Shiller Composite-10 Home Price Index

MacroShares Stakeholders & Applications

MacroShares: An Investment & Hedging Breakthrough

Measuring U.S. Home Price Changes

U.S. Housing as an Asset Class

Important Information

Market information displayed herein is obtained from non-proprietary market sources, and is subject to frequent change. MacroMarkets LLC and its affiliates cannot attest to the accuracy, completeness,
or timeliness of any information obtained from third party sources.

The content herein may contain "forward-looking statements," including projections, forecasts and estimates. These forward-looking statements are based upon certain assumptions. Actual events are
difficult to predict and may differ from those assumed herein or used within any pricing calculators. Accordingly, there can be no assurance that the estimated returns or outcomes described herein can
be realized, that the factual assumptions upon which forward-looking statements are based will materialize or that actual results will not be materially different than those presented herein. Any historical
performance information included herein is presented by way of example only. Historical performance information is not indicative of future performance or of future investment returns of MacroShares or
any other product.

The information herein concerning MacroShares is solely for informational purposes and constitutes neither an offer to sell nor the solicitation of an offer to buy securities to any person in any jurisdiction.
The information presented herein is not, and is not intended to be, a complete discussion of all material information you should know about MacroShares or any other product.  If you are considering
purchasing MacroShares, you should read the relevant prospectus thoroughly prior to making a purchase, and carefully consider the investment objectives and policies, risk considerations, charges and
ongoing expenses applicable to the MacroShares before investing or sending money.  MacroShares are risky investments.  In addition to the normal risks associated with investing in securities generally,
due to the unique structure of MacroShares, their underlying benchmarks, their terms and attributes, MacroShares can trade at premium or discounted prices relative to underlying values (UV), and may
exhibit higher volatility and have less liquidity when compared to more traditional equity or debt instruments.   Although liquidity providers and market makers commonly narrow or eliminate differences
between the prevailing market price and corresponding UV applicable to traded securities through arbitrage, investors should expect premium and discounted market prices to prevail over most of the life
of a MacroShares investment.  Premiums and discounts will be affected by a MacroShare issue’s expected remaining term, interest rates, supply and demand, structural leverage (if any), termination
triggers, and other factors.  You may lose all of the money that you invest in MacroShares.  Any underwriter or dealer participating in the offering can arrange to send you the prospectus pertaining to a
MacroShares issue upon request.  You can also obtain a prospectus by accessing www.MacroShares.com, by calling toll-free 888-Macros1  (888-622-7671), or by visiting EDGAR on the SEC website at
www.sec.gov and searching for company filings under the name of MacroShares Housing Depositor, LLC.   All securities transactions by MacroMarkets LLC are conducted through its broker-dealer
affiliate, Macro Financial, LLC, member FINRA.

The content and any and all intellectual property rights herein are and shall remain at all times the property of MacroMarkets LLC or its licensors or suppliers.  MacroShares is a trademark of
MacroMarketes LLC. The S&P/Case-Shiller Home Price Indices are licensed by Standard & Poor’s. The Case-Shiller® Indexes are a product of Fiserv, Inc.  MacroShares is an applied-for trademark of
MacroMarkets LLC. All other trademarks, service marks or registered trademarks are the property of their respective owners.  “Standard & Poor’s®” and “S&P®” are registered trademarks of Standard &
Poor’s, a division of The McGraw-Hill Companies, Inc. and have been licensed for use by MacroMarkets LLC.  CSW®, Case-Shiller®, CS™, Fiserv®, and Case Shiller Indexes® are trademarks of Fiserv
Fulfillment Services Inc. (f/k/a Fiserv CSW, Inc.) and have been licensed for use by Standard & Poor’s. Neither MacroShares nor any other financial product mentioned herein (the “Products”) are
sponsored, endorsed, sold or promoted by Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"), Fiserv, or any of their third party licensors.  Neither S&P nor its third party licensors
make any representation or warranty, express or implied, to the owners of the Products or any member of the public regarding the advisability of investing in securities generally or in the Products
particularly or the ability of any S&P/Case-Shiller Home Price Index to track performance of the residential real estate and housing markets. S&P's and its third party licensors’ only relationship to
MacroMarkets is the licensing of certain trademarks and trade names of S&P and the third party licensors and of certain S&P/CS Indices, which are determined, composed and calculated by S&P or its
third party licensors without regard to MacroMarkets or the Products. S&P and its third party licensors have no obligation to take the needs of its licensees or the owners of the Products into consideration
in determining, composing or calculating any S&P/CS Index. Neither S&P nor its third party licensors is responsible for and none has participated in determining the pricing, quantities or timing of any
issuance or sale of any Products by MacroMarkets or the assessment or method of settlement calculation therefore. S&P has no obligation or liability in connection with the administration, marketing or
trading of the Products.

WITHOUT LIMITING THE FOREGOING, NONE OF MACROMARKETS LLC, ITS AFFILIATES, S&P, ITS AFFILIATES OR ANY OF THEIR RESPECTIVE THIRD PARTY LICENSORS GUARANTEES
THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF ANY S&P/CASE-SHILLER HOME PRICE INDEX OR ANY DATA INCLUDED THEREIN, OR ANY COMMUNICATIONS
RELATED THERETO. IN ADDITION, S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A
PARTICULAR PURPOSE OR USE WITH RESPECT TO ANY S&P/CS INDEX OR ANY DATA INCLUDED THEREIN. IN NO EVENT WHATSOEVER SHALL MACROMARKETS, ITS AFFILIATES OR
THEIR THIRD PARTY LICENSORS, WHICH INCLUDE S&P AND ITS THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL
DAMAGES, INCLUDING BUT NOT LIMITED TO LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH
DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. IN ADDITION, NEITHER MACROMARKETS LLC NOR ITS AFFILIATES NOR THEIR THIRD PARTY
LICENSORS, WHICH INCLUDE S&P AND ITS THIRD PARTY LICENSORS, SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS OF THE
DISSEMINATION OF ANY CONTENT, INCLUDING ANY S&P/CS INDEX.

