Where to find P/E history for various styles/sectors?
Anybody know of a (preferably free) source of info on historic P/E ratios (or other valuation metrics) for different segments of the market? E.g. Small Cap Value, Emerging, REIT, etc... The longer the history the better. I found lots of bits and pieces of info on the web, but nothing close to a complete picture.
The main reason I'm interested in this is because the very nice AA backtesting spreadsheet they have on Diehards shows that mixing relatively small amount of very aggressive classes (like the previously mentioned SCV, Emerging, REITs) with large helping of extremely conservative ones (2yr Treasuries) gives very high returns with exceptionally low volatility backtested 1972-2006. For example, 10/10/20/60 SCV/REIT/Emerging/2yr Treasuries gives 12.08% CAGR with 8.04% St.Dev. with only 5 down years in '72-'06 and the worst of the down years being less than 4% off. Compare that against the traditional 60/40 TSM/Total Bond for the same period: 10.29% CAGR, 11.20% St.Dev., 8 down years, worst down is more than 13% off.
So I am curious as to how the current P/Es in those aggressive sectors compare to historic ones. If they are in the same general range then the backtested results are much too impressive to write off completely IMO. I suspect REIT P/Es are way higher than historic average and SCV and Emerging are probably on the high side too, but would like to see hard data. Thanks
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