Average Market Multiple and Its Standard Deviation

Was playing around with Shiller's CAPE database and was curious what the standard deviation of the market multiple was.

Arbitrarily choosing the period 1965 to 2015 the long term average CAPE was 19.7x with a standard deviation of 8.2 (hi = 44.2x, lo = 6.4x).

Using the same period but using a naive PE (ie. non-smoothed), the average market multiple over the period was 18.9x with a standard deviation of 12.6 (hi = 123.7x, lo = 6.8x).

Breaking the period into 5 yr, 7 yr and 10 year rolling periods to simulate various cycles the PE and standard deviations came out to:

		CAPE				Naïve PE
	5 Year	7 Year	10 Year		5 Year	7 Year	10 Year
Average	19.29	19.26	19.20		19.05	18.82	18.49
Standard Deviation	7.83	7.71	7.52		7.64	7.08	6.80
Hi	36.50	33.48	31.10		33.16	30.76	31.43
Lo	8.59	8.87	9.39		8.10	8.81	9.37