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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

51.38VERY 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 = 35.43
Moving average (20 points) = 50.82

Correlation w/ other market factors
0.98555   with EV/FCFF (10 acct. periods)
0.66089   with P/FCFE (10 acct. periods)

0.99144   with EV/FCFF (10 acct. periods)
0.71466   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

94.00

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 = 75.45
Moving average (20 points) = 93.58

Correlation w/ other market factors
0.98555   with CAPE
0.55707   with P/FCFE (10 acct. periods)

0.99144   with CAPE
0.67626   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

58.49VERY 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 = 46.18
Moving average (20 points) = 57.86

Correlation w/ other market factors
0.66089   with CAPE
0.55707   with EV/FCFF (10 acct. periods)

0.71466   with CAPE
0.67626   with EV/FCFF (10 acct. periods)

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