I've been searching for high-quality data on CAPEs (cyclically adjusted price to earnings ratios) for different sectors, countries and market capitalizations. Shiller's Irrational Exuberance website has been a great resource for CAPE data on the S&P 500 index. Mebane Faber had a great blog post in October 2012 with CAPE data for various countries and also broke out the CAPE ratios for the S&P 500, S&P 400, S&P 600, emerging markets, and EAFE sectors (I wish he put out more blog posts like this). The Barclays Website has good information on US Sector CAPEs and it updated relatively frequently.

However, I've been having trouble finding updated CAPE data for different market capitalizations and indexes. For example, how do I find the CAPE for the S&P Smallcap 600 Index? How do I find the CAPE for the Vanguard Emerging Markets fund?

  • As a background point, have you considered how to handle the cases where the E of a P/E is zero or negative? These do exist and in smaller companies or emerging markets it is quite likely to be something to determine how you would want to factor that correctly. – JB King Aug 28 '13 at 17:30
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    As a start, check out this guy who collects this type of stuff pages.stern.nyu.edu/~adamodar/New_Home_Page/data.html – William Entriken Mar 5 '14 at 0:48

You can export the index from here - http://us.spindices.com/indices/equity/sp-600

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