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Market Valuation

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Different valuation factors applied to global markets.

Green areas indicate undervaluation. Yellow areas indicate fair valuation. Any other area indicates overvaluation.

More info in the post CAPE and other market valuation factors post.

Charts: select an area to zoom in / double click to reset zoom.

CAPE

55.10VERY HIGH

The cyclically-adjusted price-to-earnings (CAPE), as defined by Robert Shiller, calculated not with the S&P500, but with all listed companies weighted by size   –

Stats
Average = 36.72
Moving average (20 points) = 54.98
Correlation w/ other market factors
0.98675   with EV/FCFF (10 acct. periods)
0.73176   with P/FCFE (10 acct. periods)
0.99321   with EV/FCFF (10 acct. periods)
0.76548   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

98.01

Size-weighted average enterprise value (EV) in relation to the size-weighted moving average (10 years) free cash flow to the firm (FCFF) of all the companies in the selected market.   –

Stats
Average = 76.64
Moving average (20 points) = 97.90
Correlation w/ other market factors
0.98675   with CAPE
0.64299   with P/FCFE (10 acct. periods)
0.99321   with CAPE
0.73697   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

63.88VERY HIGH

Size-weighted average market capitalization (P) in relation to the size-weighted moving average (10 years) free cash flow to equity (FCFE) of all the companies in the selected market.   –

Stats
Average = 47.18
Moving average (20 points) = 63.75
Correlation w/ other market factors
0.73176   with CAPE
0.64299   with EV/FCFF (10 acct. periods)
0.76548   with CAPE
0.73697   with EV/FCFF (10 acct. periods)
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