US CAPE and q chart

US CAPE and q chart for Q4 2019.

With the publication of the Z1 data up to 31st December 2019 (12th March, 2020) I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st December, 2019. The December average of S&P 500 was 3176.75 and US non-financials were overvalued by 195% according to q and quoted shares, including financials, were overvalued by 88% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 13th March, 2020, with the S&P 500 at 2711.02, the overvaluations by the relevant measures were 152% for non-financials and 61% for quoted shares.

Data for my calculations of q are taken for 1900 to 1952 from Measures of Stock Market Value and Returns for the Non-financial Corporate Sector 1900-2002 by Stephen Wright, published in the Review of Income and Wealth (2004) and for 1945 to 2019 from the Financial Accounts of the United States (“Z1”) published by the Federal Reserve. Data for our calculations of CAPE are taken from the data published on Robert Shiller’s website, updated if necessary from data published by Standard & Poor’s. Data on net worth are only available annually before 1952 and I have calculated the quarterly data by interpolation, assuming that changes are evenly spread over each year. Market value data are calculated by adjusting the year-end figures for the quarterly value of the S&P 500 or its equivalent as shown by Robert Shiller.


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