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5 years ago

General discussions about equity high-yield income strategies
tjh290633
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Re: 5 years ago

#423282

Postby tjh290633 » June 28th, 2021, 11:29 pm

MDW1954 wrote:
tjh290633 wrote:Just one comment, the negative result in the first year shown is the result of lag in dividends, because of investing late in the financial year. Otherwise it reflects what happened in the market over the years.

TJH


Happy to delete that first observation, Terry. Whatever shows the cleanest narrative thread...

Malcolm

No need.

TJH

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Re: 5 years ago

#423288

Postby 1nvest » June 29th, 2021, 1:05 am

tjh290633 wrote:
TUK020 wrote:Malcolm,
this leads to the opportunity to infer more meaning than the data warrants.
Terry's figures are nominal (he accounts for inflation comparison by tracking the total RPI factor for the period).
However, the rate of inflation has varied considerably over this period, and this means that the shape of the cart could be very misleading
tuk020

Here is a direct comparison between the dividend per unit and the RPI, both rebased to the same starting value:

.            Ordinary    Rebased     RPI    
Year to Divs/unit Divs/unit Rebased
05-Apr-88 2.86 100.00 100.00
05-Apr-89 2.72 94.81 112.28
05-Apr-90 4.24 147.94 122.89
05-Apr-91 5.42 189.25 130.75
05-Apr-92 7.52 262.34 136.35
05-Apr-93 6.91 241.32 138.11
05-Apr-94 6.27 218.85 141.65
05-Apr-95 7.48 261.07 146.37
05-Apr-96 7.38 257.48 149.90
05-Apr-97 8.40 293.36 153.54
05-Apr-98 8.88 310.04 159.72
05-Apr-99 8.46 295.34 162.28
05-Apr-00 11.33 395.51 167.09
05-Apr-01 11.73 409.64 170.04
05-Apr-02 13.02 454.50 172.59
05-Apr-03 12.10 422.26 178.00
05-Apr-04 11.62 405.63 182.42
05-Apr-05 12.07 421.42 188.21
05-Apr-06 13.12 458.13 193.03
05-Apr-07 14.04 490.19 201.77
05-Apr-08 24.32 849.07 210.22
05-Apr-09 21.17 739.15 207.76
05-Apr-10 11.06 386.20 218.86
05-Apr-11 16.71 583.44 230.26
05-Apr-12 17.46 609.34 238.21
05-Apr-13 19.91 694.93 245.09
05-Apr-14 20.47 714.45 250.29
05-Apr-15 21.33 744.60 253.44
05-Apr-16 21.67 756.58 256.78
05-Apr-17 24.93 870.11 265.82
05-Apr-18 29.23 1,020.51 274.75
05-Apr-19 29.25 1,020.97 283.10
05-Apr-20 31.57 1,102.06 284.38
05-Apr-21 19.15 668.60 295.78

As you can see, dividends have been well ahead of inflation except for that second year, when timing of dividends received was a little awry.

TJH

I prefer real values.

Image

To me it looks like your real dividend value (actual income adjusted for inflation) spiked in 2007, fell back by over half in 2009 and remained below that prior peak for 9 to 10 years when another peak occurred in 2018 but subsequently fell back down again by approaching half at the Covid lows. Median real dividend yield of 5.4% over those years whilst portfolio value increased at around 3.5% annualised compared to 3% annualised inflation.

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Re: 5 years ago

#423293

Postby Itsallaguess » June 29th, 2021, 6:35 am

MDW1954 wrote:
Given the interest in these charts, and the ongoing debate/ discussion, I thought I'd post one more.

I found the percentage change take on things to be quite instructive.

https://i.imgur.com/tsqyGgr.png

My take (but feel free to chip in):

* Double-digit reversals in income are rare
* Reversals in income are infrequent, and relatively minor
* Most reversals in income are a single-digit affair


I'd have expanded on your first point and would perhaps state -

* Double-digit reversals in HYP income are rare, but often very damaging..

The other big caveat for me is the one we've discussed earlier - Terry's carried out some often quite 'invasive' emergency surgery following these types of market-routs, which throws a large spanner in the works in terms of being able to use these types of charts to gain any real sense of 'predictability' in terms of income-recovery etc...

