Global Valuation Updates!

Happy New Year!

Quarterly CAPE Ratio Updates

Median CAPE Ratio: 16
25% cheapest: 10
25% most expensive: 25

Average of Foreign Developed: 18
Average of Foreign Emerging: 14

We’ve mentioned this note in every update but it bears repeating.  We use the MSCI Investable Market Indices (IMI) below, but MSCI also calculates their Standard Indices too.  IMI includes more companies and in general, is more representative of the entire market.  It makes no difference for any countries except the very smallest ones, such as Greece and Egypt.  For both series, the CAPE ratios are almost always near identical.

So, this is one reason we have always used a valuation composite across the variables below.  If one is giving a screwy result, or perhaps a market has a structural bias to one variable, we want to average it out.

Since we get asked this question a lot, in addition to The Idea Farm, here are a few great free resources for global stock market valuations…

1. Research Affiliates
2. Barclays
3. Professor Shiller
4. Professors French & Fama
5. Professor Damodaran

A few great paid choices include Global Financial Data and Ned Davis Research. Let us know if we’re missing any!

MSCI Investable Market Indices 

 

CAPE* CAPD* CAPCF* CAPB* Average Rank Dev or Emerging Real Drawdown %
Poland 7.1 18 3.1 0.8 2 E -58.5
Colombia 10.5 21.3 5.9 0.9 6 E -38.66
Egypt 8.1 22.7 4.7 1.2 7 E -69.27
Czech Republic 11.5 14.1 5 1.2 7 E -36.08
Singapore 10.9 18.9 8.5 0.9 9 D -23.17
Hong Kong 9.9 22.2 7 1.1 9 D -21.96
China 7.8 25.9 6.1 1.3 10 E -49.07
Spain 13.8 19 6.2 1.1 11 D -30.08
Hungary 8.6 41.1 3.4 1 11 E -42.95
Chile 12.7 23.4 6.9 1.1 12 E -48.69
Austria 11.6 31.9 5.3 1 12 D -43.99
Italy 16.8 27.4 5.1 1 13 D -39.11
Brazil 13.6 23.2 7.9 1.5 15 E -27.28
Malaysia 13.3 24.5 8.3 1.3 16 E -14.11
Germany 13.4 29.1 6.4 1.4 16 D -26.63
U.K. 14 23.2 7.6 1.6 17 D -8.88
Korea 11.9 57.8 6.1 1 17 D -36.68
Portugal 22.3 22.2 5.8 1.5 17 D -49.78
Greece -4.1 37.3 5.1 0.6 20 E -96.08
Belgium 15.7 26.6 9.6 1.5 20 D -26.2
Norway 17.3 27.8 7.4 1.7 21 D -12.45
Turkey 10.5 38.8 8.3 1.9 22 E -11.17
South Africa 14.8 28.1 9.5 1.9 24 E -14.65
Peru 13.1 29.9 12.3 1.6 24 E -42.58
Philippines 13.7 42.9 8.5 1.6 24 E -50.04
Thailand 15.8 30.7 9 1.9 25 E -16.12
Mexico 17.1 40.1 8.1 1.9 26 E -15.69
Australia 17.9 24.2 11.7 2 27 D -9.42
Japan 19.4 56.9 10 1.5 29 D -12.12
France 21.2 37.7 10.5 1.8 30 D -14.4
Taiwan 18 32.7 10.5 2.3 30 E -25.09
Israel 17.6 49.7 11.3 1.6 30 D -24.44
Canada 21 36.7 11 1.9 30 D -14.87
Finland 21.6 28 12.3 2.2 31 D -43.11
New Zealand 21.7 28.7 12.2 2.1 31 D -27.34
Sweden 17.1 36.4 12.4 2.3 31 D -28.31
Indonesia 17.5 39.7 10.7 2.3 32 E -14.94
Netherlands 21.3 46.3 13.6 2.4 37 D -33.29
Switzerland 22.9 37.6 16.5 3 37 D -20.3
Ireland 23.4 64.4 14.1 1.9 38 D -28.98
U.S. 27.9 67.8 17.2 3.8 41 D -25.35
India 31.8 109.8 20.1 3.9 42 E -9.79
Denmark 32.6 79.6 22.2 5.6 43 D -9.09
Russia E -100

*Abbreviations:
CAPE: Cyclically Adjusted Price Earnings – a valuation measure that uses real earnings per share (EPS) over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle.
CAPD: Cyclically Adjusted Price Dividends – a valuation measure that uses dividends over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle.
CAPCF: Cyclically Adjusted Price Cash Flow – a valuation measure that uses cash flow over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle.
CAPB: Cyclically Adjusted Price Book – a valuation measure that uses book value over a 10-year period to smooth out fluctuations in corporate profits that occur over different periods of a business cycle.

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