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  • Top 10 Payout Yield Stocks [View article]
    The problem with Seeking Alpha pulling content from a blog is that is is often taken out of context from what long time readers are aware of. To alleviate all of the confusion regarding my post, here is some history.

    Over a year and a half ago I profiled an academic paper by Boudoukh, Michaely, Richardson, and Roberts is titled, "On the Importance of Payout Yield".

    Dividends are only one way of returning capital to shareholders. Share repurchases are another such method (see MSFT), and since they are not taxed like dividends, it can be argued they are a more efficient way of returning profits. Buybacks represent about half of all shareholder payouts, and have increased steadily since the early 1980's. There is a structural reason for this, and is due primarily to the SEC instituting rule 10b-18 in 1982 - providing a safe harbor for firms conducting repurchases from stock manipulation charges. See Grullon and Michaely [2002] for more info on the impact of Rule 10b-18.

    The authors of the above paper examined the payout yield and net payout yield, whose formula is:

    Payout Yield = $ spent on dividends + $ spent on share repurchases
    (Net payout is simply subtracting the $ raised through new share issues to the above formula)

    The authors find that "the widely documented decline in the predictive power of dividends for excess stock returns is due largely to the omission of alternative channels by which firms distribute and receive cash from shareholdlers." Additionally, while dividend yield has lost its predictive ability over time, the payout yield has remained a robust indicator for excess stock return.

    About a year later I posted a review of another academic paper titled "Asset Growth and the Cross-Section of Stock Returns" by Schill, Gulen, and Cooper. This paper is even more encompassing. It basically says a decrease in total assets is good - things like dividends, buybacks, spinoffs, and paying down debt. Ominous signs for future stock performance - acquistions, share issuances, borrowing, and sitting on lots of cash.

    My article is only an update to these previous articles and hlighlights the terrible performance of two strategies that rely on dividend based screens.
    Jun 22, 2008. 07:52 PM | Likes Like |Link to Comment
  • Warren Buffett - Portfolio Holdings [View article]
    Seeking Alpha chopped up my post - you can view the full post on my blog which is more fluent.
    Feb 29, 2008. 10:54 AM | Likes Like |Link to Comment
  • Leading Hedge Funds' Best Ideas for 2008 [View article]
    Astute observation PAD. It sure seems like the value hedge funds are finding more "value" in growth stocks right now. . .I examined that property last May here:
    Feb 28, 2008. 01:55 PM | Likes Like |Link to Comment
  • Following Asset Class Returns [View article]
    The original post on my blog is more descriptive. SA picks and chooses what to post, which is a bit annoying.

    It is simply the stream of returns prior to the current year. So, if f at the beginning of 2008 the returns for 2005, 2006, and 2007 were 7%, -15%, -3% the heading would be + - -.
    Feb 24, 2008. 10:48 PM | Likes Like |Link to Comment
  • Warren Buffett's Stake in Rockies' Victory; Hedging The Series [View article]
    Now the bet is half of that at +700. :)
    Oct 27, 2007. 07:36 PM | Likes Like |Link to Comment
  • Replicate The Yale Endowment With These ETFs [View article]
    Thanks for all the comments. SA only posts some of my articles here, but there has been enough interest that I will post a monthly update on my blog World Beta (there is one today). For more info on the specifics of the timing model, please reference my paper "A Quantitative Approach to Tactical Asset Allocation."

    I listed more asset classes here because different people use various combinations in their portfolios. In my paper I only used 5. Subsequent research has shown that more asset classes can improved risk adjusted returns - again, buried in the archives on my blog.
    Oct 1, 2007. 10:49 AM | Likes Like |Link to Comment
  • An Endowment Portfolio From Publicly-Traded Vehicles [View article]
    If you have a broker that trades foreign like IB or ETrade.

    Jun 1, 2007. 06:26 PM | Likes Like |Link to Comment
  • An Endowment Portfolio From Publicly-Traded Vehicles [View article]
    Here it is since 1983, but only with the 5 asset classes mentioned:
    May 29, 2007. 02:44 PM | Likes Like |Link to Comment
  • An Endowment Portfolio From Publicly-Traded Vehicles [View article]
    Check out my post here:
    May 29, 2007. 02:43 PM | Likes Like |Link to Comment
  • Lazy ETF Portfolios Inspired By The Gurus [View article]
    Sorry, I am aware of the exact allocation, but to compare apples to apples (some of the time series dont go back to 1972), I had to lump some together. . .
    Feb 22, 2007. 12:21 PM | Likes Like |Link to Comment
  • Lazy ETF Portfolios Inspired By The Gurus [View article]
    Feb 22, 2007. 12:20 PM | Likes Like |Link to Comment
  • Real Estate Stocks Are Done - Really?!? [View article]
    Yah, I agree with your distinctions - I should have been more specific.

    AI should take those historical yields back to the 1970s, data is available for all of the indices with the exception of emerging markets. . .
    Feb 12, 2007. 01:17 PM | Likes Like |Link to Comment
  • Strategies in Tactical Asset Allocation [View article]
    Hmmm, so start each year with the Top3 asset classes but use the moving average during the year. . .interesting. . .will look into that.
    Feb 1, 2007. 08:58 PM | Likes Like |Link to Comment
  • So You Want To Invest Like Buffett? Here's An Easy Trick [View article]
    Yep, re-weighted every Q. . .We tested the Top 10 holdings - results were near identical but with less vol which is a bit counter intuitive. . .

    Tough to get data pre-2000 for lots of the funds. . .lemme know if you can find it!
    Feb 1, 2007. 08:57 PM | Likes Like |Link to Comment
  • Mean Reversion: When There Is Blood In the Streets, It's Time To Buy [View article]
    I have an article on this very subject :)

    Stay tuned - I'll publish it around the end of January. . .
    Jan 3, 2007. 05:09 PM | Likes Like |Link to Comment