I would really love to see similar charts over the same time periods for both the ArbIT portfolio and Luni's income-related baskets, although I appreciate that the data might not be as readily available - but my point there would be to say that those charts would then, to a large degree, remove those manual-portfolio-surgery processes and perhaps start to introduce a greater level of 'non-involved-income-recovery' visibility into those particular IT-based approaches...

Great work Malcolm, and providing lots to chew on...

Cheers,

Itsallaguess

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Re: 5 years ago

#423383

Postby tjh290633 » June 29th, 2021, 10:45 am

1nvest wrote:I prefer real values.

To me it looks like your real dividend value (actual income adjusted for inflation) spiked in 2007, fell back by over half in 2009 and remained below that prior peak for 9 to 10 years when another peak occurred in 2018 but subsequently fell back down again by approaching half at the Covid lows. Median real dividend yield of 5.4% over those years whilst portfolio value increased at around 3.5% annualised compared to 3% annualised inflation.

Your choice. Here is my version of that data:

.            Ordinary    Rebased     RPI       Change      Change                     
Year to Divs/unit Divs/unit Rebased Divs/unit RPI FTSE100 Divs/RPI
05-Apr-88 2.86 100.00 100.00 100.0%
05-Apr-89 2.72 94.81 112.28 -5.19% 12.28% -4.82% 84.4%
05-Apr-90 4.24 147.94 122.89 56.05% 9.45% 11.73% 120.4%
05-Apr-91 5.42 189.25 130.75 27.92% 6.39% 7.78% 144.7%
05-Apr-92 7.52 262.34 136.35 38.62% 4.28% 10.31% 192.4%
05-Apr-93 6.91 241.32 138.11 -8.01% 1.30% -0.68% 174.7%
05-Apr-94 6.27 218.85 141.65 -9.31% 2.56% 16.51% 154.5%
05-Apr-95 7.48 261.07 146.37 19.29% 3.33% 12.84% 178.4%
05-Apr-96 7.38 257.48 149.90 -1.38% 2.42% -2.01% 171.8%
05-Apr-97 8.40 293.36 153.54 13.93% 2.42% 17.32% 191.1%
05-Apr-98 8.88 310.04 159.72 5.69% 4.03% 16.57% 194.1%
05-Apr-99 8.46 295.34 162.28 -4.74% 1.60% 37.71% 182.0%
05-Apr-00 11.33 395.51 167.09 33.92% 2.97% 5.47% 236.7%
05-Apr-01 11.73 409.64 170.04 3.57% 1.76% 4.41% 240.9%
05-Apr-02 13.02 454.50 172.59 10.95% 1.50% -13.86% 263.3%
05-Apr-03 12.10 422.26 178.00 -7.09% 3.13% -6.79% 237.2%
05-Apr-04 11.62 405.63 182.42 -3.94% 2.48% -31.17% 222.4%
05-Apr-05 12.07 421.42 188.21 3.89% 3.18% 21.34% 223.9%
05-Apr-06 13.12 458.13 193.03 8.71% 2.56% 11.60% 237.3%
05-Apr-07 14.04 490.19 201.77 7.00% 4.53% 21.87% 242.9%
05-Apr-08 24.32 849.07 210.22 73.21% 4.19% 5.76% 403.9%
05-Apr-09 21.17 739.15 207.76 -12.95% -1.17% -9.61% 355.8%
05-Apr-10 11.06 386.20 218.86 -47.75% 5.34% -31.15% 176.5%
05-Apr-11 16.71 583.44 230.26 51.07% 5.21% 44.66% 253.4%
05-Apr-12 17.46 609.34 238.21 4.44% 3.46% 4.03% 255.8%
05-Apr-13 19.91 694.93 245.09 14.05% 2.89% -3.13% 283.5%
05-Apr-14 20.47 714.45 250.29 2.81% 2.12% 9.19% 285.4%
05-Apr-15 21.33 744.60 253.44 4.22% 1.26% 5.58% 293.8%
05-Apr-16 21.67 756.58 256.78 1.61% 1.32% 2.65% 294.6%
05-Apr-17 24.93 870.11 265.82 15.00% 3.52% -8.83% 327.3%
05-Apr-18 29.23 1,020.51 274.75 17.29% 3.36% 18.59% 371.4%
05-Apr-19 29.25 1,020.97 283.10 0.04% 3.04% -3.64% 360.6%
05-Apr-20 31.57 1,102.06 284.38 7.94% 0.45% 5.53% 387.5%
05-Apr-21 19.15 668.60 295.78 -39.33% 4.01% -23.83% 226.0%

