S&P 500 Equity Risk Premium (ERP)

Live value temporarily unavailable.

Source: Company filings + FRED (aggregated)

Data updated daily

What it measures

The S&P 500 equity risk premium (ERP) is the spread between the index earnings yield and the 10-year U.S. Treasury yield: it measures the extra compensation investors earn for holding equities instead of risk-free government bonds, expressed in percentage points. An ERP of +1.5% means the index earnings yield exceeds the 10-year Treasury yield by 1.5 percentage points; a negative ERP means equities offer no earnings-yield premium over risk-free bonds at all.

Why it matters

The equity risk premium is one of the most widely watched top-down valuation signals — it frames the stock market's earnings power directly against the risk-free alternative, the 10-year Treasury. A high or rising ERP suggests equities offer generous compensation for risk relative to bonds, often coinciding with cheap valuations or depressed sentiment. A low or negative ERP suggests investors are accepting little or no earnings-yield premium for bearing equity risk — historically a sign of stretched valuations or unusually high interest rates. Because it nets out the level of interest rates, the ERP is a cleaner cross-cycle valuation gauge than the earnings yield or P/E ratio alone, and is a core input to most institutional asset-allocation and cost-of-equity frameworks.

How it is calculated

Equity Risk Premium = Earnings Yield (TTM) − 10-Year U.S. Treasury Yield

LENSE computes the daily S&P 500 equity risk premium as the index aggregate TTM earnings yield (aggregate trailing-twelve-month net income from profitable constituents divided by aggregate market cap) minus the 10-year U.S. Treasury constant-maturity yield (FRED series DGS10). The Treasury yield is published on business days only and is forward-filled across weekends and holidays so every trading day has a matching value. Index constituency is resolved point-in-time using point-in-time index constituency.

Recent (monthly)

Recent data unavailable.

Data source: Company filings + FRED (aggregated). Computed and published by LENSE Analytics.