March-2017
Australia valuation and macro trend indicators as of 2017-02-28 | |||||||||
ASX SPI 200 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 5 | 3.9 | 3.7 | 3.8 |  | 2.4 |  | 1 | 3.2 |
  Forward earnings yield (FEY) [3] | 6.8 | 6.4 | 6.4 | 6.4 |  | 7.2 |  | 7.2 | 7.4 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.33 | 0.38 | 0.4 |  | 0.43 |  | 0.37 | 0.38 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.36 | 0.32 | 0.32 | 0.31 |  | 0.35 |  | 0.52 | 0.39 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.34 | 0.46 | 0.52 | 0.55 |  | 0.52 |  | 0.3 | 0.45 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -4.1 | 3.8 | 5.2 | 4.6 |  | 4.7 |  | 1.6 | 0.5 |
  Macro trend-driven EPS outperformance, % [8] | 4.1 | -1.6 | -3.2 | -2.8 |  | -0.3 |  | -0.7 | -0.8 |
  Current local GDP growth trend, %oya [9] | 2.7 | 3.1 | 1.9 | 2.1 |  | 2.2 |  | 3.2 | 2.7 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 0.4 | -0.8 | -0.4 | -1 |  | -0.7 |  | -0.4 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | -3.2 | 3.1 | 6.7 | 6.4 |  | -1.4 |  | 0.6 | -1.2 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.4 | 1.3 | 1 | 0.8 |  | 0.1 |  | -0.3 | 0.4 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.8 | 2.3 | 2.2 | 2.2 |  | 1.8 |  | 0.5 | 2.1 |
  External basic balance of the currency area, % of GDP [14] | -2.1 | -0.9 | 0 | 0.5 |  | 2.2 |  | -4.7 | -1 |
  Intervention-driven monetary expansion trend [15] | 0 | 2.2 | 5.9 | 5.5 |  | 10.1 |  | 5 | 2.7 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 20 | 14.6 | 12.9 | 12.2 |  | 14.6 |  | 16.2 | 15.3 |
  Annualized volatility in USD [17] | 24.3 | 19.2 | 16.9 | 15.8 |  | 17.6 |  | 22.5 | 20.4 |
  Estimated recent relative distortion payback [18] | 0.2 | -0.4 | -0.3 | 0.4 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Brazil valuation and macro trend indicators as of 2017-02-28 | |||||||||
BOVESPA Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | -4.3 | -2.1 | -1.5 | -1.1 |  | 2.4 |  | -5.1 | -2.4 |
  Forward earnings yield (FEY) [3] | 9.5 | 7.5 | 8.3 | 8.5 |  | 7.2 |  | 13.3 | 9.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.23 | 0.2 | 0.25 | 0.28 |  | 0.43 |  | 0.37 | 0.35 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.33 | 0.24 | 0.26 | 0.27 |  | 0.35 |  | 0.46 | 0.38 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.06 | 0.02 | 0.08 | 0.11 |  | 0.52 |  | 0.14 | 0.21 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -8.6 | -2.3 | 16 | 16.2 |  | 4.7 |  | 2.4 | 0 |
  Macro trend-driven EPS outperformance, % [8] | -3 | -6.9 | -8.5 | -7.9 |  | -0.3 |  | -1.6 | -0.7 |
  Current local GDP growth trend, %oya [9] | -5.7 | -2.5 | -2.6 | -2.1 |  | 2.2 |  | 3.6 | 1.7 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -0.5 | 0 | -0.5 | -1.5 |  | -0.7 |  | -0.5 | 0.2 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 3.8 | -4.1 | -3.9 | -4.2 |  | -1.4 |  | -0.6 | 0.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | -5.4 | -3.1 | -2 | -1.3 |  | 0.1 |  | -1.5 | -2.1 |
  Real yield shortfall (+ means real yields accommodative) [13] | -6.3 | -2.4 | -2.8 | -2.3 |  | 1.8 |  | -4.8 | -2.6 |
  External basic balance of the currency area, % of GDP [14] | 0.8 | 2.3 | 2.2 | 2.4 |  | 2.2 |  | 1.8 | 0.1 |
  Intervention-driven monetary expansion trend [15] | -1 | 3.6 | 3.1 | 5 |  | 10.1 |  | 11.6 | 6.7 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 30.5 | 26.3 | 24.1 | 22.8 |  | 14.6 |  | 33 | 22.1 |
  Annualized volatility in USD [17] | 40.5 | 36.9 | 33 | 30.7 |  | 17.6 |  | 41.1 | 29.6 |
  Estimated recent relative distortion payback [18] | -1.1 | -0.2 | 1 | 0.4 |  | 0 |  | -0.1 | -0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Canada valuation and macro trend indicators as of 2017-02-28 | |||||||||
TSX Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.4 | 3.5 | 3.3 | 3.4 |  | 2.4 |  | 0.4 | 3 |
  Forward earnings yield (FEY) [3] | 6.7 | 6.2 | 6.3 | 6.3 |  | 7.2 |  | 7.2 | 7.1 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.36 | 0.43 | 0.46 |  | 0.43 |  | 0.38 | 0.4 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.32 | 0.3 | 0.31 | 0.31 |  | 0.35 |  | 0.39 | 0.35 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.41 | 0.63 | 0.76 | 0.77 |  | 0.52 |  | 0.39 | 0.58 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -6.2 | 6.5 | 6.3 | 4.4 |  | 4.7 |  | 2.3 | 0.6 |
  Macro trend-driven EPS outperformance, % [8] | 4.4 | -1 | -0.7 | -1.3 |  | -0.3 |  | -1.8 | 0.4 |
  Current local GDP growth trend, %oya [9] | 0.3 | 1.5 | 1.7 | 1.6 |  | 2.2 |  | 1.8 | 2.1 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 0.4 | -0.1 | -2.3 | -0.4 |  | -0.7 |  | -0.7 | 0.2 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 1.5 | 0.8 | 0 | 0.2 |  | -1.4 |  | -1.6 | 0.1 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0 | 0.4 | 0.5 | 0.1 |  | 0.1 |  | 0.1 | 0.3 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.8 | 2.5 | 2.1 | 2.1 |  | 1.8 |  | 1 | 2.2 |
  External basic balance of the currency area, % of GDP [14] | -4.2 | -5.3 | -5.4 | -5.2 |  | 2.2 |  | 0.6 | -3.8 |
  Intervention-driven monetary expansion trend [15] | 7.8 | 6.5 | 6.4 | 6.3 |  | 10.1 |  | 2.7 | 4.5 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 18.9 | 11.5 | 9.6 | 9.5 |  | 14.6 |  | 18.9 | 14.3 |
  Annualized volatility in USD [17] | 24 | 17 | 14.6 | 13.9 |  | 17.6 |  | 23.1 | 19.2 |
  Estimated recent relative distortion payback [18] | 0 | -0.2 | 0 | 0 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
France valuation and macro trend indicators as of 2017-02-28 | |||||||||
