US CAPE and q chart

US CAPE and q chart for Q4 2018.

With the publication of the Z1 data up to 31st December 2018 (7th March, 2019), I have updated my calculations for q and CAPE.

Both q and CAPE include data for the quarter to 31st December, 2018. The S&P 500’s December 2018 average was 2567.31 and US non-financials were overvalued by 65% according to q and quoted shares, including financials, were overvalued by 94% according to CAPE. (It should be noted that I use geometric rather than arithmetic means in these calculations.)

As at 7th March, 2019, with the S&P 500 at 2748.93, the overvaluations by the relevant measures were 77% for non-financials and 108% 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 2018 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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