Dividendos y Value

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Dalamar
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Dividendos y Value

Mensajepor Dalamar » 20 Jun 2015 20:31

We sort the high dividend-paying firms by a simple value investing measure–EBIT/TEV. We choose this value investing measure based on our own research discussed here.

First, let’s set up the experiment.

We examine all firms above the NYSE 40th percentile for market-cap (currently around $1.8 billion) to avoid weird empirical effects associated with micro/small cap stocks. We form the portfolios at a annual frequency with the following 2 variables:

Dividend Yield = Cash dividends / market capitalization. Assessed on 6/30 each year.
Value = EBIT/(Total Enterprise Value). Assessed on 6/30 each year.
Here we describe the four portfolios we examine. All portfolios are annually rebalanced on 6/30 each year.

Top Div. Quintile, High Value EW = Top quintile of firms on dividend yield, then choosing the top half on Value. Portfolio is equal-weighted.
Top Div. Quintile, Low Value EW = Top quintile of firms on dividend yield, then choosing the bottom half on Value. Portfolio is equal-weighted.
Top Div. Quintile EW = Top quintile of firms on dividend yield. Portfolio is equal-weighted.
Universe EW = Total return on the universe of securities. Portfolio is equal-weighted.
Results are gross of management fees and transaction costs. All returns are total returns and include the reinvestment of distributions (e.g., dividends).

Here are the returns (1/1/1964-12/31/2014): (attached)

Value Investing Portfolio Results:

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Takeaways:

The top quintile of dividend paying firms outperformed the universe over the past 50 years when comparing CAGR, Sharpe and Sortino ratios (comparing column 3 to column 4)
Splitting high dividend-paying firms by value worked historically. Column 1 (top dividend payers, high value) outperformed column 2 (top dividend payers, low value) across all performance measures — CAGR, Sharpe and Sortino ratios.
Summary

The results suggest that a sort on a simple value investing measure works well at sorting dividend stocks.
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wenomeno
Especulador Novato
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Registrado: 10 Oct 2012 15:32

Re: Dividendos y Value

Mensajepor wenomeno » 11 Nov 2015 00:14

One more study about quantitative value. I think that these kind of methods will work on the long run. Anyway, to make a portfolio with 60% of NYSE is rather impractical. I don´t know till what extent it´s relevant, but realized that most of value methods get a CAGR around 15% beating the indexes by 3%-5% depending on the period.

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Dalamar
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Re: Dividendos y Value

Mensajepor Dalamar » 13 Nov 2015 07:15

Si, la idea es automatizar algunos de estos metodos e ir siguiendolos mes a mes para ver si siguen batiendo el indice asi.. si yo consiguiese un 15% de forma constante es decir mediante 5-6 metodos diversificados que cada uno de de media eso, me retiraba ya mismo! ;-)
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Vigilantexx
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Registrado: 24 Jul 2012 00:26

Re: Dividendos y Value

Mensajepor Vigilantexx » 14 Nov 2015 11:12

Bates al índice pero si el índice baja no es gran consuelo
La pócima mágica consiste en evitar los drawdowns grandes que te lastran por años


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