US CAPE and q chart

US CAPE and q chart for Q2 2017.

With the publication of the Z1 data up to 30th June, 2017 (21st September 2017) I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 30th June, 2017. The average S&P 500 in June was 2433.99 and US non-financials were overvalued by 79% according to q and quoted shares, including financials, were overvalued by 110% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 13th October, 2017 with the S&P 500 at 2553.17 the overvaluations by the relevant measures were 88% for non-financials and 120% for quoted shares.

Although the overvaluation of the stock market is well short of the extremes reached at the peaks of September 1929 and March 2000, it is above the other previous year end peaks of 1905, 1936 and 1968, whether measured by q or CAPE.

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 H1 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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