CAC 40 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.8 | 4.8 | 4.5 | 4.6 |  | 2.4 |  | 1.9 | 4 |
  Forward earnings yield (FEY) [3] | 7.3 | 7.4 | 7.2 | 7.2 |  | 7.2 |  | 8.3 | 8.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.39 | 0.46 | 0.49 |  | 0.43 |  | 0.46 | 0.43 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.34 | 0.32 | 0.31 | 0.31 |  | 0.35 |  | 0.45 | 0.41 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.33 | 0.46 | 0.55 | 0.59 |  | 0.52 |  | 0.4 | 0.48 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -4.8 | 3.4 | 2.7 | 3.7 |  | 4.7 |  | 1.7 | 0.3 |
  Macro trend-driven EPS outperformance, % [8] | 3.3 | -1.3 | -1 | -1.1 |  | -0.3 |  | -2.1 | 0.8 |
  Current local GDP growth trend, %oya [9] | 1.2 | 1 | 1 | 1.2 |  | 2.2 |  | 1.1 | 1 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.4 | 0.3 | 0 | 0.3 |  | -0.7 |  | -0.3 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 0.9 | -0.5 | -0.6 | -0.4 |  | -1.4 |  | -1.4 | 0.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.1 | 1.1 | 0.7 | 0.4 |  | 0.1 |  | -0.1 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.4 | 2.3 | 2.2 | 2.3 |  | 1.8 |  | 0 | 1.4 |
  External basic balance of the currency area, % of GDP [14] | 1.7 | 1.3 | 0.9 | 0.7 |  | 2.2 |  | -1.1 | 0.6 |
  Intervention-driven monetary expansion trend [15] | 25 | 25 | 25 | 25 |  | 10.1 |  | 0.6 | 5.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 25.9 | 19.1 | 15.7 | 14.8 |  | 14.6 |  | 21.7 | 21.2 |
  Annualized volatility in USD [17] | 25.9 | 19.1 | 15.7 | 14.8 |  | 17.6 |  | 21.7 | 21.2 |
  Estimated recent relative distortion payback [18] | 0.2 | -0.2 | -0.1 | 0 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Germany valuation and macro trend indicators as of 2017-02-28 | |||||||||
DAX Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.7 | 4.2 | 4 | 4.1 |  | 2.4 |  | 0.9 | 3.6 |
  Forward earnings yield (FEY) [3] | 8.6 | 8 | 7.5 | 7.4 |  | 7.2 |  | 8.2 | 8.8 |
  Vol-adjusted FEY (international perspective) [4] | 0.32 | 0.42 | 0.47 | 0.5 |  | 0.43 |  | 0.43 | 0.46 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.4 | 0.36 | 0.34 | 0.33 |  | 0.35 |  | 0.4 | 0.44 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.37 | 0.51 | 0.57 | 0.61 |  | 0.52 |  | 0.36 | 0.52 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | 0.6 | 1.6 | 2.7 | 3.3 |  | 4.7 |  | 2.9 | 2.3 |
  Macro trend-driven EPS outperformance, % [8] | 3.5 | -1 | -0.6 | -0.9 |  | -0.3 |  | -2.2 | 1.2 |
  Current local GDP growth trend, %oya [9] | 1.3 | 1.7 | 2 | 1.8 |  | 2.2 |  | 0.7 | 1.8 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.4 | 0.3 | 0 | 0.3 |  | -0.7 |  | -0.3 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 1 | -0.8 | -1.4 | -1.3 |  | -1.4 |  | -1.1 | 0.5 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.1 | 1.1 | 0.7 | 0.4 |  | 0.1 |  | -0.1 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.9 | 3 | 2.7 | 2.9 |  | 1.8 |  | -0.6 | 1.9 |
  External basic balance of the currency area, % of GDP [14] | 1.7 | 1.3 | 0.9 | 0.7 |  | 2.2 |  | -1.1 | 0.6 |
  Intervention-driven monetary expansion trend [15] | 25 | 25 | 25 | 25 |  | 10.1 |  | 0.6 | 5.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 27 | 19 | 16.1 | 14.9 |  | 14.6 |  | 23 | 20 |
  Annualized volatility in USD [17] | 27 | 19 | 16.1 | 14.9 |  | 17.6 |  | 23 | 20 |
  Estimated recent relative distortion payback [18] | 0.8 | 0.1 | -0.3 | -0.2 |  | 0 |  | -0.1 | 0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
India valuation and macro trend indicators as of 2017-02-28 | |||||||||
NIFTY Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | -1.2 | -0.3 | -0.6 | -1 |  | 2.4 |  | 0.7 | 0.7 |
  Forward earnings yield (FEY) [3] | 6.4 | 6.1 | 6 | 5.7 |  | 7.2 |  | 7 | 6.6 |
  Vol-adjusted FEY (international perspective) [4] | 0.31 | 0.36 | 0.41 | 0.41 |  | 0.43 |  | 0.27 | 0.31 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.41 | 0.39 | 0.38 | 0.37 |  | 0.35 |  | 0.59 | 0.4 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.19 | 0.29 | 0.31 | 0.31 |  | 0.52 |  | 0.25 | 0.31 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -2.7 | 2.7 | 2.3 | 0.6 |  | 4.7 |  | 4.1 | 1.6 |
  Macro trend-driven EPS outperformance, % [8] | 1.3 | 2.6 | 3.1 | 2.3 |  | -0.3 |  | 3.7 | 2.7 |
  Current local GDP growth trend, %oya [9] | 7 | 6.7 | 7.6 | 6.6 |  | 2.2 |  | 7.9 | 7.2 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 0.8 | -0.6 | -0.2 | -0.7 |  | -0.7 |  | 0.2 | 0.3 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 3.2 | -2 | -4 | -4.8 |  | -1.4 |  | -0.7 | 1.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | -1.1 | -0.5 | -0.1 | -0.1 |  | 0.1 |  | 0.3 | -1.7 |
  Real yield shortfall (+ means real yields accommodative) [13] | 3.8 | 5.4 | 5 | 4.7 |  | 1.8 |  | 5.8 | 6.8 |
  External basic balance of the currency area, % of GDP [14] | 0.3 | 1.8 | 1.4 | 1.4 |  | 2.2 |  | 0.2 | -1.5 |
  Intervention-driven monetary expansion trend [15] | 10.9 | 4.9 | 1.3 | 0 |  | 10.1 |  | 14.4 | 5.2 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 17.7 | 14.2 | 12.7 | 11.9 |  | 14.6 |  | 29.2 | 17.4 |
  Annualized volatility in USD [17] | 20.8 | 16.9 | 14.7 | 13.7 |  | 17.6 |  | 30.8 | 21.6 |
  Estimated recent relative distortion payback [18] | 0.4 | 0.1 | -0.1 | -0.2 |  | 0 |  | -0.1 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Italy valuation and macro trend indicators as of 2017-02-28 | |||||||||
FTSE-MIB Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.3 | 4.3 | 3.9 | 3.9 |  | 2.4 |  | 2.6 | 3.3 |
