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: 16.5
25% most expensive: 25 (U.S. in this bucket)
25% cheapest 11

Average of Foreign Developed 19
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 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 9.2 11.9 4.3 1.2 4 E -43.21
Portugal 12.4 17.3 4.2 1.1 4 D -57.63
Russia 5.3 27.5 3.4 0.7 6 E -76.67
Italy 14.0 22.8 4.6 0.9 7 D -44.91
Poland 11.4 24.2 5.4 1.3 7 E -36.81
Brazil 10.7 22.1 6.7 1.3 7 E -39.74
Spain 13.4 20.2 6.5 1.5 10 D -16.64
Greece -10.5 4.9 1.2 0.2 12 E -97.08
Singapore 12.5 26.7 9.7 1.4 12 D -15.61
Turkey 10.0 34.2 7.5 1.4 12 E -47.88
Norway 13.0 28.1 6.4 1.6 12 D -12.21
Austria 15.6 38.6 6.2 1.1 14 D -45.34
Hungary 12.4 49.2 5.9 1.5 16 E -31.55
Egypt 14.8 29.7 8.4 1.8 17 E -50.91
China 12.7 39.2 8.7 1.7 17 E -34.42
Colombia 15.7 28.1 11.1 1.3 17 E -35.49
U.K. 15.3 31.2 9.4 2.1 18 D -1.22
Chile 16.5 37.1 9.6 1.7 19 E -29.86
Korea 13.7 79.1 7.5 1.3 19 D -4.47
Israel 14.6 35.3 10.0 1.7 20 D -18.59
Australia 17.6 23.7 12.1 2.0 22 D -0.57
Hong Kong 16.0 37.0 12.1 1.4 22 D -8.58
Taiwan 20.1 31.4 9.8 2.0 22 E -14.66
France 19.5 36.1 10.0 1.8 23 D 0
Malaysia 16.2 35.5 10.8 1.9 23 E -7.74
Finland 19.1 28.4 10.8 2.2 24 D -51.1
New Zealand 20.8 26.3 10.8 2.2 24 D -6.81
Germany 19.6 44.0 9.9 2.1 28 D -2.44
Peru 14.1 38.4 13.0 2.7 28 E -37.07
South Africa 17.6 35.1 12.1 2.5 29 E -15.78
Canada 20.9 40.1 10.7 2.1 29 D -2.08
Japan 24.8 67.5 9.8 1.6 29 D -7.45
Thailand 18.2 39.8 11.5 2.4 29 E -20.07
Belgium 23.0 39.4 13.2 2.2 33 D -5.97
Indonesia 18.8 46.6 12.5 3.2 34 E -15.29
Netherlands 22.0 47.0 13.5 2.4 35 D 0
Mexico 22.4 66.0 11.4 2.9 36 E -3.68
Sweden 21.6 41.6 15.3 2.9 36 D -0.26
Philippines 20.8 60.1 13.5 2.9 37 E -36.04
Ireland 31.9 58.4 15.5 2.2 38 D -32.17
Switzerland 22.9 42.1 17.0 2.9 38 D -2.05
India 20.2 88.0 13.9 3.1 39 E -29.35
U.S. 27.5 72.4 16.0 3.5 42 D -1.29
Denmark 33.9 96.0 20.3 4.0 44 D -9.18

SECTORS

Energy 17.5
Utilities 21
Financials 22.4
Staples 23.5
Industrials 23.8
Telecom 26.7
Health Care 27.4
IT 27.5
Materials 27.7
Discretionary 34.6

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