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Statistik › Bewertung › CAPE and horizons

The CAPE explains 40% of ten year returns and forecasts worse than the average out of sample

Ten year real total return, full sample fit
40%
Ten year real price growth, full sample fit
30%
Dividend yield against ten year total return
16%
Dividend yield against ten year price growth
9%
Ten year smoothed earnings growth
5%
Monthly real time out of sample forecast
-2%

R squared values for the price to ten year smoothed earnings ratio and, for comparison, the dividend price ratio, against subsequent outcomes. The first five are full sample regressions on overlapping ten year windows with no out of sample split and no reported standard errors. The last is a recursive one month ahead forecast measured against a rolling historical mean.

Starting valuation explains about 40% of the next ten years of real total return in a full sample regression. The same ratio, tested as a real time monthly forecast against a rolling mean, produces an out of sample R squared of minus 2.21%. Both are correct.

40%R squared, starting valuation against ten year real total return
30%The same against ten year real price growth
-2.21%Out of sample R squared of the same ratio, monthly, to 2004
5%R squared of starting valuation against ten year earnings growth

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