Formalized by Shiller, Black and Jivraj in their 2020 paper “CAPE and the COVID-19 Pandemic Effect,” the Excess CAPE Yield (ECY) corrects a weakness of the pure CAPE by integrating the 10-year Treasury real yield — an operational metric of…
Seven inflection points structure the Shiller series since 1881: 1920 trough at 4.78, 1929 peak at 32.56, 1932 Depression trough at 5.57, 1966 peak at 24.1, 1982 Volcker trough at 6.64, 1999 dot-com peak at 44.19 (absolute record), 2009 GFC…
Three equity valuation measures circulate continuously in financial commentary and are regularly conflated: the CAPE (P/E on 10-year real earnings), the trailing P/E (on GAAP earnings of the last 12 months) and the forward P/E (on consensus sell-side earnings projected…
Behind the acronym CAPE — Cyclically Adjusted Price-Earnings — sits a calculation of remarkable simplicity: real S&P 500 price as numerator, arithmetic mean of the previous ten years’ real earnings as denominator, double CPI deflation on both terms, series back-calculated…
An academic valuation ratio formalized by Robert Shiller in 1988 and popularized by Irrational Exuberance in 2000, the CAPE — S&P 500 price-to-earnings divided by the 10-year average of real earnings — concentrates since 1881 the most robust documented predictive…
Record Treasury issuance since 2022 and the recomposition of the buyer base durably structure the DGS10 term premium. Understanding this supply-demand equation has become a prerequisite for reading the 10-year yield in the contemporary fiscal regime. TL;DR Record post-2022 Treasury…
The 4% threshold on DGS10 is not an operational signal but an analytical reference: it marks the statistical frontier between the ZIRP regime and the post-2022 regime. Its meaning depends on its composition in real yield, breakeven and term premium…
The FRED DGS10 series starts in January 1962 at 4.11% and stands in May 2026 around 4.2%. This near-perfect return masks three successive monetary regimes with radically different drivers and amplitudes. TL;DR The 10-year's 6% average since 1962 is a…
Term structure theory says DGS10 is the integral of expected Fed Funds plus a term premium. The empirical 2000-2026 relationship shows an unstable elasticity, periods of decoupling, and the rare configuration where DGS10 falls below the policy rate — followed…
DGS10 is a composite number aggregating three distinct factors: real yield, inflation expectations, and term premium. The accounting identity DGS10 = DFII10 + T10YIE allows empirically settling between contradictory readings of the same move. TL;DR DGS10's decomposition reads three macro…
