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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

46.84VERY 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 = 35.68
Moving average (20 points) = 47.07
Correlation w/ other market factors
0.98558   with EV/FCFF (10 acct. periods)
0.67955   with P/FCFE (10 acct. periods)
0.99178   with EV/FCFF (10 acct. periods)
0.73023   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

88.73

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 = 75.26
Moving average (20 points) = 88.95
Correlation w/ other market factors
0.98558   with CAPE
0.58336   with P/FCFE (10 acct. periods)
0.99178   with CAPE
0.69672   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

53.81VERY 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 = 46.17
Moving average (20 points) = 54.08
Correlation w/ other market factors
0.67955   with CAPE
0.58336   with EV/FCFF (10 acct. periods)
0.73023   with CAPE
0.69672   with EV/FCFF (10 acct. periods)
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