For more information, please call 1-888-Macros1 x500 (888-622-7671 x500)

U.S. Housing as an Asset Class

Home Value Changes: Powerful

Consumer wealth effects

- Home equity comprises ~2/3rds of
typical owners’ net worth

- Value impacts consumer confidence and
spending behavior

Impact other markets

(e.g., credit, equity and commodity markets)

¹ Source: Q4 2008 Federal Flow of Funds Balance Sheet

U.S. Housing as an Asset Class

A Major Asset Class

Huge Scale: $20.5 trillion¹

Sources: CME, Federal Reserve, MacroMarkets, Standard & Poor’s, and World Federation of Exchanges

HOUSING

COMMERCIAL

Widely-held exposure

Individuals

Institutions

U.S., International

A Major Asset Class

Yet…

Housing markets remain highly inefficient, incomplete

Generally, prices are established by non-professionals (i.e., homeowners)

Periods of speculative behavior exacerbate momentum

Transactions touch concentrations of net worth and emotion

- “Sticky-downward” prices

Incomplete information

Very high transaction costs

Illiquid; significant elapsed time to complete transactions

U.S. Housing as an Asset Class

Direct investment limited to buying/selling individual houses.

“Brick & mortar” exposure entails:

Significant transaction friction

- 5-6% real estate broker commission

- 1-3%¹other closing costs

- Abundant paperwork, processes and emotional involvement

Large carrying costs

- Mortgage interest

- Property taxes, insurance, and maintenance

- Property management

Very limited liquidity and no efficient means to hedge

Difficulty in achieving portfolio scale and diversification

¹Source: Bankrate, Inc. 2006 Closing Costs Survey

U.S. Housing as an Asset Class

Relative Performance: Domestic

Correlation to U.S. Home Prices

(year-over-year returns, since 1/1987)

U.S. Housing as an Asset Class

Click here

for interactive charting

S&P/Case-Shiller Comp-10

GSCI

JPM US Govt Bonds

S&P 500

NAREIT All

Re-based Indices (1/1987 = 100), all indices are “Price Return” series

0.34

0.08

0.28

0.17

REITs

Stocks

Bonds

Commodities

Relative Performance: International

U.S. Housing as an Asset Class

S&P/Case-Shiller Comp-10

GSCI

GFD Global Gov’t 10Y ex-US

S&P BMI

EPRA/NAREIT Global ex-US

All indices denominated in USD

Correlation to U.S. Home Prices

(year-over-year returns, since 1/1990*)

*Maximum data history available for the international data displayed

Re-based Indices (1/1990 = 100), all indices are “Price Return” series

0.36

0.22

-0.30

0.19

REITs

Stocks

Bonds

Commodities

For Investors (UMM)

Housing returns have had low or negative correlations vs. other asset classes

Diversification benefits and potential for attractive risk-adjusted returns

Far greater liquidity, much lower transaction costs vs. “brick & mortar”

For Hedgers (DMM)

Need to protect the value of a large asset that cannot be sold short

Efficient and cost effective execution is possible

U.S. Housing as an Asset Class

The quest for more efficient/complete markets continues

as of December 2008 Relative Performance Since 1987

Correlation

Return

Volatility

Sharpe¹

U.S. Housing

1.00

158.15%

10.90%

0.13

Bonds

-0.28

367.59%

17.49%

0.24

Commodities

0.14

107.31%

78.47%

0.01

REITs

0.32

-20.89%

71.06%

-0.06

Stocks

0.05

231.77%

54.71%

0.05

¹ Sharpe ratio calculated by taking the excess average, annualized returns above/below the risk-free rate, and dividing by annualized volatility of MoM returns.

S&P/Case-Shiller Comp-10

JPM US Govt (Price Return)

GSCI (Price Return)

NAREIT All Index (Price Return)

S&P 500 (Price Return)

Surrogates for home price performance exist –

…but introduce significant basis risk. Not “pure plays”.

Surrogate

Benefits

Limitations

Mortgage-Backed Securities

Deep market

High yields possible

Not a pure play

Credit products; returns affected by defaults
and prepayments

Relatively limited direct access and liquidity

Housing-Related Equities

(i.e., Home Builders, home improvement
chains, mortgage lenders)

Simple

Exchange market access & liquidity

Transparent

Not a pure play

Subject to business/operational risks

Shorts face unlimited downside

Can be difficult to borrow

REITs

Simple

Exchange market access & liquidity

Not a pure play

Typically commercial real estate exposure

Shorts face unlimited downside

Can be difficult to borrow

ABX

(Asset-Backed Security default swaps)

Hedge subprime MBS exposure

Speculate on subprime MBS performance

Not a pure play

Limited to professionals; complicated

Counterparty risk

Stigmatized market, evaporating liquidity

Opaque market

CDS

(Corporate/Sector credit default swaps)

Relatively simple

Hedge or speculate on housing-centric
single-names or related sector

Not a pure play

Limited to professionals; credit product

Counterparty risk

Variable liquidity

Opaque market

U.S. Housing as an Asset Class

Home price derivatives have emerged –

…but these “pure plays” have their own limitations.

Derivative

Benefits

Limitations

CME

Futures & Options

Pure play on home prices

Liquid relative to physical assets

Transparent

Relatively simple

Readily accessible

Sponsored by world’s largest exchange

Exchange clearing eliminates counterparty risk

Time-tested/trustworthy settlement index

Absence of cash market has stalled entry of
well-capitalized, dedicated market makers

Wide bid/ask spreads persist in longer-
dated contracts

Some institutions are prohibited from
participating in futures markets

Futures and options are suitable for minority
of individual investors

OTC

Home Price Index Swaps & Forwards

Pure play on home prices

Liquid relative to physical assets

Relatively large trades can be facilitated

Daily price fixings are available

Relatively opaque

Dealer-dominated market largely relegated
to institutions

Liquidity vulnerable to adverse credit
market conditions

Counterparty risk

ISDA transaction documentation deemed
burdensome by some

Some institutions are prohibited from
participating in OTC/swaps markets

U.S. Housing as an Asset Class

Measuring U.S. Home Price Changes:
S&P/Case-Shiller Home Price Indices

Overview

The most authoritative measures of U.S. home prices

In production for more than 17 years

More than 20 years of historical data freely-available

Trustworthy index oversight & governance

Widely-anticipated data updates released on a predictable
schedule

2006 Sharpe Award: “Most Innovative Benchmark Index”

Settlement device for derivative real estate products

S&P/Case-Shiller Home Price Indices

Click here

for the Fact Sheet

Currently, S&P publishes single-family home price indices for 20
individual metropolitan markets, 3 price tier segments for each of 17 metro
markets, 2 metro-area composites, and the (quarterly) U.S. National market.

