Excess CAPE Yield

The Excess CAPE Yield (ECY) is a valuation indicator developed by Robert Shiller and colleagues. It measures the spread between the equity earnings yield — the inverse of the cyclically adjusted price-to-earnings ratio — and the real 10-year US Treasury yield. ECY rises when equities are cheap relative to bonds and falls when equities are expensive relative to bonds. The methodology was introduced in Bunn & Shiller (2014) and refined in Jivraj & Shiller (2017).

A higher ECY has historically been associated with stronger subsequent 10-year real returns for the S&P 500. A lower or compressed ECY has been associated with weaker subsequent returns. The relationship is statistical, not deterministic. ECY today sits in the lower portion of its post-1950 distribution, indicating an unusually compressed equity risk premium relative to the post-war norm.

Historical values shown for 1881–Sept 2023 use Prof. Shiller's published TR-CAPE-based ECY series. Values from Oct 2023 onwards are recomputed by B.U.Y. INVEST GmbH using plain CAPE from multpl.com plus 10-year Treasury and CPI data — a methodologically slightly different basis (plain CAPE vs TR CAPE). The empirical difference at the boundary is approximately 12 basis points, not visible at chart resolution. Recent CPI carry-forward (typically 1–2 months) is used when multpl's CPI publication lags. Both effects are documented in the data pipeline at scripts/update-shiller-cape.mjs.