The cyclically adjusted price-to-earnings ratio (CAPE), though originally derived for the US equity market, has now been calculated for various national equity markets outside the United States. In all its various adaptations, the measure has been used only to express valuations of those markets in terms of being overvalued, undervalued, or fairly valued. None of the adaptations of the measure have been used to derive finite equity return expectations from those markets. This article explores the approach of applying CAPE to develop a computable forecast measure, called the medium-term country yield forecast (CY-M), to express the medium-term real return expectations of national equity markets. In almost all of its past adaptations, CAPE has mostly been used to express only long-term (periods greater than 10 years) valuations of the equity markets, but the author here has explored its application in the medium term (periods between 2 and 10 years). Drawing conclusions from empirical studies on countries in the MSCI All Countries World Index ex. USA (ACWX) for the period 1969 through 2016, the author has amended the CAPE of a national equity market by coalescing it with the cyclically adjusted real exchange rate (computed in the same manner as CAPE) of the country and the long-term price return momentum (adjusted for inflation) of the market. The author also has applied CY-M derived from the adapted CAPE as a comparative measure to screen and rank countries in the ACWX to construct an international country rotation equity portfolio. TOPICS: Portfolio theory, portfolio construction, equity portfolio management, international investing Key Findings • The article illustrates how to adapt CAPE (also known as Shiller’s PE), a popular long-term US equity valuation measure, to be an equally proficient medium-term valuation measure for countries outside the United States. • It elucidates further a mechanism of applying the modified CAPE of a country to frame its medium-term return expectations. • The article also demonstrates how to rank countries based on their medium-term return expectations to construct a country rotation international equity portfolio.

中文翻译：

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使用CAPE预测国家收益以设计国际国家轮岗组合

周期性调整市盈率（CAPE）虽然最初是针对美国股票市场得出的，但现在已经针对美国以外的各种国家股票市场进行了计算。在所有各种调整中，该度量仅用于表达被高估，低估或公平估值的那些市场的估值。该措施的任何改编均未用于从这些市场中得出有限的股本收益预期。本文探讨了应用CAPE来开发可计算的预测指标的方法，该方法被称为中期国家收益率预测（CY-M），以表达国家股票市场的中期实际收益期望。在过去的几乎所有改编中，CAPE大多仅用于表示股票市场的长期（超过10年的）估值，但是在此作者已经探讨了其在中期（2至10年之间）的应用。从MSCI所有国家/地区世界指数的国家进行的经验研究得出结论。美国（ACWX）在1969年至2016年期间，作者对国家股票市场的CAPE进行了修正，将其与该国家的周期性调整后的实际汇率（以与CAPE相同的方式计算）和长期价格合并市场的动量（经通胀调整）。作者还应用了从改编的CAPE中获得的CY-M作为比较方法，对ACWX中的国家进行筛选和排名，以构建国际国家轮岗股权投资组合。主题：投资组合理论，投资组合构建，股权投资组合管理，国际投资的主要发现•本文说明了如何将CAPE（也称为Shiller's PE）（一种流行的美国长期股权估值方法）改编为美国以外国家同样有效的中期估值方法。•进一步阐明了一种机制，该机制运用一个国家的经修改的CAPE来确定其中期回报期望。•本文还演示了如何根据国家对中期回报的期望对国家进行排名，以构建国家轮换的国际股票投资组合。