*The S&P/Case-Shiller U.S. National Home Price Index is released on a quarterly basis (Feb/May/Aug/Nov)

Period

Measured

Sep

Oct

Nov

Oct

Nov

Dec

Nov

Dec

Jan

Dec

Jan

Feb

Jan

Feb

Mar

Feb

Mar

Apr

Mar

Apr

May

Apr

May

Jun

May

Jun

Jul

Jun

Jul

Aug

Jul

Aug

Sep

Aug

Sep

Oct

Release
Date

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Last Tuesday of the month, 9 a.m. New York time

The S&P/Case-Shiller Home Price Indices are updated monthly*

Time-tested, transparent, and trustworthy

Repeat-sales methodology (pioneered by Case & Shiller)

Single-family detached homes

Each property must be sold at least twice

No appraisal or broker listing price data

Value-weighted

Calculated by Fiserv Inc. (a Fortune 500 company)

- Producer of thousands of home price indices since 1991

- Not limited to conventional/conforming transaction data

- Existing, single-family properties; new homes not included

Economic conditions can affect homebuilder vs. individual
homeowner selling incentives differently

- Over 20 years of historical data for most markets

The S&P/Case-Shiller Home Price Index methodology is time-tested and transparent.
The documentation and governance of these indices are managed by a highly experienced
and trustworthy committee of experts assembled and managed by Standard & Poor’s.

Click here

for the Index Methodology document

S&P/Case-Shiller Home Price Indices

Repeat Sales Methodology: A Primer

100

150

200

250

300

1994

1995

1996

1997

1998

1999

2000

2001

2002

123 Main Street, Sampletown

123 Main Street sells for $150k in 1994, and for $250k in 2000 (Sale pair # 1)

The slope of the yellow line is one indicator of (positive) home price change in Sampletown
between the years 1994 and 2000.

S&P/Case-Shiller Home Price Indices

Repeat Sales Methodology: A Primer (cont’d)

100

150

200

250

300

1994

1995

1996

1997

1998

1999

2000

2001

2002

123 Main Street, Sampletown

456 Prospect Street, Sampletown

456 Prospect St. sells for $150k in 1994, and for $200k in 2002 (Sale pair # 2)

The slope of the red line is another indicator of (positive) home price

change in Sampletown – between the years 1994 and 2002.

S&P/Case-Shiller Home Price Indices

100

150

200

250

300

1994

1995

1996

1997

1998

1999

2000

2001

2002

123 Main Street, Sampletown

456 Prospect Street, Sampletown

In combination, sale pairs 1 and 2 imply depreciation after the year 2000

The slope of the dashed black arrow is one indicator of (negative)

home price change in Sampletown - between the years 2000 and 2002.

Repeat Sales Methodology: A Primer (cont’d)

S&P/Case-Shiller Home Price Indices

1994

1995

1996

1997

1998

1999

2000

2001

2002

A representative sample of sale pair observations from a geographic

market can be combined to create a reliable repeat-sales index

A repeat sales index reflects the price path of typical properties

that comprise the geographic market area measured by the index

100

150

The % difference between index levels at
intervals along the curve represents home
price appreciation (or depreciation)

Repeat Sales Methodology: A Primer (cont’d)

S&P/Case-Shiller Home Price Indices

Reliable & Authoritative

The S&P/Case-Shiller Home Price Indices

are closely-monitored market bellwethers and economic
indicators. They employ the repeat-sales method - the most
reliable approach to measuring home value changes.

S&P/Case-Shiller Home Price Indices

Updates to The S&P/Case-Shiller Home Price Indices are published at 9am EST
on the last Tuesday of each month, and are reported by prominent, global media.

S&P/Case-Shiller: The Index for U.S. Home Prices

S&P/Case-Shiller Home Price Indices

Recent sample of excerpts

from the financial media:

“Data through Dec. 2008 for the S&P/Case-Shiller Home Price Indices, the leading measure of
U.S. home prices, show that the prices of existing single family homes across the United States
continue to set record declines.”

- Economics Week, March 13, 2009

“Despite the hopeful words from Bernanke, the S&P/Case-Shiller Home Price Index released
yesterday showed record declines.”

– Fox News Network, Inc., February 25, 2009

“House prices fell by 18.2% in the year to November, according to the S&P/Case-Shiller index of
house prices…. Low prices offered by distressed sellers are tempting more buyers.”

-The Economist, January 31, 2009

“The S&P Case-Shiller Home Price Indices excite great interest when they are published on the
last Tuesday of each month, indicating as they do the state of the US housing market. “

- Financial Times, January 12, 2009

“Hovnanian Enterprises Inc. led homebuilders to their lowest level since January after the
S&P/Case-Shiller home-price index slid 15.3 percent from a year …”

- Bloomberg News, June 24, 2008

“Asian stocks dropped for a second day, led by companies that sell to the U.S. after consumer
confidence and home prices declined in the region's largest export market.”

- Bloomberg News, March 28, 2007

“Stocks stumbled following Lennar’s weak earnings report and declines in a key home-price
index”

- Wall Street Journal Online, March 27, 2007

Freely-available data

Over 20 years of historical S&P/CSI data is freely-available
from a variety of websites, including those hosted by

Standard & Poor’s, MacroMarkets LLC and CME Group.

S&P/Case-Shiller Home Price Indices

Click on a web page image
to access a site

Bloomberg

Bridge

CME

CQG

DTN

E-Signal

FactSet

FutureSource

Hyperfeed

Reuters

Thomson

TrackData

Trade Station

S&P/Case-Shiller Home Price Indices

S&P/CSI data is also
disseminated globally, in
real time, by a wide variety
of financial news services
and quote vendors.

Freely-available data (cont’d)

Home Price Futures and Options

CME Group lists futures and options contracts
that cash-settle based upon selected
S&P/Case-Shiller Home Price Indices.

S&P/Case-Shiller Home Price Indices

Click here for more information

MacroShares™

An Investment & Hedging Breakthrough
for the U.S. Housing Asset Class

http://www.time.com/time/specials/packages/article/0,28804,1852747_1854195_1854130,00.html

MacroShares:

Nothing contained in this presentation should be construed as a recommendation of the MacroShares as a beneficial investment for any particular group of individuals, types of companies or institutions, or as a representation that an investment in the MacroShares may provide a complete and accurate hedge against any particular form of exposure to real
estate. Before making a decision to invest in any MacroShares, investors should carefully review the prospectus for those MacroShares. Copies of the applicable prospectus may be obtained as specified under "Important Information" on page 3 of this presentation.

