US CAPE and q chart
US CAPE and q chart. |
With the publication of the Z1 data up to 31st December, 2014 (on 12th March, 2015), I have updated my calculations for q and CAPE.
Both q and CAPE include data for the year to 31st December, 2014. At that date the S&P 500 was at 2059 and US non-financials were overvalued by 79% according to q and quoted shares, including financials, were overvalued by 82% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)
As at 12th March, 2015, with the S&P 500 at 2066, the overvaluation by the relevant measures was 79% for non-financials and 86% for quoted shares.
Although the overvaluation of the stock market is well short of the extremes reached at the year ends of 1929 and 1999, it has surpassed the other previous peaks of 1905, 1936 and 1968.
Data for our calculations of q are taken for 1900 - 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 1952 to end 2014 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 from data published by Standard & Poor’s and the BLS.
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|Website chart and comment for March 2015|