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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

44.13VERY 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) = 45.88
Correlation w/ other market factors
0.98608   with EV/FCFF (10 acct. periods)
0.68153   with P/FCFE (10 acct. periods)
0.99188   with EV/FCFF (10 acct. periods)
0.73239   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

86.40

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 = 75.39
Moving average (20 points) = 88.13
Correlation w/ other market factors
0.98608   with CAPE
0.58687   with P/FCFE (10 acct. periods)
0.99188   with CAPE
0.69902   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

50.94VERY 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 = 46.24
Moving average (20 points) = 52.95
Correlation w/ other market factors
0.68153   with CAPE
0.58687   with EV/FCFF (10 acct. periods)
0.73239   with CAPE
0.69902   with EV/FCFF (10 acct. periods)
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