US CAPE and q chart

US CAPE and q chart for Q4 2017.

With the publication of the Z1 data up to 31st December, 2017 (8th March, 2018), I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st December, 2017. At that date the S&P 500 was at 2673.61 and US non-financials were overvalued by 85% according to q and quoted shares, including financials, were overvalued by 126% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 9th March, 2018, with the S&P 500 at 2786.57, the overvaluations by the relevant measures were 92% for non-financials and 135% for quoted shares.

The chart shows the overvaluations at year ends. In the Table below (please see q & CAPE Q4 2017 info sheet for Table) I show the overvaluations at the levels of the stock market at their peak month ends compared with those on 9th March, 2018.
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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