S&P 500 Earnings Yield: Trailing 12-Month Earnings to Price Ratio Monthly Since 1871

The S&P 500 Earnings Yield is the inverse of the index’s trailing price-to-earnings ratio — trailing 12-month aggregate earnings divided by the S&P 500 price, expressed as a percentage. It translates equity valuation into a yield directly comparable to bond yields: a 5% earnings yield means each dollar invested in the S&P 500 is currently backed by 5 cents of trailing earnings. This Eco3min composite combines Shiller’s reconstructed S&P 500 monthly price series and his S&P aggregate trailing earnings series into a single time series running from 1871 to the present. Unlike the CAPE-based inverse, the S&P 500 Earnings Yield uses unsmoothed trailing earnings, making it more reactive to short-term earnings cycles.

Dataset: S&P 500 Earnings Yield (1871–2026) · Updated 2026-07-01

Source: Robert Shiller, Yale University, ie_data.xls — Open academic data (S&P aggregate earnings and price series)

Macro Takeaway

Construction & Components

The S&P 500 Earnings Yield is the most direct translation of equity valuation into a yield format. It uses raw trailing earnings rather than the 10-year smoothed earnings used in CAPE, which makes it more cyclical but also more transparent in its construction.

Formula:

S&P 500 Earnings Yield = (TTM Earnings / S&P 500 Price) × 100

Components:

• S&P 500 aggregate earnings (TTM) — Shiller dataset (ie_data.xls), monthly. Trailing 12-month aggregate earnings for the S&P 500 composite, reconstructed back to 1871 using S&P historical earnings, Cowles Commission data (pre-1926), and modern S&P operating earnings (post-1988).
• S&P 500 price index — Shiller dataset, monthly. End-of-month S&P 500 composite price, using S&P Composite Index pre-1957 and the modern S&P 500 thereafter.

Frequency reconciliation: Both components are monthly in the Shiller dataset, aligned on the same end-of-month convention. No interpolation or temporal alignment is required.

Coverage: 1871–present, the full Shiller dataset span. Pre-1926 earnings rely on the Cowles Commission reconstruction with larger measurement uncertainty than modern S&P reported earnings; users analyzing long-run averages should be aware of this regime change.

Dataset Overview

Dataset Variables

The CSV and Excel files contain the following columns.

Column names match the CSV headers exactly.

Download the Complete Dataset

The full S&P 500 Earnings Yield dataset is available in CSV and Excel formats.

Direct CSV Access — Eco3min Structured Dataset

https://eco3min.fr/dataset/sp500-earnings-yield.csv

This URL returns the complete dataset in CSV format. It can be used directly in pandas, R, curl, or any data tool.

Using the Dataset in Python

import pandas as pd

url = "https://eco3min.fr/dataset/sp500-earnings-yield.csv"
df = pd.read_csv(url, parse_dates=["date"])

print(df.head())
print(df.describe())

Using the Dataset in R

library(readr)

url <- "https://eco3min.fr/dataset/sp500-earnings-yield.csv"
df <- read_csv(url)

head(df)
summary(df)

Both examples load the dataset directly from the URL — no download or API key required.

Methodology

The S&P 500 Earnings Yield series is recomputed monthly by an Eco3min pipeline that pulls Robert Shiller’s ie_data.xls spreadsheet from the Yale University site. The two required inputs (trailing 12-month aggregate earnings and S&P 500 end-of-month price) are read directly from the workbook and combined according to the earnings yield formula. The pipeline runs on the second business day of each month, after Shiller typically refreshes the workbook for the preceding month.

Eco3min uses Shiller’s “Earnings” column (which already represents trailing 12-month aggregate earnings) as the numerator and his “S&P Composite” price column as the denominator, multiplying the result by 100 to express the output as a percentage rather than a raw ratio.

Data Quality & Provider Notes

Latency is dictated by Shiller’s monthly update cadence: the workbook is typically refreshed during the first 5–10 business days of each calendar month for the preceding month. Eco3min cannot publish fresher data than the upstream Shiller release.

