Author Topic: Shiller CAPE: "looks like a peak."  (Read 3602 times)

milesdividendmd

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Shiller CAPE: "looks like a peak."
« on: June 25, 2014, 09:39:24 AM »
I thought this was a nice little interview with Robert Shiller, about current market valuations.

http://finance.yahoo.com/blogs/daily-ticker/-it-looks-like-a-peak---robert-shiller-s-cape-is-waving-the-caution-flag-004753218.html?.tsrc=applewf

The parts that I found particularly interesting, were:

1.  How careful he was to not imply that he had any idea which way the market was going.
2.  His point about US markets being overvalued relative to international markets.
3.  His seeming confidence that, long-term prospects for US stock growth seem poor given current        valuations.

One question that I have for everyone is, does anyone know of a readily accessible Shiller CAPE equivalent for international developed and emerging markets?


hodedofome

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Re: Shiller CAPE: "looks like a peak."
« Reply #1 on: June 25, 2014, 10:17:30 AM »
Are you talking about a CAPE ETF? - GVAL

Are you talking about finding the CAPE numbers for international countries? Subscribe to the Idea Farm from Mebane Faber, he publishes those quarterly I believe.

milesdividendmd

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Shiller CAPE: "looks like a peak."
« Reply #2 on: June 25, 2014, 11:17:10 AM »
Cyclically adjusted price earnings. Or the Schiller index.

http://www.multpl.com/shiller-pe/


Thanks for the idea farm tip. But I am far too cheap to pay for data!

It would be nice if there were a real time shiller cape for non us markets too wouldn't it?
« Last Edit: June 25, 2014, 01:31:53 PM by milesdividendmd »

hodedofome

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Re: Shiller CAPE: "looks like a peak."
« Reply #3 on: June 25, 2014, 03:10:31 PM »
Yeah I've looked for it but it doesn't exist (at least free). I've asked the multpl.com guy if he has access to the data to put on his site but he doesn't. Only place I've found is the idea farm, which isn't expensive at all for what you get.

But honestly though, you can just buy the GVAL etf if you are wanting to use CAPE as a global strategy. Or, you can just look at the holdings of GVAL to see what countries are the cheapest if you want to use that as a basis for an individual stock strategy.
« Last Edit: June 25, 2014, 03:12:39 PM by hodedofome »

YoungInvestor

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Re: Shiller CAPE: "looks like a peak."
« Reply #4 on: June 25, 2014, 09:34:32 PM »
Wouldn't it make logical sense to have a higher Shiller's ratio in a low-interest rates environment?

It wouldn't make sense to get a P/E of 20 in a time when you can get 5% interest risk-free. Perhaps it is better when it is 1%.

milesdividendmd

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Re: Shiller CAPE: "looks like a peak."
« Reply #5 on: June 25, 2014, 09:49:50 PM »
This point was discussed in the video. And Shiller claims that the data about interest rates and their effect on the Cape ratio is inconclusive. But he also concedes that it's hard to make satisfactory returns with fixed income these days.

Another point is that even if you say interest rates are a couple points below where they should be, the Cape ratio would still be high (about 24) after discounting those two points from its current value.


milesdividendmd

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Re: Shiller CAPE: "looks like a peak."
« Reply #6 on: June 25, 2014, 09:54:13 PM »
Hode,

I looked at GVAL, and I'm not sure how its composition would help me figure out CAPE ratios for different world indexes. It appears to be a collection of 90 individual stocks from all over the world. It looks like an actively managed world value fund. Am I missing something?

Md

milesdividendmd

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Re: Shiller CAPE: "looks like a peak."
« Reply #7 on: June 25, 2014, 10:47:05 PM »
This article was more along the lines of what I was looking for, but the CAPE values are quite opaque (hence untrustworthy.)

http://finance.yahoo.com/news/best-ways-profit-undervalued-international-130000988.html



Cyrano

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Re: Shiller CAPE: "looks like a peak."
« Reply #8 on: June 26, 2014, 04:57:44 AM »
Hode,
I looked at GVAL, and I'm not sure how its composition would help me figure out CAPE ratios for different world indexes. It appears to be a collection of 90 individual stocks from all over the world. It looks like an actively managed world value fund. Am I missing something?
Md

You won't get the numbers, but you will get a list of the cheapest-by-CAPE quartile of countries in the world if you look at the countries where the stocks held by GVAL are domiciled: http://etfdb.com/etf/GVAL/#holdings

Also, if you use Google news to search for the fund manager's name "Meb Faber" say 7-14 days after the end of quarter, there's a pretty strong history of the countries-by-CAPE list he distributes on his subscription newsletter making it onto the public Internet about that time. Here's last October's:

http://online.barrons.com/news/articles/SB50001424053111903320604579111290154011698

Also, because the denominator of CAPE changes only slowly with time, if you care enough about this metric to update it yourself, it's straightforward enough to extrapolate as (current CAPE) is approximately (CAPE as some point in time in the past year) * (current price of country index ETF) / (former price of country index ETF).

I am aware of no free source that calculates equivalent data.