Friday, January 23, 2015

S&P 500 market capitalization/GDP ratios the years before plus-20% crashes

http://www.advisorperspectives.com/dshort/commentaries/CAPE-at-Market-Peaks.php
1955: 104*
1956: 101
1957:   84

1960: 107
1961: 123
1962: 103

1965: 120
1966:   96

1967: 109
1968: 107
1969:   88
1970:   84

1972:   89
1973:   66
1974:   43

1979:   40
1980:   45
1981:   37
1982:   41


1986:   52
1987:   49

1999: 148
2000: 126
2001: 107
2002:   79

2006: 101
2007: 100
2008:   62
2009:   77

*The ratio is the S&P 500 level at the end of the calendar year divided by 4Q final GDP in trillions of dollars. The average peak ratio in the series is 99. The average trough ratio is 71. The average spread between peak and trough ratios in the series is 27%. The ratio through 3Q2014 is 112, 13% above the average peak in the series.

The chart from Doug Short gives the Shiller p/e ratios on the record dates. The average peak of these is 22.6, the average trough is 14.2, and the average spread between them in the series is 35%. The Shiller p/e ratio at the end of 3Q2014 was 25.16, 11% above the average peak in the series.