29 'Overdue' Dividend Increases: Streaks In Jeopardy [View article]
Oops, I should have read further down the comment thread. Yes, there is a time mismatch. The denominator (total Challengers) needs to count all Challengers for each year, and the numerator should be the number of cuts/freezes for each of those years.
It looks like the Changes tab in the CCC has cut/freeze data for the last 4 years. We should be able to back into the total by looking at the number of Contenders (10-13) and the change between each of those years. (e.g. Count current 5-9 yr stocks, then 6-10's, then 7-11's, etc). Someday if I have some time, I'd be happy to explore this, but it won't be any time soon. :-(
I like what you're trying to do, but the probabilities seem to high. Can you walk through how you are getting your total (denominator) again? If you are taking all of the dividend cutters (Challengers, 5-9 yrs) from David's list, then dividing by the total number of Challengers + the cutters (since they were dropped), there is a mismatch. The total cutters span a range of time (see deleted date), whereas the denominator total is a snapshot in time (this year's Challengers). To get the true probability, we should examine each year's data (2008 cutters / 2008 challengers, etc) and then sum them up.
From my prior research, excluding finances, on average only about 2% of DG stocks cut their dividend in a given year, and around 10% froze it. Factor in 2008-2010 and financials, and these will be a little higher, but again, this is an average over 10+ years of time.
Timing issue aside, I'm not totally surprised to see higher rates for Champions vs Challengers. Looking at the Challengers, the yields and payout ratios are often lower than for more mature companies (exclude REITs/MLPs), so they aren't in as much danger. There are also fewer Champions (survivor bias), so when one of them freezes or cuts, that equates to a larger percentage of the group. Note in your graph there are lots more freezes than cuts in the younger groups, but that still results in removal from the CCC, so they never make it to Champions.
Anyway, good stuff. Please check on the counting method, as I think that would make the results more accurate, unless I misinterpreted what you wrote.
A Low Beta, High Dividend Growth Rate Portfolio With 3.4% Yield And 20% DGR [View article]
I did have the Sharpe ratio previously, but shifted to the M2 because it makes it easier to compare against the S&P and it works better for negative returns (easier to understand). I do show the period return, std dev, and assumed risk-free rate, so you can figure out the Sharpe with those numbers. (return - risk_free) / std dev.
A Low Beta, High Dividend Growth Rate Portfolio With 3.4% Yield And 20% DGR [View article]
Thanks, investor987. I like the methodology of this model too..thinking about shifting more of my funds toward this model than my others. It has performed quite well for the first 2-3 months. I'll report on that at the end of this month.
How To Calculate Volatility-Adjusted Portfolio Metrics To Assess Relative Performance [View article]
Good catch…I copied the Excel table from another workbook and didn't reset the links. It is only showing the total return from the June 2 cell to July 27 (2 months), not from April 27. The descriptions of the formulas are all correct, but the values are off. Guess this is one of those "do what I said, not what I did" cases…sorry about that!
Has Dividend Growth Gone Out Of Favor? [View article]
Thanks, Bloodhound. Now this has me curious, as it seems counter to other research saying DGR rate (higher) led to better results. Of course, compared to lower DGR, this may be true; they didn't slice the stocks by amount of divs. For your test, how many stocks did you include in the portfolio (top 50?) ? Would you mind posting on your blog a list of the holdings for each of the last 5 years? I'm curious to see what industries they were from. I noticed you required a market cap of $300MM, so that took out many of the small caps (I do the same thing for my Income/Growth model). I'm guessing banks were raising their divs more in 2008, so likely excludes many of them (lower on your ranking scale). Thanks again!
Has Dividend Growth Gone Out Of Favor? [View article]
Thanks, Bloodhound. Yes, I meant by percentage change, since a 10-cent per share increase might rank low on your list, but it could be a high div growth rate depending on the current dividend. You can either calculate the total %chg (as in your example) or the compound annual growth rate in the dividend. The results should be the same in terms of any patterns. The research I've seen suggests that the stocks with the higher DGR should have higher returns. Your example showed lower dividend $ growth amounts had higher performance. Curious to see if that pattern changes when using DGR. Thanks!
Has Dividend Growth Gone Out Of Favor? [View article]
FYI, Devlin - I have several DG strategy portfolios, and will be updating the Income-Growth model next month, so that might provide some stocks of interest for you. As for this article, I like the analysis of different metrics vs performance. I've read other research more recently that found dividend growth rate to be the main driver of total return, which seems to conflict with these results, since it ranked the dollar change from low to high (not high to low), though that doesn't necessarily reflect on the percentage change. Can you rerun the strategy on a percentage basis and see if it makes any difference? Also, is that total dollar change in divs paid, or in divs per share?