  Forward earnings yield (FEY) [3] | 7.5 | 7.9 | 7.3 | 7.2 |  | 7.2 |  | 8.1 | 8.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.24 | 0.3 | 0.32 | 0.33 |  | 0.43 |  | 0.5 | 0.35 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.35 | 0.33 | 0.29 | 0.29 |  | 0.35 |  | 0.51 | 0.38 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.29 | 0.35 | 0.37 | 0.39 |  | 0.52 |  | 0.45 | 0.4 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -7.6 | 5.6 | 3.2 | 2.3 |  | 4.7 |  | 2.4 | -1.1 |
  Macro trend-driven EPS outperformance, % [8] | 2 | -1.2 | -1.1 | -1.2 |  | -0.3 |  | -2.4 | -0.3 |
  Current local GDP growth trend, %oya [9] | 0.9 | 1.1 | 1 | 1.1 |  | 2.2 |  | 0.1 | -0.2 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.4 | 0.3 | 0 | 0.3 |  | -0.7 |  | -0.3 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 1.7 | 0 | -0.5 | -0.4 |  | -1.4 |  | -1.2 | 0.9 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.1 | 1.1 | 0.7 | 0.4 |  | 0.1 |  | -0.1 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 0.5 | -0.1 | -0.1 | 0.1 |  | 1.8 |  | -0.7 | -1.1 |
  External basic balance of the currency area, % of GDP [14] | 1.7 | 1.3 | 0.9 | 0.7 |  | 2.2 |  | -1.1 | 0.6 |
  Intervention-driven monetary expansion trend [15] | 25 | 25 | 25 | 25 |  | 10.1 |  | 0.6 | 5.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 31 | 26.6 | 23.3 | 22.1 |  | 14.6 |  | 19.4 | 25.5 |
  Annualized volatility in USD [17] | 31 | 26.6 | 23.3 | 22.1 |  | 17.6 |  | 19.4 | 25.5 |
  Estimated recent relative distortion payback [18] | 0.6 | 0.3 | -0.2 | -0.7 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Japan valuation and macro trend indicators as of 2017-02-28 | |||||||||
Nikkei 225 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 3.5 | 3.1 | 3 | 3 |  | 2.4 |  | 0.9 | 2.4 |
  Forward earnings yield (FEY) [3] | 8.2 | 6.8 | 6.9 | 7 |  | 7.2 |  | 5.7 | 7.4 |
  Vol-adjusted FEY (international perspective) [4] | 0.25 | 0.25 | 0.31 | 0.33 |  | 0.43 |  | 0.27 | 0.34 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.46 | 0.36 | 0.36 | 0.38 |  | 0.35 |  | 0.42 | 0.54 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.29 | 0.3 | 0.35 | 0.38 |  | 0.52 |  | 0.27 | 0.36 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -2.6 | 2.7 | 5.2 | 6.4 |  | 4.7 |  | 1.3 | 3 |
  Macro trend-driven EPS outperformance, % [8] | -0.8 | -6.7 | -5.6 | -4.4 |  | -0.3 |  | -1.2 | 0.3 |
  Current local GDP growth trend, %oya [9] | 1.2 | 1.1 | 1.3 | 1.6 |  | 2.2 |  | 0.4 | 1.3 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -3 | 1.9 | 1.6 | -0.2 |  | -0.7 |  | -0.2 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | -0.4 | -5.9 | -5.1 | -4.4 |  | -1.4 |  | -1.5 | 0.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.8 | 1.8 | 1.8 | 1.7 |  | 0.1 |  | 1.2 | 1.7 |
  Real yield shortfall (+ means real yields accommodative) [13] | 1.8 | 1.5 | 1.4 | 1.4 |  | 1.8 |  | 0.2 | 0.8 |
  External basic balance of the currency area, % of GDP [14] | 0.3 | 1.3 | 1.5 | 1.5 |  | 2.2 |  | 2.7 | 0.2 |
  Intervention-driven monetary expansion trend [15] | 25 | 23 | 22.3 | 22.2 |  | 10.1 |  | 3.5 | 16.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 32.7 | 26.9 | 22.5 | 21 |  | 14.6 |  | 25.2 | 22.9 |
  Annualized volatility in USD [17] | 32.7 | 26.9 | 22.5 | 21 |  | 17.6 |  | 25.2 | 22.9 |
  Estimated recent relative distortion payback [18] | 0.7 | -0.6 | -0.2 | 0.1 |  | 0 |  | 0 | 0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Korea valuation and macro trend indicators as of 2017-02-28 | |||||||||
KOSPI Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 2.1 | 1.5 | 1.7 | 1.4 |  | 2.4 |  | 0.3 | 0.9 |
  Forward earnings yield (FEY) [3] | 9.8 | 10.1 | 10.3 | 10.7 |  | 7.2 |  | 10.8 | 10.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.44 | 0.47 | 0.52 | 0.58 |  | 0.43 |  | 0.36 | 0.51 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.5 | 0.45 | 0.45 | 0.47 |  | 0.35 |  | 0.38 | 0.49 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.56 | 0.72 | 0.84 | 0.91 |  | 0.52 |  | 0.33 | 0.62 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -5.1 | 3.7 | 8.8 | 11.2 |  | 4.7 |  | 2.1 | 1 |
  Macro trend-driven EPS outperformance, % [8] | -0.2 | -1.9 | -1.6 | -0.6 |  | -0.3 |  | 1.4 | -0.9 |
  Current local GDP growth trend, %oya [9] | 3.1 | 2.6 | 1.8 | 2.3 |  | 2.2 |  | 3.8 | 3.5 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 5.8 | 1 | -1.2 | -2.6 |  | -0.7 |  | 0.4 | -0.5 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 9.9 | -5.7 | -8.9 | -12.9 |  | -1.4 |  | -0.8 | -1.3 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.6 | 0.4 | 0.2 | 0.4 |  | 0.1 |  | 0 | 0.8 |
  Real yield shortfall (+ means real yields accommodative) [13] | 3.4 | 3 | 3 | 3 |  | 1.8 |  | 2.5 | 3.1 |
  External basic balance of the currency area, % of GDP [14] | 9.2 | 8.1 | 8.2 | 8.1 |  | 2.2 |  | 1.8 | 6.3 |
  Intervention-driven monetary expansion trend [15] | 5.5 | 6.9 | 3.9 | 4.2 |  | 10.1 |  | 7.3 | 8.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 17.8 | 14.4 | 12.7 | 12.2 |  | 14.6 |  | 34 | 19.4 |
  Annualized volatility in USD [17] | 22.1 | 21.7 | 19.6 | 18.4 |  | 17.6 |  | 35.7 | 22.8 |
  Estimated recent relative distortion payback [18] | 0.1 | -0.4 | 0.3 | 0.2 |  | 0 |  | -0.1 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Malaysia valuation and macro trend indicators as of 2017-02-28 | |||||||||
FTSE-KLCI Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 1.1 | 1.1 | 1.3 | 1.2 |  | 2.4 |  | 1.4 | 1.5 |