The final column shows the dividend as a percentage of the RPI when both start at the same rebased value. The peak is in 2008, and more recently in 2017. As long as it is comfortably ahead of the RPI, I am not concerned, but low points like 2010 and the past year are always a potential worry. Hence the "invasive emergency surgery" referred to in
Itsallaguess wrote:Terry's carried out some often quite 'invasive' emergency surgery following these types of market-routs,
which was needed earlier, but not so far this time round.

TJH

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Re: 5 years ago

#423390

Postby Gengulphus » June 29th, 2021, 10:54 am

MDW1954 wrote:Image

MDW1954 wrote:Given the interest in these charts, and the ongoing debate/ discussion, I thought I'd post one more. I found the percentage change take on things to be quite instructive. (I have another version, ranked, that I can post on request.)

My take (but feel free to chip in):

* Double-digit reversals in income are rare
* Reversals in income are infrequent, and relatively minor
* Most reversals in income are a single-digit affair

Am I missing anything?

(quoting the two halves of MDW1954's post out of order to put the text I'm responding to reasonably close to the response)

Firstly, surely the first and last of those are basically the same observation, just looked at from two different angles?

Secondly, if a period of significant dividend cuts typically lasts for say 6 months to a year (which accords with my experience since the turn of the century, which is roughly when I started to pay proper attention to the dividend income they produced), then quite a lot is going to depend on when that period started and ended. For example, if a year-long period of significant dividend cuts starts in April and ends in March the following year, it's going to produce a big percentage drop in a single tax year; if a similar period starts in October and ends in September the following year, it's going to produce two roughly half-sized percentage drops in each of two consecutive tax years. If the overall income drop is say 15%, that's likely to make a difference between one double-digit drop and two single-digit drops. I.e. the split you're seeing between double- and single-digit year-on-year drops may well be rather randomly influenced by just when the drop started relative to the starts and ends of the year-long periods you're looking at.

I'd be fairly certain that at least the consecutive drops by 6.3% and 4.7% in the tax years ending in 2003 and 2004 are essentially due to just one period of moderately significant dividend cuts. I was paying a great deal of attention to dividend income levels towards the end of 2002 and for several months afterwards, as I was somewhat tentatively and experimentally running two different yield-based strategies at the time (one HYP and the other a Value strategy that aimed to hold shares for a few months to a few years and make most of its returns from capital gains, using dividend yield as its major value indicator) - it was that period that convinced me that the Value strategy was both much more work and much more volatile than I wanted, and caused me to start running HYP as a major strategy. So I strongly suspect that those two drops are basically a 10.7% drop (-6.3% and -4.7% compounded) that happens to have been split between the two tax years, and so are really one double-digit drop rather than two single-digit drops.

I don't have any similar memories of the 1993/1994 period, but the consecutive drops by 7.1% and 3.8% in those tax years might well similarly be a 10.6% drop that happens to have been split between the two tax years, and so again really be one double-digit drop rather than two single-digit drops.

If this interpretation is right, then the chart shows:

* Single-digit drops in 1996 and 2019;

* Double-digit drops in 1993/1994, 2003/2004, 2010 and 2021 (and 1989, but ignore that, since tjh292633 has said that it's due to his investment timing and doesn't reflect what was happening on the market);

and that would indicate that while income drops are indeed fairly rare (and indeed rarer than the chart indicates at 6 in 32 years rather than 8 in 32), when they do happen they're more likely to be double-digit drops than single-digit drops.

No guarantee that this interpretation is right, of course - as I say above, I've no memory of what was going on with dividends in 1993/1994, and even my memory of what was happening to them in 2003/2004 could be dismissed as anecdotal evidence and possibly influenced by the passage of many years. And even if it is right, 4 out of 6 observations going one way is very poor statistical evidence that things going that way is more likely (e.g. if you toss 6 fair coins, the chance of getting a 3:3 heads:tails split is 31.25%, while the chance of getting a 2:4 or 4:2 split is 46.875% - that's not a good basis for any sort of idea that a 2:4 or 4:2 split indicates unfair coins are being used!).

