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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

43.72VERY 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 = 35.75
Moving average (20 points) = 45.34
Correlation w/ other market factors
0.98618   with EV/FCFF (10 acct. periods)
0.68134   with P/FCFE (10 acct. periods)
0.99193   with EV/FCFF (10 acct. periods)
0.73285   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

86.11

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 = 75.41
Moving average (20 points) = 87.70
Correlation w/ other market factors
0.98618   with CAPE
0.58702   with P/FCFE (10 acct. periods)
0.99193   with CAPE
0.69956   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

50.46VERY 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 = 46.25
Moving average (20 points) = 52.33
Correlation w/ other market factors
0.68134   with CAPE
0.58702   with EV/FCFF (10 acct. periods)
0.73285   with CAPE
0.69956   with EV/FCFF (10 acct. periods)
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