Skip to content

Market Valuation

Outline
Download

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

55.77VERY 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 = 36.78
Moving average (20 points) = 55.25
Correlation w/ other market factors
0.98745   with EV/FCFF (10 acct. periods)
0.73672   with P/FCFE (10 acct. periods)
0.99308   with EV/FCFF (10 acct. periods)
0.76785   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

99.38

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 = 76.77
Moving average (20 points) = 98.86
Correlation w/ other market factors
0.98745   with CAPE
0.65092   with P/FCFE (10 acct. periods)
0.99308   with CAPE
0.73935   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

64.94VERY 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 = 47.26
Moving average (20 points) = 64.33
Correlation w/ other market factors
0.73672   with CAPE
0.65092   with EV/FCFF (10 acct. periods)
0.76785   with CAPE
0.73935   with EV/FCFF (10 acct. periods)
Please wait