cape: actual return forecasts and predictive accuracy in history · 2018. 1. 19. · which...

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Contact: Norbert Keimling Head of Research Dr. Nora Imkeller Analyst StarCapital Aktiengesellschaft Kronberger Str. 45 61440 Oberursel Germany eMail: [email protected] www.starcapital.de/research freecall 0800 - 69419 - 00 Tel.: +49 6171 69419 - 0 Fax: +49 6171 69419 - 49 CAPE: Actual return forecasts and predictive accuracy in history Which distribution of returns followed in history over 10-15 years in 17 countries from 1881-2015? December 2017 This chart shows the relationship between CAPE and the returns of the subsequent 10-15 years for the periods 01/1881-05/2015 (S&P 500) and 12/1979-05/2015 (16 other MSCI Countries). Only CAPE levels between 5 and 30 are shown. Returns are adjusted for inflation, in local currency, incl. dividend income and annualized. For details see research paper "Predicting Stock Market Returns Using the Shiller-CAPE: An Improvement Towards Traditional Value Indicators?"(http://www.starcapital.de/files/publikationen/Research_2016-01_Predicting_Stock_Market_Returns_Shiller_CAPE_Keimling.pdf). The current CAPE valuations for the 20 countries with the highest market-capitalization and the corresponding historical return distributions followed on comparable valuations are shown. Current CAPE as of 11/30/2017. -5% 0% 5% 10% 15% 20% 5 10 15 20 25 30 17 Countries (1881-2015) Russia Brazil Spain, Singapore UK, Korea Italy, Emerging Mkts Hong Kong, China Taiwan Germany, France Canada, Sweden, India World AC Netherlands Japan Historically, the current US-CAPE of 30.3 was followed by below average returns of 0.8-4.6% p.a. over the next 10-15 years. But keep spikes in mind: In particular cases also returns of -4.1% and 10.7% were realized. Shiller-CAPE Returns of the subsequent 10-15 years For the actual valuation levels in these countries never negative long-term subsequent returns were observed in global history. Europe Devel. Mkts, Switzerland US Australia

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  • Contact:Norbert KeimlingHead of ResearchDr. Nora ImkellerAnalyst

    StarCapitalAktiengesellschaftKronberger Str. 4561440 OberurselGermany

    eMail: [email protected]/researchfreecall 0800 - 69419 - 00Tel.: +49 6171 69419 - 0Fax: +49 6171 69419 - 49

    CAPE: Actual return forecasts and predictive accuracy in historyWhich distribution of returns followed in history over 10-15 years in 17 countries from 1881-2015?

    December 2017

    This chart shows the relationship between CAPE and the returns of the subsequent 10-15 years for the periods 01/1881-05/2015 (S&P 500) and 12/1979-05/2015 (16 other MSCI Countries). Only CAPE levels between 5 and 30 are shown. Returns are adjusted for inflation, in local currency, incl. dividend income and annualized. For details see research paper "Predicting Stock Market Returns Using the Shiller-CAPE: An Improvement Towards Traditional Value Indicators?"(http://www.starcapital.de/files/publikationen/Research_2016-01_Predicting_Stock_Market_Returns_Shiller_CAPE_Keimling.pdf). The current CAPE valuations for the 20 countries with the highest market-capitalization and the corresponding historical return distributions followed on comparable valuations are shown. Current CAPE as of 11/30/2017.

    -5%

    0%

    5%

    10%

    15%

    20%

    5 10 15 20 25 30

    17 Countries (1881-2015)

    Russ

    ia

    Braz

    il

    Spai

    n, S

    inga

    pore

    UK

    , Kor

    ea

    Italy

    , Em

    ergi

    ng M

    kts

    Hon

    g K

    ong,

    Chi

    na

    Taiw

    anG

    erm

    any,

    Fra

    nce

    Can

    ada,

    Sw

    eden

    , Ind

    ia

    Wor

    ld A

    C

    Net

    herla

    nds

    Japa

    n

    Historically, the currentUS-CAPE of 30.3 wasfollowed by below average returnsof 0.8-4.6% p.a. overthe next 10-15 years.But keep spikes in mind: In particular cases alsoreturns of -4.1% and 10.7% were realized.

    Shiller-CAPERetu

    rns

    of t

    he s

    ubse

    quen

    t 10

    -15

    year

    s

    For the actual valuation levels in these countries never negative long-term subsequent returns were observed in global history.

    Euro

    pe

    Dev

    el. M

    kts,

    Sw

    itzer

    land

    US

    Aus

    tral

    ia