  Forward earnings yield (FEY) [3] | 6.3 | 6.3 | 6.2 | 6.2 |  | 7.2 |  | 7.3 | 6.6 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.38 | 0.44 | 0.47 |  | 0.43 |  | 0.46 | 0.44 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.4 | 0.39 | 0.39 | 0.39 |  | 0.35 |  | 0.97 | 0.67 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.31 | 0.56 | 0.62 | 0.64 |  | 0.52 |  | 0.41 | 0.51 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -1.1 | -0.4 | 1.3 | 2 |  | 4.7 |  | 1.9 | 0.8 |
  Macro trend-driven EPS outperformance, % [8] | 5.1 | 1.7 | 1.3 | 1.6 |  | -0.3 |  | 2.1 | 2.6 |
  Current local GDP growth trend, %oya [9] | 4.5 | 4.3 | 4.7 | 4.5 |  | 2.2 |  | 4.9 | 5.4 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.9 | 8.8 | 5.8 | 1.2 |  | -0.7 |  | 0.3 | 0.6 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 17.6 | 1.8 | 10.1 | 10.5 |  | -1.4 |  | 0.8 | 0.7 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.1 | 1.3 | 1.1 | -0.6 |  | 0.1 |  | 1.2 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 3.6 | 3.3 | 3.5 | 3.4 |  | 1.8 |  | 4.3 | 4 |
  External basic balance of the currency area, % of GDP [14] | 2.6 | 2.3 | 2.6 | 2.6 |  | 2.2 |  | 14.1 | 5.4 |
  Intervention-driven monetary expansion trend [15] | 0 | 0.7 | 1.4 | 1.8 |  | 10.1 |  | 5.2 | 6.4 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 15.4 | 9.1 | 8.1 | 7.7 |  | 14.6 |  | 17.3 | 11.3 |
  Annualized volatility in USD [17] | 22.1 | 16.5 | 14.3 | 13 |  | 17.6 |  | 18.2 | 15.6 |
  Estimated recent relative distortion payback [18] | 0 | 0.1 | -0.1 | 0 |  | 0 |  | -0.1 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Mexico valuation and macro trend indicators as of 2017-02-28 | |||||||||
MEXBOL Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | -0.6 | -2.2 | -2.4 | -2.3 |  | 2.4 |  | -2.9 | -0.6 |
  Forward earnings yield (FEY) [3] | 5.8 | 5.9 | 6.1 | 6.2 |  | 7.2 |  | 8.1 | 6.1 |
  Vol-adjusted FEY (international perspective) [4] | 0.25 | 0.2 | 0.23 | 0.24 |  | 0.43 |  | 0.31 | 0.29 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.27 | 0.24 | 0.26 | 0.24 |  | 0.35 |  | 0.34 | 0.28 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.31 | 0.22 | 0.2 | 0.19 |  | 0.52 |  | 0.17 | 0.35 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | 4 | 4.8 | 9.8 | 8.4 |  | 4.7 |  | 4.4 | 0.9 |
  Macro trend-driven EPS outperformance, % [8] | 5.3 | 4.6 | 5.1 | 5.5 |  | -0.3 |  | 1.4 | 1 |
  Current local GDP growth trend, %oya [9] | 2.4 | 2.1 | 2.2 | 2.4 |  | 2.2 |  | 2 | 3 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 4.4 | 3.2 | 5 | -0.9 |  | -0.7 |  | 0.6 | 0.6 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 7.1 | 8.2 | 9.2 | 7.8 |  | -1.4 |  | 3.8 | 1.9 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.2 | -0.3 | -1.3 | -1.5 |  | 0.1 |  | -1.3 | -0.4 |
  Real yield shortfall (+ means real yields accommodative) [13] | 0 | -1.2 | -1.4 | -1.3 |  | 1.8 |  | -2.1 | 0.4 |
  External basic balance of the currency area, % of GDP [14] | -0.7 | -0.5 | -0.1 | -0.1 |  | 2.2 |  | 1.1 | -0.5 |
  Intervention-driven monetary expansion trend [15] | 0 | 0 | 1.8 | 2 |  | 10.1 |  | 10.2 | 8.7 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 14.8 | 14.9 | 14.7 | 14 |  | 14.6 |  | 25.8 | 15.1 |
  Annualized volatility in USD [17] | 23.2 | 29.8 | 26.8 | 25.6 |  | 17.6 |  | 29.6 | 21.8 |
  Estimated recent relative distortion payback [18] | 0.3 | 0.5 | -0.1 | -0.3 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Netherlands valuation and macro trend indicators as of 2017-02-28 | |||||||||
AEX Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 5.5 | 4.9 | 4.6 | 4.8 |  | 2.4 |  | 2.2 | 4 |
  Forward earnings yield (FEY) [3] | 6.1 | 6.5 | 6.4 | 6.3 |  | 7.2 |  | 9.1 | 8.5 |
  Vol-adjusted FEY (international perspective) [4] | 0.24 | 0.37 | 0.45 | 0.48 |  | 0.43 |  | 0.5 | 0.49 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.29 | 0.3 | 0.3 | 0.3 |  | 0.35 |  | 0.48 | 0.45 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.31 | 0.46 | 0.55 | 0.59 |  | 0.52 |  | 0.43 | 0.58 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -9.9 | 6.9 | 7 | 6 |  | 4.7 |  | 0 | 0.9 |
  Macro trend-driven EPS outperformance, % [8] | 4.3 | -0.9 | -0.5 | -0.7 |  | -0.3 |  | -2.2 | 1.5 |
  Current local GDP growth trend, %oya [9] | 1.1 | 2.5 | 2.8 | 2.7 |  | 2.2 |  | 1.5 | 0.8 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.4 | 0.3 | 0 | 0.3 |  | -0.7 |  | -0.3 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | -0.1 | -0.7 | -0.8 | -0.6 |  | -1.4 |  | -1.1 | 0.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.1 | 1.1 | 0.7 | 0.4 |  | 0.1 |  | -0.1 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.7 | 2.4 | 2.4 | 2.6 |  | 1.8 |  | 0.1 | 1.8 |
  External basic balance of the currency area, % of GDP [14] | 1.7 | 1.3 | 0.9 | 0.7 |  | 2.2 |  | -1.1 | 0.6 |
  Intervention-driven monetary expansion trend [15] | 25 | 25 | 25 | 25 |  | 10.1 |  | 0.6 | 5.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 25.1 | 17.4 | 14.3 | 13.4 |  | 14.6 |  | 23 | 18.1 |
  Annualized volatility in USD [17] | 25.1 | 17.4 | 14.3 | 13.4 |  | 17.6 |  | 23 | 18.1 |
  Estimated recent relative distortion payback [18] | -1.5 | 0 | -0.1 | 0 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Poland valuation and macro trend indicators as of 2017-02-28 | |||||||||
WIG 20 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 2.8 | 2 | 0.9 | 0.8 |  | 2.4 |  | -0.7 | 2.2 |