ETFs / ETNs

MacroShares

Intraday pricing / liquidity

Continuous creations and redemptions

Marginable

Trustee & Custodian

Issuer Credit risk

Counterparty swaps risk

Collateralized by U.S. Treasuries & cash

Shares must always be created/redeemed in pairs (Ups + Downs)

Practical for asset class like home prices

Leverage designed for buy-and-hold investors

Premium & discounted market prices; price discovery

IPO

Similar to ETFs and ETNs in some respects… different in others

An Investment and Hedging Breakthrough

Like most financial instruments – corporate stocks, bonds, and commodities –
MacroShares naturally trade at premium or discounted prices to their prevailing
underlying, or baseline value.

The market prices of all of these financial instruments share a common attribute: they
reflect investor expectations of underlying, baseline value beyond the near-term.

Premium prices imply relatively strong demand and/or optimism regarding future performance

Discounted prices imply relatively weak demand and/or pessimism regarding future performance

For any asset or financial instrument, the degree of divergence between market price and
underlying, baseline value:

Changes along with consensus expectations over time, and

Includes valuable price discovery for the marketplace at any moment in time.

MacroShares: Price Discovery

An Investment and Hedging Breakthrough

Financial

Instrument

Baseline

Value

Underlying

Price reflects
expectations of
Baseline Value
in future

Expectations
that are

Price Drivers

Price Discovery

Futures

Spot

Contract

Yes

Future
commodity prices
or index levels

Yes

Bonds

Face

Note

Yes

Future interest
rates, defaults,
prepayments

Yes

Stocks

Book

Net Assets

Yes

Future earnings
and dividends

Yes

MacroShares

Underlying

Value

US Treasuries,
cash

Yes

Future index
levels and net
distributions

Yes

ETFs

Net Asset Value

Baskets of
securities and
derivatives

n/a

No*

MacroShares: Price Discovery (cont’d)

*The market prices of ETFs can stray from NAV, but generally, the differences are small provided that there is liquidity in the underlying. For example, a U.S.-listed ETF that tracks a foreign stock index may trade
away from net asset value during U.S. trading hours (while the foreign stock exchange is closed). In a liquid market, such divergence from NAV reflects investor expectations of the future change in the (foreign)
index.

An Investment and Hedging Breakthrough

MacroShares™ Major Metro Housing

MacroShares Major Metro Housing

Publicly-traded securities based on the S&P/Case-Shiller Composite-10 Home Price Index

Click here for the SEC registration statements

MacroShares™ Major Metro Housing (cont’d)

MacroShares Major Metro Housing

Ability to trade home prices like a stock: ticker symbols UMM and DMM

Express a direct, bullish (UMM) or bearish (DMM) view on future home price changes

Security of short-term United States Treasury collateral backing all investor funds

No issuer credit risk

No hidden counterparty risks

Capital appreciation and income potential

Levered Returns that meet the needs of buy-and-hold investors

The leverage factor is applied to cumulative index returns

Unlike levered ETFs, these MacroShares are designed to deliver magnified index returns for holding periods
beyond a single day

Liquidity & Transparency: continuous bid/offered prices throughout every trading day
via NYSE/Arca

5-year term (early termination triggers apply)

*No assets are actually transferred between the trusts until a redemption, an early termination or the scheduled maturity date occurs. The $3 “transfers” within this
illustration represent payment obligations of one trust to the other, as mandated by the applicable settlement contract.

An Investment and Hedging Breakthrough

Illustration

Features

100% Liquid Collateral Mandate

Investor funds held in secure trusts fully-collateralized with T-bills, overnight government repos, and cash

MacroShares Trusts do not invest or speculate in corporate securities, futures or swaps contracts

Income Distribution Mandate

Income from Treasury collateral defrays trust expenses, can produce quarterly distributions, and is exempt from
state and local taxes

Public, exchange-traded equity securities

Liquid and transparent (via NYSE/Arca)

Marginable

Paired-unit issuance and redemption via Authorized Participants (APs) provides additional liquidity

Modest per share values facilitate participation by both retail and institutional housing market stakeholders

Market Price Premiums & Discounts (relative to underlying value)

Reflect underlying value of each trust and market expectations for home prices over the remaining term of the
security

Like any other security, prices can move with the market as key economic indicators are released

3x performance (or inverse performance) of S&P/Case-Shiller Home Price Indices

No need to buy/hold/manage property or home price derivatives

Unlike levered ETFs, levered MacroShares deliver magnified benchmark returns over the long-term

MacroShares Major Metro Housing

Benefits

No Credit Risk

Unlike notes and structured products, no issuer credit risk: MacroShares trusts are fully-collateralized with T-bills,
overnight government repos, and cash

No Counterparty Risk

Unlike a swap or OTC forward contract (or certain exchange-traded products that use these instruments to gain
exposure), MacroShares investments entail no counterparty risk

Price Discovery

Price discovery: transparent pricing and implied forward home price appreciation rates

Stimulus for development of related home price risk markets (i.e., CME Futures & Options, OTC derivatives)

Meets Pent-up Market Needs

A huge, untapped asset class with inefficient/incomplete markets

Institutional and retail demand facilitate effective securitization

As a listed equity security, “turn-key” market access - no need for a futures account or ISDA agreement

Total Return

Quarterly distributions possible when Treasury interest income exceeds trust expenses

A Natural, Two-Sided Market

Investors seeking diversification, relative value and income

Hedgers seeking cost-efficient means to mitigate existing exposures

IPO via open auction; NYSE market-maker provides pricing and fosters liquidity in secondary market

MacroShares Major Metro Housing

Opportunities

Investors:

Enhanced returns, incremental liquidity, lower transactions costs

Achieve levered housing market returns (or inverse returns) with ease

Add a low-correlated asset class to diversify portfolio

Generate periodic income to supplement capital return

Express either a bullish (UMM) or a bearish (DMM) view via a long security position

No need to short-sell in order to establish a bearish view: one can purchase DMM

Risk managers:

Greater efficiency and transparency

Directly hedge home price, inflation and business cycle exposures via a listed equity instrument

