US CAPE and q chart

US CAPE and q chart for Q3 2018.

With the publication of the Z1 data up to 30th September, 2018 (6th December, 2018), I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 30th September, 2018. At that date the S&P 500 was at 2913.98 and US non-financials were overvalued by 103% according to q and quoted shares, including financials, were overvalued by 128% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 6th December, 2018, with the S&P 500 at 2695.95, the overvaluations by the relevant measures were 88% for non-financials and 111% 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 2017 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.


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