View Full Version : Indicator to track daily stock indices
For example, performance is the thermometer used to measure the profitability of bonds. But how do you know if a stock index is expensive? I’m looking at ratios like the PER that follow an index, such as the Shiller indicator that calculates a adjusted profit ratio for the SP500, but that data is only available on a monthly basis. I’m looking for some kind of indicator that is updated daily and that reflects how expensive the index is in historical comparison.
There are data providers and graphic platforms that publish the price/benefit and price/accounting value ratios on a daily basis. For example, the National Stock Exchange of India offers this type of data every day for all of its indices. Here's the link: https://www.nseindia.com Other stock exchanges also publish that information, or you can check it directly with your regular data provider.
Thanks for the data from the Indian stock market. It’s an interesting starting point, although I’m more focused on U.S. indexes like SP500, Nasdaq or Dow Jones. I’d like to find something that is directly linked to those references, with fresh data, not monthly late. I’ve looked at sites like Finviz or even at FRED, but none offers a daily PE adjusted for inflation or softened profits. I guess it’s a lot to ask for, but I’m surprised that with so much technology we still rely on monthly metrics to evaluate if the market is overrated.
Most people keep the value of the index and don’t wonder if what they’re buying is cheap or expensive. That’s the difference between investing in the long term and playing the lottery with shares. That’s why I’m interested in this kind of indicators. I don’t want to look at just Japanese candles, I want a more macro view of what point of the cycle we’re at.
No one has really created a screener with a PER ratio on indexes every day? I find it hard to believe it. And if it exists, I'm sure it's buried behind a very expensive premium subscription, like everything that's really worth it in this world.
I'm starting to build an Excel with daily historical data from the SP500 and calculating an estimated PER using the daily EPS reported by index companies. It's an artisanal job, yes, but at least it gives me a clear idea of how the valuation moves over time.
Some have told me that the PER daily does not work because the profits do not change every day. I understand, but the price does, and quite. That’s why a mobile average of the PER or a standard deviation from the historical average seems very useful to me to know if you’re buying expensive.
If there is someone who has a home formula or alternative to estimate whether an index is expensive or cheap on a daily basis, I would appreciate it if you shared it. Sometimes the value is in what is not published in Bloomberg or Reuters.
The most ironic thing is that for bonds you have a thousand tools in real time to know if the spread or curve is reversed, but for stocks we continue with monthly or weekly data. It seems that institutionals do not want retail to think in terms of valuation.
I am considering using the SP500-GDP ratio as a daily reference. Although GDP does not change on a daily basis, the index variation can give signs of overpurchase if it is fired above certain levels. Has anyone else used the buffet ratio in real time?
I have tried platforms like TradingView, but even there the historic EP is updated with weeks of delay. They focus a lot on technical analysis and little on fundamentals.
Perhaps the solution is to create a custom indicator that combines PER, P/B, and Yield, all in the same graph, with historical data to compare. It would be like a light for investors: green = cheap, red = expensive.
What most frustrates me is that many brokers offer thousands of useless indicators for scalping, but not one to assess the risk of buying an index in historical highs. As always, useful information is hidden behind the paywall.
I have been recommended the “CAPE ratio” but as I mentioned, it is monthly and it is very late. And the market does not wait. If there is a correction on the way, I will not find out with an Excel from 3 weeks ago.
Another path I'm exploring is to use the split yields of the indices as an indicator of overvaluation.When the yield is at historical minimums, usually the price is skyrocketing.
I am realizing that measuring the value of an index daily is like trying to measure the temperature of a volcano with a cooking thermometer. We need better tools, more adapted to the present.
I don’t want to predict crashes, just avoid buying at the top of the euphoria. And if I can have a tool that tells me “look out, this level hasn’t looked like it since 2007”, better.
For now all I do is compare the current PER (even if it is late)
The closest I've ever been to a real solution was a script that passed me a friend for Google Sheets, extracting data from Morningstar. It's not perfect, but at least it gives me a more current reference than waiting for monthly closure.
I want to think that I'm not the only one obsessed with this. It can't be that everyone is content buying indexes without looking at their intrinsic value.
If someone on the forum is programmer and interested in developing something like that with me, I would be delighted. I have the idea pretty clear, I just need someone who knows how to translate it into code.
Another option would be to set up a site where the “relative value” of the main indices is published daily using public data and simple formulas. Bloomberg does not have to be necessary to bring something useful to the market.
Some people told me “why do you want to know if it’s expensive, if it’s even higher?” That kind of mentality is what keeps you trapped for 10 years as in the Nasdaq of 2000.
I am convinced that if I had this kind of indicator in 2021, I would have greatly reduced my exposure before the fall of 2022. And I am not talking about selling everything, but being more selective with tickets.
Perhaps the indicator should not be technical or fundamental, but of feeling. When everyone buys without watching and TV talks about new maxims every day, it is probably expensive.
I am collecting PE ratios from the components of the SP500 and doing a weighted average. The result is not accurate, but it gives me a better idea of the whole than the official monthly data.
For me, all this is summed up in one idea: I don't want to be the last to turn off the light. And with a good daily indicator, at least I can get out before the rest.
I've been doing this for years and if anything I've learned is that when the market is very expensive, the falls are more violent. That's why I'm committed to building this indicator, even if I have to do it alone.
I imagine a dashboard where I can see the current PER compared to the average of the last 10 years, with colors according to their level of overvaluation. If that existed, I would happily pay for it.
Most platforms focus on the short term because it is what sells the most. But real investors look towards the long term and need different tools.
I would like to know if anyone has tried to use ratios like Tobin Q in real time. I know it’s more complicated to calculate, but if someone has tried, please count it. (Keep up with more answers in the same style until you reach 50
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