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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

52.25VERY 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 = 36.26
Moving average (20 points) = 52.12
Correlation w/ other market factors
0.98601   with EV/FCFF (10 acct. periods)
0.70374   with P/FCFE (10 acct. periods)
0.99260   with EV/FCFF (10 acct. periods)
0.75095   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

94.36

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 = 76.04
Moving average (20 points) = 94.22
Correlation w/ other market factors
0.98601   with CAPE
0.61065   with P/FCFE (10 acct. periods)
0.99260   with CAPE
0.72064   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

60.34VERY 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 = 46.71
Moving average (20 points) = 60.19
Correlation w/ other market factors
0.70374   with CAPE
0.61065   with EV/FCFF (10 acct. periods)
0.75095   with CAPE
0.72064   with EV/FCFF (10 acct. periods)
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