Revisions propagate: when Shiller updates historical S&P aggregate earnings (which occasionally happens for earnings restatements) or when a reporting period gets reclassified, the S&P 500 Earnings Yield series upstream of the revision adjusts accordingly. Eco3min replaces the full historical CSV on each release rather than appending only the latest observation, so users always retrieve the most recent vintage.

Alternative S&P earnings yield series exist (Bloomberg, S&P Dow Jones Indices, Macrotrends) but typically start in the 1980s or use different earnings definitions (reported vs operating, GAAP vs non-GAAP). The Shiller-based series used here provides the longest continuous history (since 1871) using a single methodology, at the cost of pre-1926 measurement uncertainty.

What This Index Captures (And What It Doesn’t)

The S&P 500 Earnings Yield is a simple, transparent valuation metric. Its strength is comparability with bond yields; its weakness is reactivity to short-term earnings cycles.

What it captures:

• The trailing earnings backing of each dollar of S&P 500 price, on a directly bond-comparable yield scale
• Sharp cyclical movements during earnings recessions (e.g., the 2009 collapse to under 2% when S&P aggregate earnings briefly turned negative)
• A long-run cross-asset valuation reference, with monthly observations back to 1871

What it does NOT capture (common misinterpretations):

• Forward earnings expectations. The series uses trailing 12-month earnings only. It tells you what equities yielded based on past earnings, not what analysts expect for the next 12 months — and those two can diverge sharply at cycle turns.
• Cyclically adjusted valuation. Unlike the CAPE-based inverse, this series uses unsmoothed earnings. During earnings recessions, the apparent earnings yield can collapse mechanically even when prices haven’t changed, making the indicator a poor regime-comparison tool across business cycles.
• Inflation-adjusted yield. The earnings yield is a nominal yield against a nominal price. For comparison to real bond yields, the Excess CAPE Yield applies the inflation adjustment.
• Dividend yield or total shareholder return. Earnings include retained earnings that are reinvested or used for buybacks; the earnings yield is not what investors receive in cash.

For long-horizon equity valuation analysis, the cyclically adjusted variants (CAPE, Excess CAPE Yield) are typically more useful. The S&P 500 Earnings Yield remains the natural reference for short-cycle valuation comparison and for direct equity-bond yield arbitrage analysis.

Historical Regimes

The S&P 500 Earnings Yield has spanned a wide range across 150+ years:

• 1871–1929 (high-yield era). Earnings yield typically ranged 7–10%, well above contemporaneous Treasury yields. Equity valuation premium over bonds was structurally negative — equities were considered riskier than bonds and priced accordingly.
• 1929–1932 (earnings collapse). The Depression earnings collapse drove the apparent earnings yield to over 15% briefly, then to near zero as aggregate earnings approached negative territory. A mechanical artifact of unsmoothed earnings.
• 1949–1965 (gradual compression). Earnings yield compressed from ~9% to ~5% as the post-WWII equity cult took hold and price multiples expanded.
• 1979–1982 (post-stagflation peak). Earnings yield rose above 13% at the trough of 1980s equity valuations, in tandem with very high nominal bond yields.
• 1999–2000 dot-com peak (historical low). The S&P 500 Earnings Yield compressed below 3.5%, the lowest sustained reading since 1929. The subsequent decade produced negative real S&P 500 returns.
• 2008–2009 earnings recession. Aggregate S&P trailing earnings briefly approached zero, producing a transient earnings yield reading near 2% even as prices had already fallen 40%. The post-recovery normalization brought the indicator back to ~6% by 2011.
• 2021–2024 (low but stable). Earnings yield held around 3.5–5%, lower than the long-run median but above the 1999–2000 trough.

For cross-references, the S&P 500 P/E ratio dataset is the direct inverse; the CAPE ratio dataset provides the cyclically smoothed counterpart; and the S&P 500 historical returns dataset shows the realized equity returns that followed each earnings yield regime.

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Sources

• Robert Shiller, Yale University, ie_data.xls — Open academic data (S&P aggregate earnings and price series)

Dataset Reference

Eco3min Research. (2026). S&P 500 Earnings Yield — Trailing 12-Month Earnings to Price Ratio, Monthly Since 1871.<br> https://eco3min.fr/en/sp500-earnings-yield-dataset/