JM

SPX Excess CAPE Yield

JM Premium 업데이트됨   
Here we are looking at the Excess CAPE yield for the SPX500 over the last 100+ years

"A higher CAPE meant a lower subsequent 10-year return, and vice versa. The R-squared was a phenomenally high 0.9 — the CAPE on its own was enough to explain 90% of stocks’ subsequent performance over a decade. The standard deviation was 1.37% — in other words, two-thirds of the time the prediction was within 1.37 percentage points of the eventual outcome: this over a quarter-century that included an equity bubble, a credit bubble, two epic bear markets, and a decade-long bull market."

https://assets.bwbx.io/images/users/iqjW...

In December of 2020 Dr . Robert Shiller the Yale Nobel Laurate suggested that an improvement on CAPE could be made by taking its inverse (the CAPE earnings yield) and subtracting the us10 year treasury yield.

"His model plainly suggests that stocks will do badly over the next 10 years, and that bonds will do even worse. This was the way Shiller put it in a research piece for Barclays Plc in October, (which can be found on SSRN Below):

In summary, investors expect a certain return in equities as compensation for investing in a riskier asset class, and as interest rates have declined, the relative expected return for equities has increased dramatically. We believe this may quantitatively help to explain investors current preference for equities over bonds, and as such the quick recoveries we are observing (with the exception of the UK), whilst still in the midst of a pandemic. In the US in particular, we are once again observing stretched valuations and high CAPE ratios compared to history."

Sources:
https://papers.ssrn.com/sol3/papers.cfm?...
https://www.bloomberg.com/opinion/articl...

The standard trading view disclaimer applies to this post -- please consult your own investment advisor before making investment decisions. This post is for observation only and has no warranty etc. https://www.tradingview.com/disclaimer/

Best,

JM
릴리즈 노트: Someone brought to my attention that the treasury rate Shiller uses in his calculation of Excess Cape Yield is inflation adjusted. As such I've updated the script to use DFII10 instead of DGS10, as DFII10 is inflation adjusted or 'real' 10 year bond yield.

Best,

JM
오픈 소스 스크립트

이 스크립트의 오써는 참된 트레이딩뷰의 스피릿으로 이 스크립트를 오픈소스로 퍼블리쉬하여 트레이더들로 하여금 이해 및 검증할 수 있도록 하였습니다. 오써를 응원합니다! 스크립트를 무료로 쓸 수 있지만, 다른 퍼블리케이션에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.

면책사항

이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.

차트에 이 스크립트를 사용하시겠습니까?