Eliminate credit and counterparty risks via a collateralized security

Implement hedges without short-selling

Observe updated prices via NYSE/Arca throughout the trading day

MacroShares Major Metro Housing

MacroShares™ Stakeholders & Applications

Stakeholder Group

Housing Up

(UMM)

Housing Down

(DMM)

Banks

•

Dealers

•

Developers, Home Builders

•

Endowment, Pension Funds

•

GSEs

•

Hedge Funds

•

Insurance Companies

•

Mtg Insurance Companies

•

Mtg Lenders/Originators

•

Mutual Funds

•

REITs

•

Individual Investors

•

Housing Market Stakeholders

MacroShares Applications

Applications

Banks

- Hedge existing real estate exposure

- Diversify existing real estate exposure and/or strategy

Geography

Sector (i.e., residential vs. commercial)

View (i.e., bullish or bearish via long position)

Corporations

Better manage exposure to construction, home durables & improvements sectors

Dealers

- Meet evolving client needs for long or short exposure

As a complimentary cash market, MacroShares should stimulate activity in home price
futures, options and OTC products

- Arbitrage and relative value trading opportunities

Combined market price of UMM + DMM vs. creation or redemption value

MacroShares vs. other instruments (e.g., REITS, Mortgages, ABX, Homebuilders)

MacroShares Applications

Applications (cont’d)

Developers / Homebuilders

- Hedge existing real estate exposure

- Diversify existing real estate exposure

- Offer homebuyers “covered” home price protection guarantees

Endowments, Pension Funds, Mutual Funds, Insurance Companies

- Attractive risk-adjusted return profile

- Newly accessible asset class with low correlation, portfolio diversification benefits

- Can express either a bullish or bearish view via a long position

- “Duration-matching” of long-term fund liabilities possible

- Defined benefit plans indexed to wage growth; pre-housing bubble wage growth
correlated to home price appreciation (1988 to 2000 correlation = 0.50)

- Develop and underwrite home equity insurance products

MacroShares Applications

Applications (cont’d)

Federal Government

Hedge growing direct and indirect housing exposure

Create incremental housing market liquidity and maximize REO sale proceeds

- e.g., package REO with (hedged) price protection to optimize investor interest

Cultivate development of new mortgage products that lower borrower risk or safely
increase affordability

- e.g., home price protection, shared appreciation mortgage products

Hedge Funds

- Pure play on home prices

- No need to rely on surrogates (ABX, CDS, equities)

- Can express either a bullish or bearish view via a long position

- Levered returns

- Marginable

MacroShares Applications

Applications (cont’d)

Individual Investors

- Hedge and/or diversify existing home price exposure

- Avoid costs, risks of brick & mortar investing:

- Brokerage fees, property maintenance and management, interest, taxes,
illiquidity, lack of diversification, etc.

Mortgage Lenders, Insurers & Originators

- Hedge existing real estate exposure

- Diversify existing real estate exposure

- Develop & underwrite new mortgage and insurance products

e.g., shared appreciation mortgages, home equity insurance

Enhance and protect value of collateral that backs covered bonds

MacroShares Applications

Applications (cont’d)

REITs

- Hedge existing real estate exposure

- Diversify existing real estate exposure

- Sector (i.e., residential vs. commercial)

- Geography

- View (i.e., bullish or bearish via long position)

- Quarterly dividend potential

- Levered returns, marginable

State and local governments

- Hedge projected revenues and budgets

- real estate transfer tax receipt volatility

- property tax assessments

MacroShares Applications

The S&P/Case-Shiller
Composite-10 Home Price Index

¹Percentages from 2000 US Census. Estimated market values derived by applying those percentages to the $20.5 Trillion total figure from Q4 2008 Federal Flow
of Funds Balance Sheet

Boston

$ 472 (2.3%)

Chicago

$ 697 (3.4%)

Denver

$ 226 (1.1%)

Las Vegas

$ 103 (0.5%)

Los Angeles

$ 1,169 (5.7%)

Miami

$ 328 (1.6%)

New York

$ 1,743 (8.5%)

San Diego

$ 287 (1.4%)

San Francisco

$ 677(3.3%)

Washington DC

$ 513 (2.5%)

Estimated Housing Stock Values

($s in Billions; % of total U.S. housing stock)¹

S&P/Case-Shiller Composite-10 Home Price Index

Component Markets

S&P/Case-Shiller Composite-10 Home Price Index

A value-weighted index of 10 major Metropolitan Areas

Weights are derived from U.S. Census housing counts and average home prices for each metro area

The housing stock within these 10 markets represents approximately 30% of the U.S. total

Historical Performance (Index Levels)

S&P/Case-Shiller Composite-10 Home Price Index

Historical Performance (YoY % Return)

S&P/Case-Shiller Composite-10 Home Price Index

MacroShares Research and Pricing Tools

Research & Pricing Tools

Component Metro Market Profiles

S&P/Case-Shiller Composite-10 Home Price Index

Appendix A

Covered counties:

Essex, MA

Middlesex, MA

Norfolk, MA

Plymouth, MA

Suffolk, MA

Rockingham, NH

Strafford, NH

Boston

S&P/Case-Shiller Composite-10 Home Price Index

Boston Metro Component

Relative Performance: Boston Metro v. Comp-10

Metro Area Snapshot

Estimated Housing Stock Value

$472 Billion

% of US housing stock value

2.3%

Weight within S&P/CS Comp-10

7.4%

Correlation to S&P/CS Comp-10*

0.733

Market Peak

September, 2005

Change Since Peak*

- 17.4%

Historical Index Performance, Sale Pair Counts

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

From index data published March 31, 2009

** The county composition of the S&P/Case-Shiller Chicago Home Price Index differs from the composition of the Chicago Metropolitan Division (MD) defined by The United States Office of Management and Budget (OMB) . DeKalb, Grundy
counties are included in the OMB-defined Chicago MD but are not covered by the S&P/CS. The net difference between the population coverage of the S&P/Case-Shiller Chicago Home Price Index and the OMB Chicago MD is approximately 1.7%

Covered counties**:

