As was noted on other threads in the forum there was a recent change to the Yield calculation for ADRs. This effected one of my strategies fairly significantly, so I decided to investigate the ADR Yield calculation within P123. I focused on the numerator Indicated Annual Divided (IAD), which is a forward looking factor which is calculated as the Most Recent Quarter’s Divided * Number of Dividends Per Year (excludes special dividends). In order to analyze how P123 is handling Yield betweent ADRs and Regular US Stocks I downloaded the historical divided data from Fidelity for a handful of large ADR and non-ADR stocks.
Non-ADRs - CAG, BBY, ABBV, XOM
ADRs - RIO, BP, RDS, SSL
Using a simple algorithm I calculate what the IAD should be over time for each of these stocks based on the Fidelity data and charted it against the number reported by P123. In the first attached image below you will see that for Non-ADRs the Fidelity and P123 numbers match almost exactly. However, in the next image you will see that for ADRs that the match between Fidelity and P123 numbers is quite inconsistent. Hopefully some one at P123 can have a look at this, because I find it to be troubling. Some (all?) of the differences are I expect due to the recent changes. Note for example, how P123’s IAD fails to fall when BP and RDS cut their dividend in 2020. Based on the description of the recent ADR Yield calculation change, I am suspicious that change is the source of the problem. As you might imagine, keeping the IAD high when it should be cut… could lead to some extremely high erroneous Yield numbers. I am sure there are all kinds of complexities in attempting to calculate the ADR Yields, but the current method seems like it might have some holes.
Would appreciate someone taking a look at this issue.
Best Regards,
Daniel