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