Under the CAPM, how do I deal with market returns being below the risk-free rate?

Let's say I'm using CAPM to estimate the cost of equity, so I need expected market returns for the calculations.

The standard approach is simply to compute arithmetic mean of an index (or rather its returns) that represents the market well. There is no problem in doing so when the returns trend is upward (like with S&P 500), but for some indexes (like MICEX) it's downward or roughly horizontal, and then the calculations make no sense since we get the market returns lower than the riskfree rate (returns on government bonds). How should I go about that?

I'm thinking about weighting techniques but not sure which one to implement, the literature review got me nowhere in particular.