  Forward earnings yield (FEY) [3] | 8.4 | 8.7 | 7.9 | 7.8 |  | 7.2 |  | 8.3 | 8.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.36 | 0.42 | 0.41 | 0.4 |  | 0.43 |  | 0.28 | 0.37 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.48 | 0.47 | 0.42 | 0.4 |  | 0.35 |  | 0.46 | 0.45 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.38 | 0.45 | 0.43 | 0.42 |  | 0.52 |  | 0.21 | 0.42 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -4.9 | -1.6 | 4.9 | 9.4 |  | 4.7 |  | 1.9 | -0.1 |
  Macro trend-driven EPS outperformance, % [8] | 2.9 | 1.1 | 0.8 | 0.8 |  | -0.3 |  | 1.6 | 0.9 |
  Current local GDP growth trend, %oya [9] | 4.6 | 2.5 | 2.5 | 2.7 |  | 2.2 |  | 4.6 | 3.1 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -0.3 | 1.8 | 0.2 | -2.1 |  | -0.7 |  | -0.2 | 0.2 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 3.5 | 0.7 | -0.3 | -1.1 |  | -1.4 |  | -0.5 | 0.6 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 3 | 2.7 | 2.1 | 1.5 |  | 0.1 |  | 0.7 | 1.2 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2 | 1.3 | 0.9 | 1 |  | 1.8 |  | 0.2 | 1.6 |
  External basic balance of the currency area, % of GDP [14] | 1.9 | 1.5 | 1.5 | 1.3 |  | 2.2 |  | -1.5 | -1.1 |
  Intervention-driven monetary expansion trend [15] | 0.8 | 16.1 | 11.8 | 8.2 |  | 10.1 |  | 9.8 | 3.5 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 20.9 | 18.2 | 17.4 | 17.4 |  | 14.6 |  | 27.3 | 19.3 |
  Annualized volatility in USD [17] | 23.5 | 20.8 | 19.5 | 19.6 |  | 17.6 |  | 31.7 | 24.6 |
  Estimated recent relative distortion payback [18] | 0.1 | -0.1 | -0.7 | -0.7 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Singapore valuation and macro trend indicators as of 2017-02-28 | |||||||||
MSCI Free Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 3.9 | 3.3 | 3.2 | 3.3 |  | 2.4 |  | 3.2 | 4.4 |
  Forward earnings yield (FEY) [3] | 8.7 | 7.7 | 7.3 | 7.3 |  | 7.2 |  | 7.2 | 7.6 |
  Vol-adjusted FEY (international perspective) [4] | 0.43 | 0.48 | 0.5 | 0.53 |  | 0.43 |  | 0.37 | 0.5 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.61 | 0.49 | 0.47 | 0.46 |  | 0.35 |  | 0.51 | 0.54 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.45 | 0.57 | 0.63 | 0.67 |  | 0.52 |  | 0.36 | 0.68 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -3.7 | -0.3 | -0.5 | 0.2 |  | 4.7 |  | 2.4 | 0.5 |
  Macro trend-driven EPS outperformance, % [8] | 0.7 | -0.9 | 0.3 | 0.7 |  | -0.3 |  | 1.6 | 0.5 |
  Current local GDP growth trend, %oya [9] | 1.3 | 1.2 | 2.7 | 2.9 |  | 2.2 |  | 5.9 | 5.6 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.1 | 3.3 | -1.4 | -3.6 |  | -0.7 |  | -0.8 | -1.3 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 9 | -5.5 | -9.8 | -12.7 |  | -1.4 |  | -6.7 | -3 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 2.7 | 2.1 | 1.8 | 1.5 |  | 0.1 |  | -0.4 | 0.8 |
  Real yield shortfall (+ means real yields accommodative) [13] | 3.5 | 3.7 | 3.9 | 4.1 |  | 1.8 |  | 4.2 | 5 |
  External basic balance of the currency area, % of GDP [14] | 17.5 | 17.4 | 16 | 14.8 |  | 2.2 |  | 23 | 19 |
  Intervention-driven monetary expansion trend [15] | 0 | 3.4 | 1.3 | 4.7 |  | 10.1 |  | 7.4 | 7.4 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 19.7 | 14.6 | 12.6 | 11.9 |  | 14.6 |  | 22 | 14.5 |
  Annualized volatility in USD [17] | 20.4 | 16 | 14.7 | 13.7 |  | 17.6 |  | 22.7 | 16.4 |
  Estimated recent relative distortion payback [18] | 0.1 | -0.4 | 0.3 | 0.1 |  | 0 |  | 0.1 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
South Africa valuation and macro trend indicators as of 2017-02-28 | |||||||||
FTSE-JSE Top 40 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | -0.6 | -0.2 | 0 | 0.3 |  | 2.4 |  | -1.2 | 0.3 |
  Forward earnings yield (FEY) [3] | 7.1 | 7.2 | 6.9 | 7 |  | 7.2 |  | 9.9 | 7.8 |
  Vol-adjusted FEY (international perspective) [4] | 0.24 | 0.27 | 0.28 | 0.31 |  | 0.43 |  | 0.39 | 0.32 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.28 | 0.25 | 0.23 | 0.23 |  | 0.35 |  | 0.51 | 0.33 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.23 | 0.31 | 0.32 | 0.34 |  | 0.52 |  | 0.27 | 0.41 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | 1.9 | -1.2 | -0.7 | -1.5 |  | 4.7 |  | 1.9 | 1.6 |
  Macro trend-driven EPS outperformance, % [8] | 5.7 | 0.9 | -3.5 | -6.6 |  | -0.3 |  | -1.1 | 1.1 |
  Current local GDP growth trend, %oya [9] | 0.5 | 0.7 | 0.6 | 0.7 |  | 2.2 |  | 3.8 | 2 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 4 | -4.3 | -0.7 | -3.2 |  | -0.7 |  | -0.1 | 0.7 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 7 | 1.2 | -3.6 | -6.7 |  | -1.4 |  | 1 | 2.1 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | -1.4 | -1.5 | -1.8 | -1.5 |  | 0.1 |  | -0.5 | -0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | -1.8 | -0.8 | -0.8 | -0.6 |  | 1.8 |  | -0.3 | 0.7 |
  External basic balance of the currency area, % of GDP [14] | -5.2 | -4.7 | -4.3 | -4 |  | 2.2 |  | -2.6 | -3.2 |
  Intervention-driven monetary expansion trend [15] | 0 | 2.5 | 5.6 | 5.2 |  | 10.1 |  | 11.7 | 4 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 21.8 | 16.9 | 15.9 | 15.2 |  | 14.6 |  | 23.4 | 17.3 |
  Annualized volatility in USD [17] | 29.8 | 27.2 | 24.3 | 22.8 |  | 17.6 |  | 30 | 25.5 |
  Estimated recent relative distortion payback [18] | -0.2 | -0.1 | 1.2 | 0.8 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Spain valuation and macro trend indicators as of 2017-02-28 | |||||||||
IBEX Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 5.8 | 4.7 | 4.5 | 4.5 |  | 2.4 |  | 2.1 | 4.4 |