Cook, IL

Du Page, IL

Kane, IL

Kendall, IL

Lake, IL

Mchenry, IL

Will, IL

Metro Area Snapshot

Estimated Housing Stock Value

$697 Billion

% of US housing stock value

3.4%

Weight within S&P/CS Comp-10

8.9%

Correlation to S&P/CS Comp-10*

0.842

Market Peak

September, 2006

Change Since Peak*

- 22.4%

Chicago

* Correlation since inception. Change Since Peak derived from index data published March 31^st, 2009

S&P/Case-Shiller Composite-10 Home Price Index

Chicago Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: Chicago Metro v. Comp-10

From index data published March 31, 2009

** The county composition of the S&P/Case-Shiller Denver Home Price Index differs from the composition of the Denver Metropolitan Statistical Area (MSA) defined by The United States Office of Management and Budget (OMB) . Gilpin, Clear Creek, and Park counties are included in the OMB-defined
Denver Metropolitan Statistical Area but are not covered by the S&P/CS. The net difference between the population coverage of the S&P/Case-Shiller Denver Home Price Index and the OMB Denver MSA is approximately 1.1%

Covered counties**:

Adams, CO

Araphoe, CO

Broomfield, CO

Denver, CO

Douglas, CO

Elbert, CO

Jefferson, CO

Denver

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

S&P/Case-Shiller Composite-10 Home Price Index

Denver Metro Component

Metro Area Snapshot

Estimated Housing Stock Value

$226 Billion

% of US housing stock value

1.1%

Weight within S&P/CS Comp-10

3.7%

Correlation to S&P/CS Comp-10*

0.279

Market Peak

August, 2006

Change Since Peak*

-12.8%

Historical Index Performance, Sale Pair Counts

Relative Performance: Denver Metro v. Comp-10

From index data published March 31, 2009

Covered counties:

Clark, NV

Metro Area Snapshot

Estimated Housing Stock Value

$103 Billion

% of US housing stock value

0.5%

Weight within S&P/CS Comp-10

1.5%

Correlation to S&P/CS Comp-10*

0.764

Market Peak

August, 2006

Change Since Peak*

-46.5%

Las Vegas

S&P/Case-Shiller Composite-10 Home Price Index

Las Vegas Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: Las Vegas Metro v. Comp-10

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

From index data published March 31, 2009

Metro Area Snapshot

Estimated Housing Stock Value

$1,169 Billion

% of US housing stock value

5.7%

Weight within S&P/CS Comp-10

21.2%

Correlation to S&P/CS Comp-10*

0.933

Market Peak

September, 2006

Change Since Peak*

-39.2%

Covered counties:

Los Angeles, CA

Orange, CA

Los Angeles

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

S&P/Case-Shiller Composite-10 Home Price Index

Los Angeles Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: Los Angeles Metro v. Comp-10

From index data published March 31, 2009

Metro Area Snapshot

Estimated Housing Stock Value

$328 Billion

% of US housing stock value

1.6%

Weight within S&P/CS Comp-10

5.0%

Correlation to S&P/CS Comp-10*

0.882

Market Peak

December, 2006

Change Since Peak*

- 43.4%

Covered counties:

Broward, FL

Miami-Dade, FL

Palm Beach, FL

Miami

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

S&P/Case-Shiller Composite-10 Home Price Index

Miami Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: Miami Metro v. Comp-10

From index data published March 31, 2009

New York

S&P/Case-Shiller Composite-10 Home Price Index

New York Metro Component

** The county composition of the S&P/Case-Shiller New York Home Price Index differs from the composition of the New York Metropolitan Statistical Area (MSA) defined by The United States Office of Management and Budget (OMB) . The OMB
includes Orange (NY) and Pike (PA) counties in the New York MSA, and does not include Warren (NJ), New Haven (CT), and Fairfield (CT) counties. The net difference between the population coverage of the S&P/Case-Shiller New York Home
Price Index and the OMB New York MSA is approximately 0.2%

Covered counties**:

Fairfield, CT

New Haven, CT

Bergen, NJ

Essex, NJ

Hudson, NJ

Hunterdon, NJ

Mercer, NJ

Middlesex, NJ

Monmouth, NJ

Morris, NJ

Ocean, NJ

Passaic, NJ

Somerset,NJ

Sussex, NJ

Union, NJ

Warren, NJ

Bronx, NY

Dutchess, NY

Kings, NY

Nassau, NY

New York, NY

Orange, NY

Putnam, NY

Queens, NY

Richmond, NY

Rockland, NY

Suffolk, NY

Westchester, NY

Metro Area Snapshot

Estimated Housing Stock Value

$1,743 Billion

% of US housing stock value

8.5%

Weight within S&P/CS Comp-10

27.2%

Correlation to S&P/CS Comp-10*

0.871

Market Peak

June, 2006

Change Since Peak*

- 16.0%

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

Historical Index Performance, Sale Pair Counts

Relative Performance: New York Metro v. Comp-10

From index data published March 31, 2009

Metro Area Snapshot

Estimated Housing Stock Value

$287 Billion

% of US housing stock value

1.4%

Weight within S&P/CS Comp-10

5.5%

Correlation to S&P/CS Comp-10*

0.925

Market Peak

November, 2005

Change Since Peak*

- 40.8%

San Diego

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

Covered counties:

San Diego, CA

S&P/Case-Shiller Composite-10 Home Price Index

San Diego Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: San Diego Metro v. Comp-10

From index data published March 31, 2009

Metro Area Snapshot

Estimated Housing Stock Value

$677 Billion

% of US housing stock value

3.3%

Weight within S&P/CS Comp-10

11.8%

Correlation to S&P/CS Comp-10*

0.892

Market Peak

May, 2006

Change Since Peak*

- 43.1%

San Francisco

Covered counties:

Alameda, CA

Contra Costa, CA

Marin, CA

San Francisco, CA

San Mateo, CA

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

Historical Index Performance, Sale Pair Counts

S&P/Case-Shiller Composite-10 Home Price Index

San Francisco Metro Component

Relative Performance: San Francisco Metro v. Comp-10

From index data published March 31, 2009

Metro Area Snapshot

Estimated Housing Stock Value

$513 Billion

% of US housing stock value

2.5%

Weight within S&P/CS Comp-10

7.8%

Correlation to S&P/CS Comp-10*

0.950

Market Peak

May, 2006

Change Since Peak*

- 31.5%

** The county composition of the S&P/Case-Shiller Wash DC Home Price Index differs from the composition of the Wash DC Metropolitan Statistical Area (MSA) defined by The United States Office of Management and Budget
(OMB) . Fairfax City, Falls Church City, Manassas City, Manassas Park City, and Warren counties are included in the OMB-defined Wash DC Metropolitan Statistical Area but are not covered by the S&P/CS. The net difference
between the population coverage of the S&P/Case-Shiller Wash DC Home Price Index and the OMB Wash DC MSA is approximately 2.3%

