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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

50.15VERY 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 = 36.03
Moving average (20 points) = 49.34
Correlation w/ other market factors
0.98604   with EV/FCFF (10 acct. periods)
0.68915   with P/FCFE (10 acct. periods)
0.99236   with EV/FCFF (10 acct. periods)
0.74255   with P/FCFE (10 acct. periods)

EV/FCFF (10 acct. periods)

92.27

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 = 75.75
Moving average (20 points) = 91.46
Correlation w/ other market factors
0.98604   with CAPE
0.59506   with P/FCFE (10 acct. periods)
0.99236   with CAPE
0.71137   with P/FCFE (10 acct. periods)

P/FCFE (10 acct. periods)

57.83VERY 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 = 46.50
Moving average (20 points) = 56.89
Correlation w/ other market factors
0.68915   with CAPE
0.59506   with EV/FCFF (10 acct. periods)
0.74255   with CAPE
0.71137   with EV/FCFF (10 acct. periods)
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