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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

55.33VERY 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 = 36.91
Moving average (20 points) = 55.56
Correlation w/ other market factors
0.98788   with EV/FCFF (10 acct. periods)
0.74652   with P/FCFE (10 acct. periods)
0.99305   with EV/FCFF (10 acct. periods)
0.77269   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

99.36

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 = 76.96
Moving average (20 points) = 99.59
Correlation w/ other market factors
0.98788   with CAPE
0.66334   with P/FCFE (10 acct. periods)
0.99305   with CAPE
0.74464   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

64.70VERY 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 = 47.42
Moving average (20 points) = 64.97
Correlation w/ other market factors
0.74652   with CAPE
0.66334   with EV/FCFF (10 acct. periods)
0.77269   with CAPE
0.74464   with EV/FCFF (10 acct. periods)
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