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…
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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