Last week, when the S&P 500 closed over the 2,000 mark for the first time, I wrote that the US large cap stocks are on the expensive side, especially if you use one of my preferred metrics, the Shiller PE ratio (a refresher on the Shiller PE ratio can be found here).

Over the weekend, I received an email alert from a research firm that I respected and it ranked each country, developed and emerging, by their Shiller PE ratio – cheapest to most expensive.

Of the 43 countries that they track, the US isn’t the most expensive – Denmark, Indonesia and the Philippines are even pricier.

We actually have exposure to all three of those countries – Denmark is 1.4 percent of the developed benchmark that we track and the combined exposure to Indonesia and the Philippines are 4.4 percent of the emerging markets holdings.

Obviously, those are pretty small exposures, which is actually a good sign – the bulk of our non-US exposures must be cheaper than our US holdings.

A German firm, Star Capital, publishes a list of Shiller PE ratios here, although the Shiller PE is referred to as the CAPE on this site, which stands for the actual name of the ratio, the Cyclically Adjusted PE ratio.

To get a sense of the relative cheapness of our developed markets exposure compared to our US holdings, I took the current country weights of our primary developed market benchmark and applied the single country Shiller PE ratio to that weight.

My calculations suggest that the Shiller PE ratio for the developed markets benchmark is ~17.5, well below the ~26.5 level for the S&P 500. It’s not a perfect comparison, but it gives the right idea – developed markets outside the US are much cheaper than our own.

That shouldn’t be a terrible surprise since the outlook for the Japanese and European economies are riskier than ours, which is really saying something. Given the higher risk, investors aren’t willing to pay as much, making them relatively cheaper.

Right now, US markets have the momentum, but developed markets are a good relative value.