The table below shows the historical P/E (TTM), CAPE ratio, total return & dividend yield of Canada’s S&P/TSX Composite index. The current P/E ratio of TSX Composite is 18.63 and CAPE ratio is 23.69 (6/30/2019).
For comprehensive data, check the Global Valuations datasets by Siblis Research.
[S&P/TSX Composite] – P/E, CAPE, Yield & Total Return
To examine the global CAPE ratios for the past 20+ years, purchase the Global Valuations Database by Siblis Research that provides Shiller PE ratios of 22 nations (for Canada/TSX since 1983), including Dividend Yields and Total Market Cap to GNI ratios of 28 countries. Check a sample dataset from here.
Need data of the individual Canadian companies? Purchase the Global 10,000 Fundamentals dataset by Siblis Research that provides key fundamental financial data of the 10,000 largest public companies in the world. The fundamental data includes annual revenues, earnings, free cash flows, total assets, total liabilities, book values and market caps. Data is available at least for the last 10 years for all the companies, reaching back to the year 1999 for the largest companies. Check a sample dataset from here.
How the index total return is calculated?
Most stock indexes are so called price indexes that only consider share price movements. But in order to track the total return that an investor is generating, also all the dividends and other distributions need to be taken account. On the long term, dividends can provide a sizable share of the profits generated from stock market.
Rate of Return (single period) = (Initial Value + Price Return + Dividend) / Initial Value
When calculating returns for a longer period, it is important to consider whether dividends/distributions are reinvested or not. If all the distributions are invested back to the index, the effect of compounding needs to be taken account. In the long term, compound interest can make all the difference.
The annual total return calculated by Siblis Research assumes that the dividends received during a certain year are taken in cash and not immediately reinvested. During the period of one year the effect is trivial but if you are calculating long-term returns, please be sure to familiarize yourself with CAGR calculation method.
Index dividend yield
The dividend yield of TSX calculated by Siblis Research is the weighted average trailing 12-month dividend yield of all the companies part of TSX Composite Index. The weight of the dividend is based on the company’s weight in the index. The individual dividend yield of a company is calculated by dividing all the dividends that the company has paid during the last twelwe months with the current share price.
TSX Composite index / Net Total Return Index
S&P/TSX Composite Index is the most followed equity index of Toronto Stock Exchange. It consist of 235 constitutes with combined adjusted market cap of C$1.679 trillion (April 2016). The index is maintained by S&P Dow Jones Indices.
In addition to the common TSX Composite, S&P is also tracking Net Total Return version of the index. The Net TR version takes account the share price changes of the components and also all the dividends and distributions paid by the companies. The withholding tax that investors need to pay for the dividends is deducted when index value is calculated. The total return calculated by Siblis Reserch does not consider the withholding tax.
Toronto Stock Exchange (TSX)
Toronto Stock Exchange is the main stock exchange of Canada and the eight largest stock exchange in the world. The exchange is owned by the TMX Group that also operates TSX Venture Exchange, a market for emerging companies. TSX is characterized by a large number of mining and energy companies, a sign of the vast natural resource of Canada.
Historical returns of Canadian Stock Market
The end of 2015 was dark time for stock markets around the world. The annual total return of Canadian stock market dipped to negative territory in June 2015. The long equity rally that started during 2012 is long over and markets are likely to remain volatile.
The current dividend yield of Canadian stocks is high compared to the average annual yield. Between 2000 and 2015, the average yield has been 2.39%.