  Forward earnings yield (FEY) [3] | 7.5 | 7.4 | 7.2 | 7.1 |  | 7.2 |  | 8.1 | 8.5 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.32 | 0.37 | 0.39 |  | 0.43 |  | 0.46 | 0.35 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.34 | 0.29 | 0.27 | 0.28 |  | 0.35 |  | 0.49 | 0.39 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.32 | 0.38 | 0.44 | 0.47 |  | 0.52 |  | 0.44 | 0.4 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -8.2 | 3.8 | 6 | 6.5 |  | 4.7 |  | 3.1 | -1.4 |
  Macro trend-driven EPS outperformance, % [8] | 4.4 | -0.5 | -0.3 | -0.4 |  | -0.3 |  | -1.6 | 0.8 |
  Current local GDP growth trend, %oya [9] | 3.6 | 3.2 | 3.1 | 3 |  | 2.2 |  | 2.5 | 0.1 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.4 | 0.3 | 0 | 0.3 |  | -0.7 |  | -0.3 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 0.6 | -0.9 | -1 | -0.9 |  | -1.4 |  | -1 | 0.5 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.1 | 1.1 | 0.7 | 0.4 |  | 0.1 |  | -0.1 | 0.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 0.9 | 1 | 1.2 | 1.1 |  | 1.8 |  | 1.8 | -0.4 |
  External basic balance of the currency area, % of GDP [14] | 1.7 | 1.3 | 0.9 | 0.7 |  | 2.2 |  | -1.1 | 0.6 |
  Intervention-driven monetary expansion trend [15] | 25 | 25 | 25 | 25 |  | 10.1 |  | 0.6 | 5.9 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 27.3 | 23 | 19.6 | 18.3 |  | 14.6 |  | 20.5 | 24.3 |
  Annualized volatility in USD [17] | 27.3 | 23 | 19.6 | 18.3 |  | 17.6 |  | 20.5 | 24.3 |
  Estimated recent relative distortion payback [18] | 0.6 | 0.4 | 0.1 | 0.3 |  | 0 |  | 0.1 | -0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Sweden valuation and macro trend indicators as of 2017-02-28 | |||||||||
OMX Stockholm Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.9 | 5.1 | 4.4 | 4.8 |  | 2.4 |  | 0.4 | 3.2 |
  Forward earnings yield (FEY) [3] | 6.8 | 6.3 | 6.2 | 6.1 |  | 7.2 |  | 7.4 | 7.3 |
  Vol-adjusted FEY (international perspective) [4] | 0.25 | 0.3 | 0.35 | 0.37 |  | 0.43 |  | 0.34 | 0.35 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.32 | 0.29 | 0.28 | 0.29 |  | 0.35 |  | 0.37 | 0.35 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.34 | 0.44 | 0.52 | 0.56 |  | 0.52 |  | 0.32 | 0.43 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -5.3 | 0.5 | 2.1 | 2.5 |  | 4.7 |  | 2.5 | 1.7 |
  Macro trend-driven EPS outperformance, % [8] | 2.8 | -0.4 | 2.2 | 2.8 |  | -0.3 |  | 0.7 | -0.1 |
  Current local GDP growth trend, %oya [9] | 4.5 | 2.5 | 2.8 | 2.3 |  | 2.2 |  | 2 | 2.5 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -0.7 | 2 | -3 | -1.2 |  | -0.7 |  | 0 | 0 |
  Medium-term estimated FX and terms-of-trade benefit [11] | -1.3 | 2.4 | 2 | 1.7 |  | -1.4 |  | -0.4 | -0.8 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.8 | 0.7 | 0.2 | 0.5 |  | 0.1 |  | 0.5 | 1 |
  Real yield shortfall (+ means real yields accommodative) [13] | 3.4 | 3.7 | 3.8 | 4.1 |  | 1.8 |  | 0.8 | 2.1 |
  External basic balance of the currency area, % of GDP [14] | 2.4 | 2.1 | 2.4 | 2.5 |  | 2.2 |  | 5.3 | 2.6 |
  Intervention-driven monetary expansion trend [15] | -11.1 | 0 | 0 | 0 |  | 10.1 |  | 1.2 | -1.7 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 25.8 | 19.5 | 16.2 | 14.9 |  | 14.6 |  | 23.6 | 19.7 |
  Annualized volatility in USD [17] | 27.5 | 20.8 | 17.5 | 16.3 |  | 17.6 |  | 25.4 | 22.1 |
  Estimated recent relative distortion payback [18] | 0.5 | 0 | -0.3 | -0.2 |  | 0 |  | 0.1 | -0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Switzerland valuation and macro trend indicators as of 2017-02-28 | |||||||||
MSCI Switzerland Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.6 | 4.5 | 4.4 | 4.5 |  | 2.4 |  | 1.2 | 3.6 |
  Forward earnings yield (FEY) [3] | 6.5 | 6.4 | 6.1 | 6 |  | 7.2 |  | 7.3 | 7.3 |
  Vol-adjusted FEY (international perspective) [4] | 0.3 | 0.42 | 0.45 | 0.47 |  | 0.43 |  | 0.47 | 0.5 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.41 | 0.41 | 0.4 | 0.41 |  | 0.35 |  | 0.55 | 0.62 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.35 | 0.5 | 0.56 | 0.59 |  | 0.52 |  | 0.45 | 0.54 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -5.4 | 3.1 | 2.2 | 1.4 |  | 4.7 |  | 1.7 | 0.1 |
  Macro trend-driven EPS outperformance, % [8] | -7.1 | 1.2 | 0.2 | 0 |  | -0.3 |  | 0.1 | -1.7 |
  Current local GDP growth trend, %oya [9] | 0.5 | 1.8 | 1.7 | 1.6 |  | 2.2 |  | 2 | 1.7 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -1.7 | -0.6 | -1.1 | -0.6 |  | -0.7 |  | -0.2 | -0.7 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 0.5 | -1 | -2.2 | -2.1 |  | -1.4 |  | -1.5 | -2.7 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 2.5 | 1.7 | 1.6 | 1.3 |  | 0.1 |  | 0.6 | 1.6 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.9 | 2.9 | 2.8 | 3 |  | 1.8 |  | 1.3 | 2.4 |
  External basic balance of the currency area, % of GDP [14] | 8.7 | 8.5 | 7.8 | 7.5 |  | 2.2 |  | 5.6 | 6.3 |
  Intervention-driven monetary expansion trend [15] | 12.2 | 10.7 | 12.5 | 13.2 |  | 10.1 |  | 4.2 | 11.8 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 21.8 | 15.3 | 13.3 | 12.5 |  | 14.6 |  | 19.1 | 16 |
  Annualized volatility in USD [17] | 21.7 | 15.1 | 13.6 | 12.7 |  | 17.6 |  | 17.8 | 15.8 |
  Estimated recent relative distortion payback [18] | -0.2 | -0.1 | 0.1 | 0 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Thailand valuation and macro trend indicators as of 2017-02-28 | |||||||||
SET 50 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 3.1 | 2.6 | 2.4 | 2.5 |  | 2.4 |  | 1.8 | 2.2 |
  Forward earnings yield (FEY) [3] | 7.3 | 6.8 | 6.6 | 6.7 |  | 7.2 |  | 10.2 | 8 |
