US CAPE and q chart

US CAPE and q chart for Q1 2016.

With the publication of the Z1 data up to 31st March, 2016 (on 9th June, 2016), I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st March, 2016. At that date the S&P 500 was at 2022 and US non-financials were overvalued by 57% according to q and quoted shares, including financials, were overvalued by 80% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 21st June, 2016 with the S&P 500 at 2087, the overvaluation by the relevant measures was 62% 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 is at or above the other previous peaks of 1905, 1936 and 1968.

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 1952 to Q1 2016 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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