CAPE Ratio

CAPE Ratio
July 2026

The CAPE that Cried Wolf

Dino Palazzo

Research

59 Pages

Dino Palazzo examines why the traditional CAPE ratio has overstated U.S. equity valuations since the early 1990s.

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CAPE Ratio
June 2026

Aggregation Consistency and Return Predictability: Evidence from CAPE Ratios

Rui Ma

Research

48 Pages

The authors argue that traditional CAPE has a hidden weighting problem because it uses earnings weights while market returns are value weighted.

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CAPE Ratio
May 2026

Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?

Norbert Keimling

Research

4 Pages

At today’s Shiller CAPE of 39 for the U.S. market, an analysis found no historical period since 1881 that was followed by attractive long-term real returns.

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CAPE Ratio
May 2026

Navigating Lost Decades

CMT Association

Ryan Gorman

Research

23 Pages

The authors examine lost decades as recurring market regimes rather than rare anomalies, challenging the comfort of simple buy and hold.

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Markets
February 2025

Current Constituents CAPE

Research Affiliates

Seanna Kim, Ted Hsu, Trent Commins

Research

8 Pages

Research Affiliates introduces Current Constituents CAPE, which modifies the CAPE Ratio by using the current index constituents and offers potentially improved predictive power, particularly over the medium term.

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Markets
July 2024

What if history rhymes? Equity return scenarios for the next five years

Robeco

Pim van Vliet

Research

9 Pages

Robeco forecasts five-year equity returns under three different CAPE ratio scenarios, and notes that defensive equities look attractive in a world of lower expected returns.

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Markets
October 2020

CAPE And The COVID-19 Pandemic Effect

Barclays

Robert Shiller

Research

18 Pages

Barclays examines how CAPE ratios behaved across major global equity markets during COVID-19 and what that implies for future returns.

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Markets
June 2018

Risky CAPE: Repair The Roof When The Sun Is Shining

Robeco

Pim van Vliet

Research

10 Pages

Robeco examines whether the traditional CAPE ratio meaningfully captures equity risk, arguing that valuation alone may miss downside dynamics investors actually experience.

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Markets
October 2017

The Many Colours of CAPE

Barclays

Robert Shiller, Farouk Jivraj

Research

25 Pages

Barclays explores how the CAPE ratio can be used to systematically allocate across equity sectors, aiming to capture value while managing risk through diversification and volatility controls.

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Portfolio Management
July 2017

Improving U.S. stock return forecasts: A “fair-value” CAPE approach

Vanguard

Joseph Davis

Research

15 Pages

Vanguard examines whether adjusting the CAPE ratio for interest rates improves long term U.S. equity return forecasts.

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Markets
January 2016

Predicting Stock Market Returns Using the Shiller-CAPE

StarCapital Research

Norbert Keimling

Research

32 Pages

StarCapital examines whether Shiller CAPE can reliably forecast long term equity returns across global markets.

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Markets
August 2014

Applying the Schiller Methodology to Bank Stocks

Rafferty Capital Markets

Richard Bove

Research

3 Pages

Rafferty Capital Markets applies Robert Shiller’s CAPE methodology to large U.S.

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Markets
July 2014

CAPE around the World: Update 2014 – The Relationship between Risk and Return

Wellershoff & Partners Ltd

Joachim Klement, Oliver Dettmann

Research

13 Pages

Wellershoff & Partners examines global equity valuations using CAPE ratios, arguing today’s elevated multiples may imply weaker long term returns and higher drawdown risk.

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Markets
February 2014

A CAPE Crusader ─ A Defence Against the Dark Arts

GMO

James Montier

Research

8 Pages

GMO examines whether critics of Shiller’s CAPE ratio are overlooking how elevated profit margins and distorted earnings may still imply expensive U.S. equities.

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Markets
September 2013

On the Performance of Cyclically Adjusted Valuation Measures

Alpha Architect

Wesley Gray, Jack Vogel

Research

18 Pages

The authors evaluate whether cyclically adjusted valuation metrics truly improve stock selection, finding that CAPE is not the strongest approach.

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