  Vol-adjusted FEY (international perspective) [4] | 0.35 | 0.36 | 0.4 | 0.44 |  | 0.43 |  | 0.4 | 0.38 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.46 | 0.48 | 0.46 | 0.47 |  | 0.35 |  | 0.95 | 0.59 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.35 | 0.37 | 0.43 | 0.48 |  | 0.52 |  | 0.38 | 0.38 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -4.8 | 1.6 | 2.2 | 2.9 |  | 4.7 |  | 3 | 1.7 |
  Macro trend-driven EPS outperformance, % [8] | 0.8 | 0.9 | 0.7 | 0.3 |  | -0.3 |  | 1.3 | 1 |
  Current local GDP growth trend, %oya [9] | 2.7 | 3 | 3.1 | 2.9 |  | 2.2 |  | 4.3 | 3.6 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 0 | -1.3 | -1.7 | -0.8 |  | -0.7 |  | -0.3 | -0.3 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 7.9 | -1.6 | -3.5 | -4.2 |  | -1.4 |  | -2.1 | -0.4 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 2.4 | 1.8 | 1.3 | 1.5 |  | 0.1 |  | -0.3 | 0.3 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.5 | 2.2 | 2 | 2.1 |  | 1.8 |  | 3.2 | 2.8 |
  External basic balance of the currency area, % of GDP [14] | 9 | 10.9 | 10.5 | 10.7 |  | 2.2 |  | 5 | 4.4 |
  Intervention-driven monetary expansion trend [15] | 1.5 | 2.5 | 4.2 | 5.2 |  | 10.1 |  | 8.1 | 4.5 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 20.1 | 17.9 | 15.3 | 14.2 |  | 14.6 |  | 26.6 | 20.7 |
  Annualized volatility in USD [17] | 20.9 | 19 | 16.5 | 15.2 |  | 17.6 |  | 28.2 | 21.8 |
  Estimated recent relative distortion payback [18] | 0.9 | 1.3 | 0.2 | 0.3 |  | 0 |  | -0.1 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Taiwan valuation and macro trend indicators as of 2017-02-28 | |||||||||
TWSE Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 3.9 | 3.9 | 3.7 | 3.7 |  | 2.4 |  | 3.9 | 3.1 |
  Forward earnings yield (FEY) [3] | 8.2 | 7.6 | 7.7 | 7.6 |  | 7.2 |  | 7.4 | 7.6 |
  Vol-adjusted FEY (international perspective) [4] | 0.39 | 0.4 | 0.44 | 0.45 |  | 0.43 |  | 0.29 | 0.42 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.53 | 0.46 | 0.46 | 0.43 |  | 0.35 |  | 0.46 | 0.59 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.42 | 0.49 | 0.56 | 0.57 |  | 0.52 |  | 0.28 | 0.47 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -2 | 5.3 | 5 | 3.7 |  | 4.7 |  | 2.9 | 1.9 |
  Macro trend-driven EPS outperformance, % [8] | -1.5 | -0.1 | -1.5 | -2.5 |  | -0.3 |  | 2.3 | 0.8 |
  Current local GDP growth trend, %oya [9] | -0.8 | 2.1 | 3.2 | 2.9 |  | 2.2 |  | 3.9 | 3.9 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 2.1 | -4.5 | -3.8 | -3.6 |  | -0.7 |  | 0.5 | -0.6 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 4.4 | -7.2 | -11.6 | -14.5 |  | -1.4 |  | -4 | -1.3 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.5 | 0.1 | 0 | -0.5 |  | 0.1 |  | 0.2 | 0.3 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.9 | 3.3 | 2.3 | 2.3 |  | 1.8 |  | 4.8 | 4 |
  External basic balance of the currency area, % of GDP [14] | 11.9 | 11 | 11.3 | 11.3 |  | 2.2 |  | 5.7 | 8.7 |
  Intervention-driven monetary expansion trend [15] | 5.2 | 4.8 | 4.6 | 6.1 |  | 10.1 |  | 7 | 5.7 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 19.3 | 16.2 | 14.4 | 13.8 |  | 14.6 |  | 28.1 | 16.9 |
  Annualized volatility in USD [17] | 21.1 | 19.2 | 17.6 | 16.6 |  | 17.6 |  | 28.9 | 18.6 |
  Estimated recent relative distortion payback [18] | -0.3 | 0 | 0.2 | -0.1 |  | 0 |  | 0.1 | 0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
Turkey valuation and macro trend indicators as of 2017-02-28 | |||||||||
ISE National Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | -0.7 | -0.8 | -1.8 | -1.8 |  | 2.4 |  | -7 | -0.1 |
  Forward earnings yield (FEY) [3] | 12.1 | 13.3 | 11.8 | 11.9 |  | 7.2 |  | 11.2 | 10.7 |
  Vol-adjusted FEY (international perspective) [4] | 0.39 | 0.51 | 0.41 | 0.43 |  | 0.43 |  | 0.26 | 0.36 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.53 | 0.6 | 0.51 | 0.53 |  | 0.35 |  | 0.56 | 0.53 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.3 | 0.53 | 0.37 | 0.39 |  | 0.52 |  | 0.06 | 0.34 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | 3.5 | 4.2 | 5.2 | 5.9 |  | 4.7 |  | 4.6 | 2.1 |
  Macro trend-driven EPS outperformance, % [8] | 4.1 | -2.1 | -1.8 | 0.6 |  | -0.3 |  | 0 | 2.4 |
  Current local GDP growth trend, %oya [9] | 4.6 | 1.1 | 0.6 | 1.8 |  | 2.2 |  | 4.4 | 5.1 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 0.7 | 4.3 | 7.2 | 2.8 |  | -0.7 |  | 0.2 | 0.8 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 5.4 | 1.3 | 5.5 | 6.1 |  | -1.4 |  | 0.5 | 2.7 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | -4.6 | -2.1 | -3 | -3.5 |  | 0.1 |  | -1.7 | -2 |
  Real yield shortfall (+ means real yields accommodative) [13] | 0.4 | 0.4 | 0 | -0.1 |  | 1.8 |  | -4.8 | 1.7 |
  External basic balance of the currency area, % of GDP [14] | -4.9 | -5 | -5 | -5.2 |  | 2.2 |  | -5.1 | -6.5 |
  Intervention-driven monetary expansion trend [15] | 0 | 1.5 | 3.3 | 3.9 |  | 10.1 |  | 15.8 | 4.5 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 23.2 | 20.8 | 20 | 19.1 |  | 14.6 |  | 35 | 25 |
  Annualized volatility in USD [17] | 31 | 26.2 | 28.6 | 27.7 |  | 17.6 |  | 43.9 | 30.4 |
  Estimated recent relative distortion payback [18] | -0.1 | 0 | -0.4 | -0.4 |  | 0 |  | 0.2 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
U.S. valuation and macro trend indicators as of 2017-02-28 | |||||||||
S&P 500 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 2.6 | 1.9 | 1.8 | 1.7 |  | 2.4 |  | 0.3 | 2.4 |
  Forward earnings yield (FEY) [3] | 6.4 | 5.9 | 5.8 | 5.6 |  | 7.2 |  | 6.8 | 7.1 |
