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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

51.63VERY 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 = 36.15
Moving average (20 points) = 51.03
Correlation w/ other market factors
0.98605   with EV/FCFF (10 acct. periods)
0.69664   with P/FCFE (10 acct. periods)
0.99252   with EV/FCFF (10 acct. periods)
0.74686   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

93.74

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 = 75.90
Moving average (20 points) = 93.14
Correlation w/ other market factors
0.98605   with CAPE
0.60317   with P/FCFE (10 acct. periods)
0.99252   with CAPE
0.71620   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

59.54VERY 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 = 46.60
Moving average (20 points) = 58.84
Correlation w/ other market factors
0.69664   with CAPE
0.60317   with EV/FCFF (10 acct. periods)
0.74686   with CAPE
0.71620   with EV/FCFF (10 acct. periods)
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