...is available quarterly on a website I stumbled across this week. It is from a firm called Research Associates which was I believe set up by the highly respected Rob Arnott. He has championed smart beta as a concept and their firm offers ETF's based on some of the Fundamental indices that have been created to track these as an alternative to market cap weighted indices and trackers.
Any way enough already I expect you are thinking where's the free asset allocation advice you promised? Well you can see a nice graph and table of CAPE (ten year P/E's) for various international markets at the Research Associates site. This also offers tabs at the top to look at forecast 10 year real returns on other asset classes like Fixed Income and Commodities. You can also sign up at the site to get quarterly updates on these forecasts.
Sticking with equities though this shows that Emerging markets have the highest forecast real returns going forward whereas US equities appear to offer the lowest returns. European equities are generally clustered around the middle and the UK doesn't look too bad. Indeed on the UK it is encouraging to see (if you scroll down the page on the link above) that the CAPE or Shiller PE is calculated at a below median figure of 12.5 x suggesting a reasonable expected real returns of +5.2% per annum on a 10 year view.
Finally, you can see Rob Arnott talking about the data and the outlook in the video below, but if you are reading this in the e-mail and are interested in seeing it, then please visit the blog page at my site as these videos don't seem to register in the e-mail, although I tried a small one today to see if that works.