US CAPE and q chart

US CAPE and q chart for Q4 2020.

With the publication of the Z1 data up to 31st December 2020 (11th March 2021) I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st December 2020. At that date the S&P 500 was at 3695.31 and US non-financials were 2.8 times overvalued according to q and quoted shares, including financials, were 2.1 times according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 17th December 2020, with the S&P 500 at 3974.12, the overvaluations by the relevant measures were 4.1 times for non-financials and 2.3 times 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 2021 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 if necessary from data published by Standard & Poor’s. Data on net worth are only available annually before 1952 and I have calculated the quarterly data by interpolation assuming that changes are evenly spread over each year. Market value data are calculated by adjusting the year-end figures for the quarterly value of the S&P 500 or its equivalent as shown by Robert Shiller.

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