So my take on these figures is:

* Reversals in income are fairly infrequent, maybe happening about once every 5 years on average.

* When an income reversal does happen, it can be anything from pretty minor (a few percent) to quite major (multiple tens of percent).

Finally and just to be clear, I'm not saying your take is wrong - it could well be right. But I do think it goes beyond what these data support.

Gengulphus

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Re: 5 years ago

#423413

Postby tjh290633 » June 29th, 2021, 11:41 am

Gengulphus wrote:I don't have any similar memories of the 1993/1994 period, but the consecutive drops by 7.1% and 3.8% in those tax years might well similarly be a 10.6% drop that happens to have been split between the two tax years, and so again really be one double-digit drop rather than two single-digit drops.

I have looked at my records for 1993-4 and 1992-3, and I see that the cash total of dividends received were virtually identical, but the number of units increased because of reinvestment of dividends. June 1993 saw the split off of Zeneca from ICI, and 1994 saw the start of the break up of Hanson.

BP Amoco cut their dividend in 1993 but others increased to compensate.

Oddly, cash dividends received were almost identical in 1994-5 and 1995-6, and again reinvestment of dividends was not reflected in dividends received because of timing.

TJH

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Re: 5 years ago

#423416

Postby MDW1954 » June 29th, 2021, 11:52 am

Gengulphus wrote:
MDW1954 wrote:Image

MDW1954 wrote:Given the interest in these charts, and the ongoing debate/ discussion, I thought I'd post one more. I found the percentage change take on things to be quite instructive. (I have another version, ranked, that I can post on request.)

My take (but feel free to chip in):

* Double-digit reversals in income are rare
* Reversals in income are infrequent, and relatively minor
* Most reversals in income are a single-digit affair

Am I missing anything?



Firstly, surely the first and last of those are basically the same observation, just looked at from two different angles?


No. The first is a comment on the frequency/ likelihood of double-digit reversals. The second puts an upper bound on the majority of reversals.


Secondly, if a period of significant dividend cuts typically lasts for say 6 months to a year (which accords with my experience since the turn of the century, which is roughly when I started to pay proper attention to the dividend income they produced), then quite a lot is going to depend on when that period started and ended. For example, if a year-long period of significant dividend cuts starts in April and ends in March the following year, it's going to produce a big percentage drop in a single tax year; if a similar period starts in October and ends in September the following year, it's going to produce two roughly half-sized percentage drops in each of two consecutive tax years. If the overall income drop is say 15%, that's likely to make a difference between one double-digit drop and two single-digit drops. I.e. the split you're seeing between double- and single-digit year-on-year drops may well be rather randomly influenced by just when the drop started relative to the starts and ends of the year-long periods you're looking at.

I'd be fairly certain that at least the consecutive drops by 6.3% and 4.7% in the tax years ending in 2003 and 2004 are essentially due to just one period of moderately significant dividend cuts. I was paying a great deal of attention to dividend income levels towards the end of 2002 and for several months afterwards, as I was somewhat tentatively and experimentally running two different yield-based strategies at the time (one HYP and the other a Value strategy that aimed to hold shares for a few months to a few years and make most of its returns from capital gains, using dividend yield as its major value indicator) - it was that period that convinced me that the Value strategy was both much more work and much more volatile than I wanted, and caused me to start running HYP as a major strategy. So I strongly suspect that those two drops are basically a 10.7% drop (-6.3% and -4.7% compounded) that happens to have been split between the two tax years, and so are really one double-digit drop rather than two single-digit drops.

I don't have any similar memories of the 1993/1994 period, but the consecutive drops by 7.1% and 3.8% in those tax years might well similarly be a 10.6% drop that happens to have been split between the two tax years, and so again really be one double-digit drop rather than two single-digit drops.


You may well be correct. But I'm going with data that TJH supplied, which was yearly. I have no other data to work with.

In short, I am describing what I see in the data, rather than what other (hypothetical) data might describe if you are correct.

If this interpretation is right, then the chart shows:

* Single-digit drops in 1996 and 2019;

* Double-digit drops in 1993/1994, 2003/2004, 2010 and 2021 (and 1989, but ignore that, since tjh292633 has said that it's due to his investment timing and doesn't reflect what was happening on the market);

and that would indicate that while income drops are indeed fairly rare (and indeed rarer than the chart indicates at 6 in 32 years rather than 8 in 32), when they do happen they're more likely to be double-digit drops than single-digit drops.

