Shillers PE ser ut til å fungere

Mellom 1995 og 2020 lyktes Shillers PE-tall overraskende bra. Å sammenligne aksjekursene med de børsnoterte selskapenes gjennomsnittlige fortjeneste de siste ti årene ser ut til å ha større sjanse for å forutsi fremtiden når inflasjonen er lav. I dag er CAPE i USA rundt 30, som taler for avkastning fra aksjer under 5%.

John Rekenthaler, CFA 27.07.2020 | 9:33

The Shiller CAPE ratio has long intrigued investment practitioners, and to some extent the academic community as well. Devised by Nobel Laureate Robert Shiller, the equation calculates the S&P 500’s “cyclically adjusted price/earnings ratio,” which is a fancy way of saying that the index’s price is divided by average corporate earnings over the past decade, rather than by the most recent results.

Because that process stabilizes the output by smoothing an economic cycle’s peaks and valleys, the CAPE ratio would seem well-suited to gauge the stock market’s valuation across different periods. If the current CAPE ratio is 20, as opposed to 12 two decades ago, today’s stocks may be overpriced. Perhaps the CAPE ratio can be used to predict future stock market performance.

A glance at the CAPE ratio’s history encourages that belief. The two highest figures the CAPE ratio ever recorded were in 1929 and 2000, directly before brutal bear markets. Lesser spikes occurred in 1936, 1966, 1972, and 1987, each of which were also followed by severe losses. It’s tempting when viewing the CAPE ratio’s chart to conclude that astute investors could have heard the thunder before the rain arrived.

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Om forfatteren

John Rekenthaler, CFA  John Rekenthaler is Vice President of Research for Morningstar.

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