Covered counties**:

District of Columbia

Calvert, MD

Charles, MD

Frederick, MD

Montgomery, MD

Prince Georges, MD

Alexandria City, VA

Arlington, VA

Clark, VA

Fairfax, VA

Fauquier, VA

Fredericksburg City, VA

King George, VA

Loudoun, VA

Spotsylvania, VA

Prince William, VA

Stafford, VA

Washington, DC

* Correlation since inception. Change Since Peak derived from index data published March 31st, 2009

S&P/Case-Shiller Composite-10 Home Price Index

Washington, DC Metro Component

Historical Index Performance, Sale Pair Counts

Relative Performance: Washington, DC Metro v. Comp-10

From index data published March 31, 2009

Housing Market Data

Appendix B

Historical Index Data

Housing Market Data

Click Here

For Historical Data Download

Housing Market Data

A variety of public data shapes home price expectations

Building Permits

Housing Starts

Home Sales – New, Existing, Pending

Excess Inventory

Mortgage Applications

Homebuilder earnings

Homebuilder Indices (e.g., NAHB)

Mortgage Defaults / Foreclosures

Fed Policy

Construction Spending

Government housing policies, subsidies

Fiscal and tax policies

Macroeconomic indicators with a relationship to home prices:

Interest rates, GDP, Personal Income, Consumer Confidence, CPI, Unemployment, etc.

Mon

Tue

Wed

Thu

Fri

U. of Michigan Confidence

Pending Home Sales

Construction
Spending

Consumer Confidence

D.R. Horton Inc. (DHI)
Earnings

MBA Mtg Apps

ADP Employment

Initial Jobless Claims

Continuing Claims

Avatar Holdings Inc.
(AVTR)Earnings

Consumer Credit

Non Farm Payrolls

Standard Pacific
Corp. (SPF) Earnings

IBP/TTPP Economic
Optimism

Consumer Confidence

MBA Mtg Apps

Initial Jobless Claims

Continuing Claims

Consumer Price Index

U. of Michigan Confidence

NAHB Housing
Market Index

Housing Starts

Building Permits

Consumer Confidence

MBA Mtg Apps

Initial Jobless Claims

Continuing Claims

Leading Indicators

Continuing Claims

Memorial Day –
NYSE Market is
Closed

S&P/Case-Shiller

Home Price Index

Consumer Confidence

MBA Mtg Apps

Initial Jobless Claims

Continuing Claims

GDP

U. of Michigan Confidence

May 2009

Though the S&P/CSIs are updated monthly, there are
numerous, frequent economic and housing market
indicators that influence expectations for future home prices

Housing Market Data

A variety of public data shapes home price expectations

(cont’d)

Housing Market Data

A variety of public data shapes home price expectations

(cont’d)

U.S. Home Price Indicators: A sample

Home Prices = S&P/Case-Shiller Composite-10

Building Permits (1-unit), Housing Starts (1-unit), New Home Sales = US Department of Commerce

Existing Home Sales, Inventory (1-unit) = National Association of Realtors

Housing Market Data

Home Price Research / Whitepapers

Appendix C

“Derivatives Markets for Home Prices” Robert J. Shiller, for Lincoln Institute of Land Policy conference “Housing and the Built Environment: Access, Finance, Policy,”
Cambridge MA, December, 2007

This paper discusses real estate risks, the importance of managing these risks, and the development of a derivatives market to do so.

Read full article

“Evolution of an Economic Crisis?: The Subprime Lending Disaster and the Threat to the Broader Economy“ Robert Shiller, Stanley B. Resor Professor of Economics and
Professor of Finance, Yale University, Co-founder and Chief Economist, MacroMarkets LLC, Research Associate, National Bureau of Economic Research, September 2007

This paper was submitted in a testimony to the Congress of the United States, Joint Economic Committee.

Read full article

"Understanding Recent Trends in House Prices and Home Ownership" Robert Shiller, Professor of Economics and Professor of finance, Yale University, and Chief Economist,
MacroMarkets LLC, August 2007
This paper, first presented at the Federal Reserve Bank of Kansas City’s annual symposium at Jackson Hole, Wyoming on August 30^th, 2007, looks at a broad array of evidence
concerning the recent boom in home prices, and considers what this means for future home prices and the economy.

Read full article

"Radical Financial Innovation" Robert Shiller, for Entrepreneurship, Innovation and the Growth Mechanism of the Free Market Economies, in honor of William Baumol, Princeton
University Press, 2006.

This paper discusses the new environment of risk management including the shortcomings of the current discipline, potential developments and what is to come in the future.

Read full article

"Systemic Risks in Residential Property Valuations Perception and Reality" Terry Loebs, Collateral Assessment & Technologies Committee (CATC), June 2005
In this whitepaper, biases in traditional and automated residential valuation processes are examined in the context of declining real estate markets.
Read full article

"Home-Buyers, Housing, and the Macroeconomy" Robert Shiller with Karl E. Case and John M. Quigley, in Anthony Richards and Tim Robinson, editors, Asset Prices and
Monetary Policy, Reserve Bank of Australia, 2004, pp. 149-88.

A 2002 survey of US home-buyers suggests expectations of long term home values are based on short term experience which influences consumer spending.

Read full article

"Is There a Real Estate Bubble?" Robert Shiller with Karl E. Case, Brookings Papers on Economic Activity, 2004-I.
This paper searches for signs of a bubble in U.S. housing prices. A survey is examined that shows recent home buyers in some key areas have unrealistic expectations of price
increases in the future and low perception of risk in their new home investment.

Read full article

"Macro Markets: Managing Risks to National Economies" Robert Shiller, in Public Finance in a Globalizing World: Innovations in Theory and Practice, New York: United
Nations Development Program, 2004

This paper suggests ideas for how we can implement better risk management strategies such as national government risk-sharing economic treaties.

"Is There a Bubble in the Housing Market?" Robert Shiller and Karl E. Case, Brookings Papers on Economic Activity 02:2003 [65pp]
THE POPULAR PRESS is full of speculation that the United States, as well as other countries, is in a "housing bubble" that is about to burst. How do we know if the housing market
is in a bubble?