No guarantee that this interpretation is right, of course - as I say above, I've no memory of what was going on with dividends in 1993/1994, and even my memory of what was happening to them in 2003/2004 could be dismissed as anecdotal evidence and possibly influenced by the passage of many years. And even if it is right, 4 out of 6 observations going one way is very poor statistical evidence that things going that way is more likely (e.g. if you toss 6 fair coins, the chance of getting a 3:3 heads:tails split is 31.25%, while the chance of getting a 2:4 or 4:2 split is 46.875% - that's not a good basis for any sort of idea that a 2:4 or 4:2 split indicates unfair coins are being used!).


I am not a statistician, although I have had fairly extensive amounts of postgraduate statistical training. But put me very much at the applied end of the spectrum, rather than the theoretical.

So my response to the above would be that I have no expectation of a fair coin: we have ample empirical evidence that stock market indices rise over time, and that (in nominal terms at least) dividends broadly follow, subject to variations in P/E ratios and yield. So the null hypothesis is not a 50-50 split. If nothing else, we know that TJH's data series begins with a value of 2.83 and reaches 29.71 by 2020, which over the time period in question (33 years) suggests (fairly strongly, to me) that a random walk, as produced by coin tosses, is not in progress.


So my take on these figures is:

* Reversals in income are fairly infrequent, maybe happening about once every 5 years on average.

* When an income reversal does happen, it can be anything from pretty minor (a few percent) to quite major (multiple tens of percent).



I agree with this characterisation.

Finally and just to be clear, I'm not saying your take is wrong - it could well be right. But I do think it goes beyond what these data support.


On the contrary, I think that my conclusions describe exactly what the data show. What is at issue is whether the data is sufficiently granular to support your characterisation of what might have happened. You may well be right, but TJH's dataset as presented sheds no light on that one way or the other.


Gengulphus


I have replied in red above.

MDW1954

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Re: 5 years ago

#423479

Postby Gengulphus » June 29th, 2021, 3:30 pm

1nvest wrote:
tjh290633 wrote:
TUK020 wrote:Malcolm,
this leads to the opportunity to infer more meaning than the data warrants.
Terry's figures are nominal (he accounts for inflation comparison by tracking the total RPI factor for the period).
However, the rate of inflation has varied considerably over this period, and this means that the shape of the cart could be very misleading
tuk020

Here is a direct comparison between the dividend per unit and the RPI, both rebased to the same starting value:

.            Ordinary    Rebased     RPI    
Year to Divs/unit Divs/unit Rebased
05-Apr-88 2.86 100.00 100.00
05-Apr-89 2.72 94.81 112.28
05-Apr-90 4.24 147.94 122.89
05-Apr-91 5.42 189.25 130.75
05-Apr-92 7.52 262.34 136.35
05-Apr-93 6.91 241.32 138.11
05-Apr-94 6.27 218.85 141.65
05-Apr-95 7.48 261.07 146.37
05-Apr-96 7.38 257.48 149.90
05-Apr-97 8.40 293.36 153.54
05-Apr-98 8.88 310.04 159.72
05-Apr-99 8.46 295.34 162.28
05-Apr-00 11.33 395.51 167.09
05-Apr-01 11.73 409.64 170.04
05-Apr-02 13.02 454.50 172.59
05-Apr-03 12.10 422.26 178.00
05-Apr-04 11.62 405.63 182.42
05-Apr-05 12.07 421.42 188.21
05-Apr-06 13.12 458.13 193.03
05-Apr-07 14.04 490.19 201.77
05-Apr-08 24.32 849.07 210.22
05-Apr-09 21.17 739.15 207.76
05-Apr-10 11.06 386.20 218.86
05-Apr-11 16.71 583.44 230.26
05-Apr-12 17.46 609.34 238.21
05-Apr-13 19.91 694.93 245.09
05-Apr-14 20.47 714.45 250.29
05-Apr-15 21.33 744.60 253.44
05-Apr-16 21.67 756.58 256.78
05-Apr-17 24.93 870.11 265.82
05-Apr-18 29.23 1,020.51 274.75
05-Apr-19 29.25 1,020.97 283.10
05-Apr-20 31.57 1,102.06 284.38
05-Apr-21 19.15 668.60 295.78

As you can see, dividends have been well ahead of inflation except for that second year, when timing of dividends received was a little awry.

