US CAPE and q chart

US CAPE and q chart for Q1 2019.

With the publication of the Z1 data up to 31st March, 2019 (6th June, 2019), I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st March, 2019. The March average of the S&P 500 was at 2803.98 and US non-financials were overvalued by 79% according to q and quoted shares, including financials, were overvalued by 97% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 12th June, 2019, with the S&P 500 at 2879.84, the overvaluations by the relevant measures were 97% for non-financials and 102% for quoted shares.

I have now included in the chart my calculations for q and CAPE on a quarterly basis. This makes it easier to compare previous highs and lows. For example, q at its quarterly peak at end September 1929 was 202% overpriced, compared with 164% at its next highest peak at the end of March 2000.

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 2019 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. 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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