Read full article

"Comparing Wealth Effects: The Stock Market versus the Housing Market" Robert Shiller, Karl E. Case, John M. Quigley [25pp], October 2001
In this paper, we examine the link between increases in housing wealth, financial wealth, and consumer spending.
Read full article

Research / White Papers

"High Time to Share" Terry Loebs, Mortgage Banking, January 2001
In this article, the merits of shared appreciation mortgage products are evaluated, and the relative returns, volatility and correlations of the housing asset class are examined.
Read full article

"Moral Hazard and Home Equity Conversion" Robert Shiller and Allan Weiss, Real Estate Economics, Vol. 28, No. 1, 2000.[see CFDP 1177, CFP 1015]
In this paper, we discuss the potential problem of moral hazard and how it could create serious future losses for investors.
Read full article

"Evaluating Real Estate Valuation Systems" Robert Shiller and Allan N. Weiss, Journal of Real Estate Finance and Economics (1999) 18(2):147-61. [CFP 983]
In this paper, a framework for comparing meal estate valuation systems (including automated valuation models (AVMs) and current appraisal methods) is proposed.
Read full article

"Home Equity Insurance" Robert Shiller and Allan Weiss, Journal of Real Estate Finance and Economics, 19:1, 21-47, 1999. [see CFDP 1074, CFP 1007]
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, could bear some resemblance both to ordinary insurance and to financial
hedging vehicles.
Read full article

"Macro Markets and Financial Security" Robert Shiller with S. Athanasoulis and E. van Wincoop, Economic Policy Review, 5:1. 21-39, April 1999.

This paper describes a new set of securities called macro markets that trade long-term claims on the income of large geographical regions and countries. These securities could
help investors reduce their exposure to national income growth uncertainty.

Read full article

"Expanding the Scope of Individual Risk Management: Moral Hazard and Other Behavioral Considerations" Robert Shiller, Economic Notes, 26:2, 361-78, 1997.

Problems are discussed and improved methods are proposed of individual risk management through contracts and derivatives.

Read full article

"Why Do People Dislike Inflation?" Robert Shiller, in Reducing Inflation: Motivation and Strategy, ed. C. Romer and D. Romer, National Bureau of Economic Research and
University of Chicago Press, 1997.

An analysis of survey data regarding the perceptions of inflation between economists and non-economists in the US, Germany and Brazil.

Read full article

"Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate" Robert Shiller and Karl E. Case, Journal of Housing
Research (1996), 7(2): 243-258. [see CFDP 1098]
This paper argues that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate price increase.
Read full article

"Hedging Inflation and Income Risks" Robert Shiller, Manchester School, 63: 1-21 (supplement "Papers in Money, Macroeconomics and Finance) 1995.
Estimates are made, from time series data on real gross domestic products, of the standard deviations of returns in markets on countries' incomes. Such markets, by allowing
hedging o these aggregate income risks, might make for dramatically more effective international macroeconomic risk sharing than is possible today.
Read full article

"Sizing-Up Prepayment Rates" Terry Loebs, Mortgage Banking, February 1993
In this article, the implications of common assumptions regarding consensus prepayment rates are examined in the context of mortgage-backed securities and mortgage servicing
rights pricing.
Read full article

Research / White Papers

"A Decade of Boom and Bust in Single Family Home Prices: Boston and Los Angeles, 1983-1993" Robert Shiller and Karl E. Case, Revue D'Economie Financiere
(December 1993), pp. 389-407. Reprinted in New England Economic Review (March/April 1994), pp. 40-51.
While prices do not boom as they did in Boston and Los Angeles unless market fundamentals are positive, evidence is mounting that at least part of the increase in both metro
areas can be attributed to speculative behavior on the part of buyers and sellers.
Read full article

"Index-Based Futures and Options Trading in Real Estate" Robert Shiller, Karl E. Case and Allan N. Weiss, Journal of Portfolio Management (Winter 1993). [CFDP 1006]
In this paper, we propose that cash-settled futures and options markets be opened on real estate to better allow diversification and hedging, and show that these markets solve
problems that have hampered other real estate hedging media in the past.
Read full article

"Measuring Asset Value for Cash Settlement in Derivative Markets: Hedonic Repeated Measures Indices and Perpetual Futures" Robert Shiller, Journal of Finance,
68:911-31, July 1993.
Proposals for the establishment of derivative market instruments including index number construction and perpetual claims on cash flows matching indices of dividends or rents.

Read full article

"Forecasting Prices and Excess Returns in the Housing Market" Robert Shiller and Karl E. Case, AREUEA Journal (1990), 18(3): 253-273.
Price changes in one year tend to continue for more than one year in the same direction. The results add weight to the argument that the market for single family homes is
inefficient.
Read full article

"The Efficiency of the Market for Single Family Homes" Robert Shiller and Karl E. Case, American Economic Review (March 1989), 79(1): 125-37. (Reprinted in John M.
Quigley (ed.), The Economics of Housing, Cheltenham, UK: Edward Elgar, 1997.)
The market for Single Family Homes does not appear to be efficient.
Read full article

"Speculative Booms and Crashes" Robert Shiller, Henry B. Thornton Lecture, City University London 1989, in Monetary Economics in the 1990s, ed. F. Capie and G.E. Wood,
58-74, Macmillan, 1996.

This paper discuses the rational expectations revolution in economic modeling. The key concept being to collapse the two current models into one that assumes people know of or
behave as they know the true model that describes the economy. This change allows economists to construct better models.

Read full article

"The Behavior of Home Buyers in Boom and Post-Boom Markets" Robert Shiller and Karl E. Case, New England Economic Review (November/December, 1988), pp. 29-46.
Reprinted in Russian in Constants (Ukraine) (1993), 1(2): 1-20.
Home prices move in dramatically different ways at the same time in different parts of the country.
Read full article

"Prices of Single-Family Homes Since 1970: New Indexes for Four Cities" Robert Shiller and Karl E. Case, New England Economic Review (September/October 1987), pp.
46-56. [CFDP 851]
Here we explain the construction of what we call a weighted repeat sales index (WRS), discuss the results and compare them with the National Association of Realtors data on the
median price of existing single family homes for the period 1981 - 1986.
Read full article

Research / White Papers