Global Valuations

Quarterly CAPE Ratio Updates!

After a great year of performance in 2016, many cheap countries are continuing to outperform.

Right to the stats!

Median CAPE Ratio: 16.9
25% most expensive: 26 (U.S. in this bucket)
25% cheapest 10

Average of Foreign Developed 20
Average of Foreign Emerging 15

We’ve mentioned this a lot in the past but bears repeating.  We use the MSCI Investable Market Indices below, but MSCI also calculates their Standard Indices too.  IMI includes more companies and in general is more representative of the entire market.  It really makes no difference for any of the countries except the very smallest ones, such as Greece and Egypt.  For both series the CAPE ratios are almost always near identical, with one glaring exception – again, Greece, which depending on the series you use has a CAPE ratio of -10 or 2.  Ha.

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.  So, in this case Greece is cheapest on CAPD, CAPB, and CAPCF, just not on CAPE.

The cheap stuff is still dominated by Europe…

Here it is in Excel too.

MSCI Investable Market Indices

CAPE CAPD CAPCF CAPB Average Rank Dev or Emerging Real Drawdown %
Czech Republic 8.8 11.3 4.1 1.2 3 E -43.63
Russia 4.9 25 3.1 0.7 3 E -78.27
Portugal 12.4 17.1 4.1 1.1 4 D -57.53
Brazil 10.5 21.5 6.5 1.3 6 E -41.53
Italy 14.8 23.6 4.8 1 7 D -43.33
Poland 12.1 25.9 5.7 1.4 7 E -33.01
Spain 13.7 20.4 6.6 1.5 9 D -15.44
Norway 13 27.5 6.4 1.5 9 D -12.1
Singapore 12.8 27.1 9.9 1.4 11 D -12.84
Greece -10.3 6.7 1.6 0.3 12 E -96.29
Turkey 11.1 38 8.3 1.6 14 E -40.97
Egypt 14.4 29.1 8.1 1.8 14 E -52.18
Chile 16 35.8 9.3 1.6 17 E -31.52
Austria 17.3 42.3 6.8 1.2 18 D -39.2
Hungary 13.7 54.1 6.5 1.6 18 E -24.08
Colombia 16.5 29.7 11.6 1.4 19 E -31.47
U.K. 15.4 30.8 9.4 2.1 19 D -3.2
Israel 15.1 36.6 10.3 1.7 19 D -15.95
China 13.8 42.6 9.5 1.8 20 E -27.89
Australia 17.2 23 11.7 2 21 D -3.6
Korea 15.2 88.6 8.3 1.5 21 D -0.26
Malaysia 16.5 36 11 1.9 22 E -5.04
Hong Kong 16.5 38.4 12.5 1.5 23 D -3.84
France 19.9 36.4 10.2 1.8 23 D -3.94
Taiwan 21.4 33.5 10.5 2.1 25 E -7.78
New Zealand 22 27.7 11.4 2.3 26 D -1.6
Canada 20.6 38.9 10.5 2 26 D -4.04
Finland 20.3 29.8 11.4 2.3 26 D -48.05
Germany 19.5 43.3 9.7 2.1 26 D -4.52
South Africa 17.6 34.9 12 2.5 27 E -15.75
Thailand 18.1 39.4 11.4 2.3 28 E -19.56
Peru 14.9 41.1 14 2.8 29 E -33.04
Japan 26.2 71 10.5 1.7 31 D -1.43
Belgium 23.2 38.5 13.2 2.2 32 D -7.54
Indonesia 19.6 48.5 13.1 3.3 35 E -10.18
Netherlands 22.5 47.8 13.7 2.4 35 D -3.49
Sweden 22 41.9 15.5 2.9 35 D -3.39
Mexico 22.7 65.6 11.4 2.9 36 E -2.42
Ireland 32.8 59.4 15.5 2.2 38 D -32.81
Philippines 22 63.7 14.3 3 38 E -32.07
Switzerland 23.9 43 17.6 3 39 D -2.39
India 20.8 90 14.3 3.2 39 E -27.09
U.S. 28 72.8 16.2 3.5 42 D -1.06
Denmark 36 100.1 21.5 4.3 44 D -3.07

SECTORS

Energy 16.8
Utilities 22.1
Financials 23.3
Staples 24.3
Industrials 24.4
Telecom 25
Health Care 28.8
IT 29.9
Materials 29.4
Discretionary 36.2

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