Mercados con valoraciones elevadas

Fuente: Zerohedge.com

The current reading on the Shiller P/E is 25.4x.  Looking at a time series back to 1880 (available here: http://www.multpl.com/shiller-pe/) this is quite expensive.  The mean observation is 16.5x, and the median is 15.9x.  The cheapest-ever U.S. stock market was in December 1920 at 4.8x, and the most expensive was in December 1999 at 44.2x.

For you bell-curve fans out there, the standard deviation of the 1,600 monthly observations back to 1880 for the Shiller P/E is 6.6.  That puts 95% of the distribution between 3.3x and 29.7x.  In other words, at the current reading of 25.4x we are knocking on that upper bound.  Put another way, levels above 25 only occurred once before the mid 1990s, and that was going into Black Tuesday 1929.  And the Black Monday 1987 crash happened with a Shiller P/E south of 20.

Now, a few words of “Maybe this time is actually different” caution.  First, stock valuations and interest rates are lashed together like unwilling participants in a three legged race at a corporate retreat.  Long term rates are still near historic lows, so stock valuations do have the oxygen to survive at these elevated levels.  Second, accounting standards change like the wind, so comparing reported earnings in 1914 to 2014 is always going to be difficult.  Thirdly, the S&P 500 posted its one and only quarterly loss in 2009, so perhaps that 10 year earnings record is too pessimistic.  Lastly – and giving the bearish case a little room to run here – Federal Reserve policy in the form of bond-buying does prime the market’s liquidity pump in a unique and unpredictable way.  This has been positive for stocks, but the story isn’t over yet.

Even with those caveats, the Shiller P/E is a clear voice in the wilderness calling for investor caution.  History may not repeat itself, as the old saw goes, but it often rhymes.

Fuente: Gavekal Capital

Measuring the valuation level of the median stock in an index can help mitigate the market-cap-weighted bias associated with many index level valuation statistics. This is important because index level valuations that are heavily influenced by a handful of large companies can give a misleading representation of prevailing valuations for most stocks.

In the below charts we show the median valuation for stocks in the MSCI World Index (red line, right axis) and compare it to the Index price (blue line, left axis). Of note is that the median stock is trading at valuation levels only seen at the previous stock market highs of 2007 and 2000.