Shareholder Yield

Any ideas how to calculate Shareholder Yield, given changes to the line item variables? Believe old syntax went something like this:

(ItemTTM(FCDP,0) - ItemTTM(FPSS,0))/MktCap

Appreciate help if anyone knows!

-MG

I’m interested in this too. Is it not this?

(((ShsOut(4, QTR) - ShsOut(0, QTR)) / ShsOut(4, QTR))*100) + Yield

I think it will be this with the new functions:

(IsNA(DivPaid(0, TTM), 0) - IsNA(ChangeEq(0, TTM), 0)) / MktCap

It doesn’t backtest well though, on its own at least.

Al

I also was stopped from using the Oshaughnessy sim/port with the new DB changeover and coincident changes in line items.

However, I found the solution, generously posted by P123’s fantastic staff asset, Marc Gerstein. Marc ‘wrote the book’ on stock selection in his excellent reads, “Screening the Market” and “The Value Connection” - both available on Amazon# He also has some very fascinating and valuable insights in his blog posts in P123’s BLOG section.

In this July 23, 2012 Community Post , Marc answered this issue:

Here’s the old formula . . .
(ItemTTM(FCDP,0) - ItemTTM(FPSS,0))/MktCap

Here’s the new formula . . .
(DivPaid(0,ann)+( EqPurch(0,ann)-EqIssued(0,ann)))/mktcap

I hope Marc stays with P123 for a long time to come, he’s an incredible asset to provide his valuable insights to members.

Chris

Somehow Cheyenne’s link and formulas had some of the punchuations transposed to #.

Here is the correct link and formulas:

http://www.portfolio123.com/mvnforum/viewthread?thread=5458#25665

Old formula: (ItemTTM(FCDP,0) - ItemTTM(FPSS,0))/MktCap

New formula: (DivPaid(0,ann)+( EqPurch(0,ann)-EqIssued(0,ann)))/mktcap

Denny :sunglasses:

Thanks Denny,

I didn’t realize that happened. I guess I was sloppy in not reviewing the formula text carefully before hitting ‘post.’ Strange - I’ve never seen that happen before with simple copy-and-paste.

I have edited the post with the proper message link and formulas, courtesy of Marc Gerstien. Credit should also be given to Dan Parquette for creating the original OShaughnessy sim on P123.

Chris

I think this would roughly be the formula that Meb Faber recommends in his eBook shareholder yield which includes debt pay down.

(DivPaid(0,ann)+DbtTotPYQ-DbtTotQ+( EqPurch(0,ann)-EqIssued(0,ann)))/mktcap

Here is an AAII member Al Z. Explaining the back test. Seems to work well with consumer staples as well as S&P500 big caps.

Hi Scottlu,

imagine what what a stock split or a reverse split would do with your formula
(((ShsOut(4, QTR) - ShsOut(0, QTR)) / ShsOut(4, QTR))*100) + Yield

Eventhough a split does not have any impact on shareholder yield, it would change the result of your formula

On the other side this formula

(DivPaid(0,ann)+( EqPurch(0,ann)-EqIssued(0,ann)))/mktcap

even though it is well documented, is also not satisfying.

The formula does not take into account how many shares have been issued or repurchased. Only indirectly via the fluctuating share price, which fluctuates substantially during one year.

It makes a huge difference if 100 share or 1 Million share were issued. The higher the number of shares issued, the bigger the dilution, the less of the company you as a shareholder own. The same for share repurchases.

Hey,

Motivated by a recent blog post (here: The Dividend Growth Myth - Meb Faber Research - Stock Market and Investing Blog ), I want to test Shareholder Yield to verify the author’s post.

But it seems as if there is no equivalent of indicated annual dividend yield for share repurchase? The discussion on this thread seems to focus on rules that look back at how many shares have been repurchased.

I’m guessing there is no (Compustat) variable indicating how much the company intends to purchase in the future?

Thanks.

I don’t believe so. I settled on using ((100*(((EqPurchTTM - EqIssuedTTM))/MktCap)) + Yield) as my implementation.

Just a quick note on the whole idea of shareholder yield. I’ve created and tested some things along these lines and have seen, as probably have many of you, that there is something to it.

Note, though, the change in the interest-rate regime. If rates start rising, stay aware of the fact that this factor may stop working, or possibly even turn around and become a negative. The Street’s favorable view of buybacks is related, at least in part, to the fact that debt capital has been so much cheaper and getting cheaper year after year.

There’s no urgent need to get away from shareholder yield right now. The cost of debt is still very low and is trending sideways rather than up.

But if you are using a model that uses this, you might want to set a calendar alert for, say, every six months, to refresh your view on interest rates and if necessary, revisit the model.

[quote]
Hey,

Motivated by a recent blog post (here: The Dividend Growth Myth - Meb Faber Research - Stock Market and Investing Blog ), I want to test Shareholder Yield to verify the author’s post.

But it seems as if there is no equivalent of indicated annual dividend yield for share repurchase? The discussion on this thread seems to focus on rules that look back at how many shares have been repurchased.

I’m guessing there is no (Compustat) variable indicating how much the company intends to purchase in the future?

Thanks.
[/quote]Did you mean how much they have authorized to purchase?

Many times the authorization is a bluff, to make it look like they are repurchasing shares just to satisfy pressure from stockholders. Sometimes it’s for real. How would Compustat even try to go about quantifying that?

<< Many times the authorization is a bluff, to make it look like they are repurchasing shares just to satisfy pressure from stockholders. >>

Thanks - I guess I was being naive.

I have looked at shareholder yield in the past and it has some mild utility for very large established companies. I also posted in another thread about how SHYield has changed dramatically from mostly dividends to mostly buybacks for the S&P 500. To Marc’s point, we don’t know the effect of interest rates because it has only really happened since 1982, and some companies have issued debt to buy shares because of low rates, and that will end in the near future.

Maybe we need to develop a SHYield payout ratio and look at that. It will focus on those companies buying back shares with actual cash flow. If I have some time over the weekend, then maybe I will do a little testing.

Or you can use this instead, which is what I use:

(DivPaidTTM + EqPurchTTM - EqIssuedTTM + DbtLTReducedTTM - DbtLTIssuedTTM) / (Price * SharesFDQ)

Now you’re covered no matter what the interest rate is.

Yuval, is this still the best way to calculate shareholder yield?

The easiest way these days is to use the factor ShareholderYield.

That would make sense, however, Yuval’s formula works better in the quick 5 year test I just did.