"Expensive" can have several definitions:
1) Low ROE for stockholders based on E/P or CF/P
2) Low dividends or yields
3) Low potential returns compared to the risk involved
These are not one and the same.
If #1 is the problem, emerging markets or value stocks would be the solution as some have suggested.
If #2 is the problem, growth stocks might be a better deal than dividend stocks or fixed income, as has been the case for a long time now.
If #3 is the problem, protective put options or trailing stop loss orders can dramatically reduce your downside risk while keeping the upside potential, albeit at a price, plus the "getting back in" paradox.
Hedge funds attempt to address all 3, but as with all active management this is more often the marketing promise than the realized result. You will have to choose your priorities.