US CAPE and q chart

US CAPE and q chart for Q3 2017.

With the publication of the Z1 data up to 30th September 2017 (7th December 2017) I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 30th September, 2017. At that date the S&P 500 was at 2492.84 and US non-financials were overvalued by 86% according to q and quoted shares, including financials, were overvalued by 118% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 8th December 2017, with the S&P 500 at 2651.5, the overvaluations by the relevant measures were 98% for non-financials and 132% for quoted shares.

The chart shows the overvaluations at year ends. In the Table (see Q3 2017 q & CAPE...) I show the overvaluations at the levels of the stock market at their peak month ends compared with those on 8th December, 2017.

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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