March-2017

Back to previous page

1 Australia (ASX SPI 200)

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   Global [1]   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 %.

2 Brazil (BOVESPA)

Brazil valuation and macro trend indicators as of 2017-02-28
BOVESPA Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

3 Canada (TSX)

Canada valuation and macro trend indicators as of 2017-02-28
TSX Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

4 France (CAC 40)

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   Global [1]   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 %.

5 Germany (DAX)

Germany valuation and macro trend indicators as of 2017-02-28
DAX Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

6 India (NIFTY)

India valuation and macro trend indicators as of 2017-02-28
NIFTY Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

7 Italy (FTSE-MIB)

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   Global [1]   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 %.

8 Japan (Nikkei 225)

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   Global [1]   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 %.

9 Korea (KOSPI)

Korea valuation and macro trend indicators as of 2017-02-28
KOSPI Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

10 Malaysia (FTSE-KLCI)

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   Global [1]   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 %.

11 Mexico (MEXBOL)

Mexico valuation and macro trend indicators as of 2017-02-28
MEXBOL Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

12 Netherlands (AEX)

Netherlands valuation and macro trend indicators as of 2017-02-28
AEX Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

13 Poland (WIG 20)

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   Global [1]   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 %.

14 Singapore (MSCI Free)

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   Global [1]   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 %.

15 South Africa (FTSE-JSE Top 40)

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   Global [1]   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 %.

16 Spain (IBEX)

Spain valuation and macro trend indicators as of 2017-02-28
IBEX Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

17 Sweden (OMX Stockholm)

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   Global [1]   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 %.

18 Switzerland (MSCI Switzerland)

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   Global [1]   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 %.

19 Thailand (SET 50)

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   Global [1]   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 %.

20 Taiwan (TWSE)

Taiwan valuation and macro trend indicators as of 2017-02-28
TWSE Index   for comparison   historic references
12m ago 3m ago 1m ago latest   Global [1]   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 %.

21 Turkey (ISE National)

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   Global [1]   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 %.

22 U.S. (S&P 500)

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   Global [1]   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 %.

23 UK (FTSE 100)

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   Global [1]   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 %.