TL;DR
Shiller's dataset starts in 1871, includes monthly S&P composite prices, dividends, earnings, and CPI. The companion CAPE ratio (Cyclically Adjusted P/E) is the most-cited valuation measure in academic finance.
In short
The dataset is the foundation for our simulator and most modern FIRE planning research. Shiller's key insights: long-run real returns are around 6.5%, valuations mean-revert over decades, and CAPE has weak but real predictive power for 10-year forward returns.
We're working on a full deep-dive for this article — including historical data, charts, and worked examples. In the meantime, you can run a free simulation to explore the underlying numbers yourself.
Frequently asked questions
- Does CAPE actually predict returns?
- Weakly. CAPE explains roughly 30-40% of the variance in 10-year forward real returns. Useful but not a market-timing signal.
- How accurate is the pre-1926 data?
- Less accurate than the post-1926 data, which comes from the published S&P composite. Pre-1926 numbers rely on the Cowles Commission reconstruction and have higher uncertainty.
Stress-test your own FIRE plan
FIRE Wealth OS runs your savings rate and expenses against every historical market starting point since 1871. Free to use, no card required.