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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

54.89VERY 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 = 36.67
Moving average (20 points) = 54.83
Correlation w/ other market factors
0.98650   with EV/FCFF (10 acct. periods)
0.72789   with P/FCFE (10 acct. periods)
0.99315   with EV/FCFF (10 acct. periods)
0.76359   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

97.58

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 = 76.56
Moving average (20 points) = 97.52
Correlation w/ other market factors
0.98650   with CAPE
0.63793   with P/FCFE (10 acct. periods)
0.99315   with CAPE
0.73489   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

63.62VERY 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 = 47.13
Moving average (20 points) = 63.55
Correlation w/ other market factors
0.72789   with CAPE
0.63793   with EV/FCFF (10 acct. periods)
0.76359   with CAPE
0.73489   with EV/FCFF (10 acct. periods)
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