S&P Real Price vs. Long-Run Trend
How many standard deviations the inflation-adjusted S&P Composite price sits above or below its long-run trend.
The inflation-adjusted S&P Composite price index compared with its long-run trend, measured in standard deviations (sigma). GMO defines an investment bubble as a 2-sigma deviation from trend. GMO has not published its exact trend method; this site computes the trend from Robert Shiller's public data as described on the Methodology page.
- Data source
- shillerdata.com
- Series
- shiller: RealPrice
- Frequency
- Monthly
- Unit
- Standard deviations
- Scoring direction
- Higher readings are treated as more dangerous. How scores are calculated
Sources for this description
- https://shillerdata.com/
- https://www.gmo.com/australia/research-library/let-the-wild-rumpus-begin_viewpoints/