Abstract

http://ssrn.com/abstract=2470935
 


 



Cape Around the World: Update 2014 – The Relationship between Risk and Return


Joachim Klement


Wellershoff & Partners Ltd.

Oliver Dettmann


Wellershoff & Partners Ltd

July 24, 2014


Abstract:     
We update our annual analysis of expected returns for 38 equity markets around the world. Based on current CAPE valuations, we expect mid to high single-digit yearly returns in most developed equity markets. However, risks are elevated for some markets. We specifically investigate drawdown risk and find that given its current valuation levels, the US market in particular exhibits a high risk of significant future drawdowns.

Number of Pages in PDF File: 13

Keywords: Shiller PE, cyclically adjusted PE, equity market returns, drawdown risk

JEL Classification: G12

working papers series


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Date posted: July 24, 2014  

Suggested Citation

Klement, Joachim and Dettmann, Oliver, Cape Around the World: Update 2014 – The Relationship between Risk and Return (July 24, 2014). Available at SSRN: http://ssrn.com/abstract=2470935 or http://dx.doi.org/10.2139/ssrn.2470935

Contact Information

Joachim Klement (Contact Author)
Wellershoff & Partners Ltd. ( email )
CH-8044 Zurich
Switzerland
HOME PAGE: http://www.wellershoff.ch
Oliver Dettmann
Wellershoff & Partners Ltd ( email )
Zürichbergstrasse 38
Zürich, 8044
Switzerland
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