TJH

I prefer real values.

Image

To me it looks like your real dividend value (actual income adjusted for inflation) spiked in 2007, fell back by over half in 2009 and remained below that prior peak for 9 to 10 years when another peak occurred in 2018 but subsequently fell back down again by approaching half at the Covid lows. Median real dividend yield of 5.4% over those years whilst portfolio value increased at around 3.5% annualised compared to 3% annualised inflation.

I'm afraid I cannot see how your table relates to tjh290633's. The biggest problem is that your "Unit Value" and "Div Yield %" columns clearly don't come from his table, which simply doesn't mention unit values or dividend yields, and furthermore the "Div Yield %" column is not equal to the "DIv/Unit" column divided by the "Unit Value" column and expressed as a percentage (which it really ought to be on the basis of a holding's yield being its dividends divided by its value, applied to a holding of 1 unit). Almost as big a problem is the fact that the "Div/Unit" column doesn't match his "Ordinary Divs/unit" column, either with inflation adjustments (since if it were adjusted for inflation, no more than one of the 05-Apr-20 and 05-Apr-21 entries would match between the two tables, whereas they actually both match), nor without inflation adjustments (since then the two columns would be identical all the way from 05-Apr-05 onwards, which they're not).

I think I understand how most of the rest of the columns are derived from those and the RPI figures, at least up to rounding errors and a few other minor issues (e.g. shouldn't the 05-Apr-21 "Rebased RPI Index" figure be 2.89/1.88 = 1.537 rather than 1.588?). In particular, the "Nominal Price Index" column appears to be the "Unit Value" column rebased by dividing all of its entries by its first entry 3.46, and the "Nominal Div Value" column appears to be the "Nominal Price Index" column times the "Div Yield %" column.

But something is wrong about the results of those calculations, because:

* tjh290633's "Ordinary Divs/unit" column (which I'm fairly certain contains nominal figures) shows dividends per unit increasing from 13.12 on 05-Apr-06 to 31.57 on 05-Apr-20, an increase by a factor of 2.406;

* Your "Divs/Unit" column shows them increasing from 17.42 to 31.57 between the same two dates, an increase by a factor of 1.812;

* Your "Nominal Div Value" column shows them decreasing slightly from 0.56 to 0.55 between the same two dates, i.e. being multiplied by a factor of 0.982.

All of those figures appear to be nominal figures, so that inflation adjustments shouldn't explain the massive differences in the growth factors - and even if I've somehow got that wrong and some of the figures are real rather than nominal, inflation adjustments between 05-Apr-06 and 05-Apr-20 can only alter figures by a factor of 2.87/1.93 = 1.487, not nearly enough to explain those massive differences.

The most likely explanation appears to me to be that there's some mistake or misunderstanding about what the figures in your "Unit Value", "Div Yield %" and "Div/Unit" columns are - but I cannot get any further with trying to reconcile your figures with tjh290633's without knowing where those figures come from...

Gengulphus

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Re: 5 years ago

#423491

Postby Gengulphus » June 29th, 2021, 4:04 pm

MDW1954 wrote:
Gengulphus wrote:
MDW1954 wrote:Given the interest in these charts, and the ongoing debate/ discussion, I thought I'd post one more. I found the percentage change take on things to be quite instructive. (I have another version, ranked, that I can post on request.)

My take (but feel free to chip in):

* Double-digit reversals in income are rare
* Reversals in income are infrequent, and relatively minor
* Most reversals in income are a single-digit affair

Am I missing anything?

Firstly, surely the first and last of those are basically the same observation, just looked at from two different angles?

No. The first is a comment on the frequency/ likelihood of double-digit reversals. The second puts an upper bound on the majority of reversals.

...
I have replied in red above.

Sorry, I managed to mentally over-simplify my point and then post that oversimplification... :-( Without that oversimplification: if reversals of income are infrequent and most of them are single-digit affairs, double-digit reversals must be quite rare - i.e. the first observation is a consequence of the other two.