  Vol-adjusted FEY (international perspective) [4] | 0.35 | 0.49 | 0.58 | 0.6 |  | 0.43 |  | 0.46 | 0.48 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.34 | 0.35 | 0.35 | 0.35 |  | 0.35 |  | 0.39 | 0.41 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.41 | 0.57 | 0.67 | 0.7 |  | 0.52 |  | 0.38 | 0.58 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -2.3 | 2 | 2.4 | 1.9 |  | 4.7 |  | 1.3 | 2 |
  Macro trend-driven EPS outperformance, % [8] | -4.8 | -0.9 | -1.3 | -1.8 |  | -0.3 |  | 0.6 | -0.6 |
  Current local GDP growth trend, %oya [9] | 1.9 | 1.7 | 1.8 | 1.9 |  | 2.2 |  | 1.7 | 2 |
  Adjusted nominal effective depreciation, % over 3 months [10] | -0.4 | -1.4 | -0.7 | 0.4 |  | -0.7 |  | 0.2 | -0.2 |
  Medium-term estimated FX and terms-of-trade benefit [11] | -2.3 | -0.7 | -1.1 | -1 |  | -1.4 |  | 0.3 | -0.7 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 0.6 | 0.4 | 0.3 | 0.2 |  | 0.1 |  | 0 | 0.5 |
  Real yield shortfall (+ means real yields accommodative) [13] | 1.8 | 1.4 | 1.3 | 1.3 |  | 1.8 |  | 0.9 | 2 |
  External basic balance of the currency area, % of GDP [14] | -2.5 | -2.3 | -2.3 | -2.3 |  | 2.2 |  | -5.5 | -3.3 |
  Intervention-driven monetary expansion trend [15] | 0.1 | -0.5 | -0.5 | -0.5 |  | 10.1 |  | 4.9 | 10.3 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 18 | 12.1 | 10.1 | 9.3 |  | 14.6 |  | 18.8 | 15.5 |
  Annualized volatility in USD [17] | 18 | 12.1 | 10.1 | 9.3 |  | 17.6 |  | 18.8 | 15.5 |
  Estimated recent relative distortion payback [18] | 0.1 | -0.2 | -0.3 | -0.2 |  | 0 |  | 0 | 0 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |
UK valuation and macro trend indicators as of 2017-02-28 | |||||||||
FTSE 100 Index | for comparison | historic references | |||||||
---|---|---|---|---|---|---|---|---|---|
12m ago | 3m ago | 1m ago | latest | Â | Global [1] | Â | 2003-2009 | 2010-2016 | |
Valuation metrics | |||||||||
  Dividend yield minus local real (blended) yield [2] | 4.7 | 4.5 | 4.4 | 4.6 |  | 2.4 |  | 1 | 4.1 |
  Forward earnings yield (FEY) [3] | 6.6 | 7 | 7 | 6.9 |  | 7.2 |  | 7.7 | 8.4 |
  Vol-adjusted FEY (international perspective) [4] | 0.28 | 0.33 | 0.4 | 0.42 |  | 0.43 |  | 0.49 | 0.52 |
  Beta-adjusted FEY (global portfolio perspective) [5] | 0.31 | 0.29 | 0.29 | 0.28 |  | 0.35 |  | 0.48 | 0.47 |
  Vol-adjusted local FEY premium (over local real interest rate) [6] | 0.34 | 0.52 | 0.63 | 0.68 |  | 0.52 |  | 0.33 | 0.67 |
Earnings per share (EPS) trend | |||||||||
  EPS forecast momentum, % [7] | -3.3 | 11.7 | 6.7 | 5.1 |  | 4.7 |  | 2.7 | 0.7 |
  Macro trend-driven EPS outperformance, % [8] | -3.8 | 10.5 | 11.6 | 11.6 |  | -0.3 |  | 2.2 | -0.9 |
  Current local GDP growth trend, %oya [9] | 1.7 | 2 | 1.8 | 2 |  | 2.2 |  | 1.5 | 1.9 |
  Adjusted nominal effective depreciation, % over 3 months [10] | 5.1 | 0.4 | -3 | 0.8 |  | -0.7 |  | 0.5 | 0.1 |
  Medium-term estimated FX and terms-of-trade benefit [11] | 0.7 | 10.9 | 8.9 | 7.3 |  | -1.4 |  | 2.2 | -0.1 |
Monetary policy accomodation | |||||||||
  Broad inflation shortfall (+ means inflation too low) [12] | 1.2 | 0.9 | 0.4 | 0.3 |  | 0.1 |  | 0.2 | 0 |
  Real yield shortfall (+ means real yields accommodative) [13] | 2.3 | 2.6 | 2.6 | 2.7 |  | 1.8 |  | -0.2 | 2 |
  External basic balance of the currency area, % of GDP [14] | -0.9 | -2.2 | -1.7 | -1.7 |  | 2.2 |  | -3.5 | -2.5 |
  Intervention-driven monetary expansion trend [15] | 0.1 | 5.3 | 11.3 | 14.1 |  | 10.1 |  | 4 | 7.6 |
Technical indicators | |||||||||
  Annualized volatility in local currency [16] | 21.5 | 15.8 | 13.1 | 12 |  | 14.6 |  | 18.7 | 15.7 |
  Annualized volatility in USD [17] | 23.7 | 21.1 | 17.6 | 16.2 |  | 17.6 |  | 19.7 | 17.2 |
  Estimated recent relative distortion payback [18] | -2.3 | 0.3 | 0 | 0.3 |  | 0 |  | 0 | -0.1 |
[1] This is the unweighted average for all 23 country equity indices [2] Dividend yield minus 5-year local blended (government bond and IRS) real yield. [3] The forward earnings yield predictions are based on forecasts for the next fiscal year. [4] IBES forward earnings yield as ratio to annualized SD of return in benchmark currency (90d-half time). [5] Forward earnings yield,divided by beta-induced annualized standard deviation (benchmark is MSCI World). [6] IBES forward earnings yield normalized premium over local 1-month real rate (divided by local annualized SD). [7] EPS forecast revisions (IBES), percent change over 3 months, winsorized at 50%. [8] Local excess GDP growth relative to G4, weighted by domestic revenue share plus lagged real effective depreciation, weighted by foreign revenue share. [9] Estimated real GDP growth is a 3-month rolling average of %oya, based on latest national accounts and key monthly activity data, 2 months publication lag. [10] Nominal effectiv exchange rate, % over 3m, adjusted for economy’s sensitity to exchange rate, negative. [11] Terms-of-trade/nominal depreciation trade-off, % change of the past year, 3-month moving average, openness adjusted. [12] Broad (core and headline) inflation versus inflation target, negative; currency-area data for euro countries. [13] Excess 5-year govy real yield (national inflation), vs. estimated growth, country-specific, negative. [14] Current account balance (partly predicted by merchandise trade data) plus net FDI trend , % of GDP, 1-year trailing average. [15] Estimated expansion of monetary base from FX interventions or quantitative easing (% oya, trend). [16] Equity index annualized SD in local currency terms, based on 90 days half time. [17] Equity index annualized SD in benchmark currency terms, based on 90 days half time. [18] Estimated relative recent price distortion of the country index compared to an average of global indices in %. |