S&P 500 Earnings Yield vs. 10-Year Treasury Yield — Historical Scatter

Source: Company filings + daily price data

Data updated daily

What it measures

This chart plots the S&P 500 P/E ratio (excluding negative earners) against the 10-year U.S. Treasury yield. Each dot is one month of history, colored by 5-year period. The regression line captures the long-run tendency of equity multiples to track the risk-free rate, while the scatter reveals how far the current environment sits from that historical norm.

Why it matters

Equity multiples and interest rates are not independent: higher risk-free yields raise the discount rate applied to future earnings, which mechanically compresses fair-value P/E. The scatter makes this relationship visible across 25 years of rate cycles. When the current dot sits well above the regression line, the market is commanding a higher multiple than history suggests the prevailing rate environment justifies — and vice versa. The colored periods also reveal how the sensitivity between rates and multiples has changed over time, making regime shifts immediately apparent.

How it is calculated

The P/E ratio is computed as aggregate daily market cap divided by aggregate TTM net income from profitable S&P 500 constituents, using as-reported filings and point-in-time index constituency. Constituents with negative TTM net income are excluded from both numerator and denominator. The 10-year Treasury yield is sourced from U.S. Federal Reserve constant-maturity rate data. The scatter pairs the monthly last-business-day value of each series, providing one data point per month from January 1999 onward. The regression line is fitted via ordinary least squares across all available months.

Data source: Company filings + daily price data. Computed and published by LENSE Analytics.