The Role Of BP's Dividend In Preserving Your Wealth Over The Medium Term [View article]
I think you were doing fine up until that last paragraph…since dividends are in a separate "bucket" from capital gains, we can think of them as helping to reduce the impact of price declines. However, if we go the route of looking at total return, then there are bigger questions to ask about BP. Looking at a 10-yr (or longer) chart, BP has consistently underperformed XOM and CVX in total return, even before Deepwater incident. It has a higher dividend (except when it stopped paying it), and maybe there's a reason for that…investors might not be very interested in it without that. Not owning it now (I sold right when the incident occurred), I don't follow BP, but I'd like to know why they always underperform. Does the market have this wrong, or is management subpar? Sure, we can collect the dividend, for if you're interested in total return, unless something has changed (i.e. mgmt or opportunity), I'd look elsewhere.
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
Martin, if you look at the other stocks, most have lower betas, so if there is a relationship, it probably has more to do with the industry, though there is variation there too. I would chalk it up to firm-specific traits. If I ever have time to throw the CCC data into an analysis tool, it would be fun to make charts plotting beta vs DGR or EPS Growth, etc. to look for relationships. Really need some total return numbers though to see if any metrics led to better performance.
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
That's what I see too, so Pistachio, can you cite an article/news source for your dividend number? Yahoo lists it as $2.53 paid this month. However, I do see where on the summary page, Yahoo lists it at $1.64. That's rather inconsistent. Pistachio, do you actually own NVS? I don't, so I can't confirm what was actually paid (vs what Yahoo says). Is it displaying the amount AFTER foreign tax withholdings? Switzerland has a 35% withholding, and $1.64/$2.53 happens to be 65%. Looks suspicious to me...
A Portfolio For A Young, Aggressive Investor [View article]
Well said, Chowder. While cleaning out an old file, I found a handwritten list of my stock transactions from 1991 (I was 21). If I have time to reflect more on it and write an article, I will, but suffice it to say, "Oh my, what junk I owned…" Out of the maybe 15 stocks listed, only 4-5 are still around today, and a few (like Citigroup) have really suffered. The only saving grace was the last one listed was MCD…of course, I didn't hold on to it for the last 19 years.
29 'Overdue' Dividend Increases: Streaks In Jeopardy [View article]
It looks like the Changes tab in the CCC has cut/freeze data for the last 4 years. We should be able to back into the total by looking at the number of Contenders (10-13) and the change between each of those years. (e.g. Count current 5-9 yr stocks, then 6-10's, then 7-11's, etc). Someday if I have some time, I'd be happy to explore this, but it won't be any time soon. :-(
29 'Overdue' Dividend Increases: Streaks In Jeopardy [View article]
I like what you're trying to do, but the probabilities seem to high. Can you walk through how you are getting your total (denominator) again? If you are taking all of the dividend cutters (Challengers, 5-9 yrs) from David's list, then dividing by the total number of Challengers + the cutters (since they were dropped), there is a mismatch. The total cutters span a range of time (see deleted date), whereas the denominator total is a snapshot in time (this year's Challengers). To get the true probability, we should examine each year's data (2008 cutters / 2008 challengers, etc) and then sum them up.
From my prior research, excluding finances, on average only about 2% of DG stocks cut their dividend in a given year, and around 10% froze it. Factor in 2008-2010 and financials, and these will be a little higher, but again, this is an average over 10+ years of time.
Timing issue aside, I'm not totally surprised to see higher rates for Champions vs Challengers. Looking at the Challengers, the yields and payout ratios are often lower than for more mature companies (exclude REITs/MLPs), so they aren't in as much danger. There are also fewer Champions (survivor bias), so when one of them freezes or cuts, that equates to a larger percentage of the group. Note in your graph there are lots more freezes than cuts in the younger groups, but that still results in removal from the CCC, so they never make it to Champions.
Anyway, good stuff. Please check on the counting method, as I think that would make the results more accurate, unless I misinterpreted what you wrote.
A Low Beta, High Dividend Growth Rate Portfolio With 3.4% Yield And 20% DGR [View article]
A Low Beta, High Dividend Growth Rate Portfolio With 3.4% Yield And 20% DGR [View article]
How To Calculate Volatility-Adjusted Portfolio Metrics To Assess Relative Performance [View article]
Has Dividend Growth Gone Out Of Favor? [View article]
Has Dividend Growth Gone Out Of Favor? [View article]
Has Dividend Growth Gone Out Of Favor? [View article]
The Role Of BP's Dividend In Preserving Your Wealth Over The Medium Term [View article]
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
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A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
A High-Yield, Low-Payout Dividend Growth Model Portfolio For 2013 [View article]
A Portfolio For A Young, Aggressive Investor [View article]