MDW1954 wrote:
Gengulphus wrote:If this interpretation is right, then the chart shows:

* Single-digit drops in 1996 and 2019;

* Double-digit drops in 1993/1994, 2003/2004, 2010 and 2021 (and 1989, but ignore that, since tjh292633 has said that it's due to his investment timing and doesn't reflect what was happening on the market);

and that would indicate that while income drops are indeed fairly rare (and indeed rarer than the chart indicates at 6 in 32 years rather than 8 in 32), when they do happen they're more likely to be double-digit drops than single-digit drops.

No guarantee that this interpretation is right, of course - as I say above, I've no memory of what was going on with dividends in 1993/1994, and even my memory of what was happening to them in 2003/2004 could be dismissed as anecdotal evidence and possibly influenced by the passage of many years. And even if it is right, 4 out of 6 observations going one way is very poor statistical evidence that things going that way is more likely (e.g. if you toss 6 fair coins, the chance of getting a 3:3 heads:tails split is 31.25%, while the chance of getting a 2:4 or 4:2 split is 46.875% - that's not a good basis for any sort of idea that a 2:4 or 4:2 split indicates unfair coins are being used!).

I am not a statistician, although I have had fairly extensive amounts of postgraduate statistical training. But put me very much at the applied end of the spectrum, rather than the theoretical.

So my response to the above would be that I have no expectation of a fair coin: we have ample empirical evidence that stock market indices rise over time, and that (in nominal terms at least) dividends broadly follow, subject to variations in P/E ratios and yield. So the null hypothesis is not a 50-50 split. If nothing else, we know that TJH's data series begins with a value of 2.83 and reaches 29.71 by 2020, which over the time period in question (33 years) suggests (fairly strongly, to me) that a random walk, as produced by coin tosses, is not in progress.

I agree, but my comment about fair coins wasn't about anything you had said: it was about the (lack of) statistical significance of my interpretation of the drops as 4 double-digit ones and 2 single-digit ones.

MDW1954 wrote:
Gengulphus wrote:]Finally and just to be clear, I'm not saying your take is wrong - it could well be right. But I do think it goes beyond what these data support.

On the contrary, I think that my conclusions describe exactly what the data show. What is at issue is whether the data is sufficiently granular to support your characterisation of what might have happened. You may well be right, but TJH's dataset as presented sheds no light on that one way or the other.

I would normally understand someone saying what their "take" is on some data as not just an exact description of the data, but also presenting some interpretations and/or tentative conclusions. But if that wasn't your intention, sorry about misunderstanding you.

Gengulphus

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Re: 5 years ago

#423783

Postby 1nvest » June 30th, 2021, 5:37 pm

Gengulphus wrote:
1nvest wrote:
tjh290633 wrote:Here is a direct comparison between the dividend per unit and the RPI, both rebased to the same starting value:

.            Ordinary    Rebased     RPI    
Year to Divs/unit Divs/unit Rebased
05-Apr-88 2.86 100.00 100.00
05-Apr-89 2.72 94.81 112.28
05-Apr-90 4.24 147.94 122.89
05-Apr-91 5.42 189.25 130.75
05-Apr-92 7.52 262.34 136.35
05-Apr-93 6.91 241.32 138.11
05-Apr-94 6.27 218.85 141.65
05-Apr-95 7.48 261.07 146.37
05-Apr-96 7.38 257.48 149.90
05-Apr-97 8.40 293.36 153.54
05-Apr-98 8.88 310.04 159.72
05-Apr-99 8.46 295.34 162.28
05-Apr-00 11.33 395.51 167.09
05-Apr-01 11.73 409.64 170.04
05-Apr-02 13.02 454.50 172.59
05-Apr-03 12.10 422.26 178.00
05-Apr-04 11.62 405.63 182.42
05-Apr-05 12.07 421.42 188.21
05-Apr-06 13.12 458.13 193.03
05-Apr-07 14.04 490.19 201.77
05-Apr-08 24.32 849.07 210.22
05-Apr-09 21.17 739.15 207.76
05-Apr-10 11.06 386.20 218.86
05-Apr-11 16.71 583.44 230.26
05-Apr-12 17.46 609.34 238.21
05-Apr-13 19.91 694.93 245.09
05-Apr-14 20.47 714.45 250.29
05-Apr-15 21.33 744.60 253.44
05-Apr-16 21.67 756.58 256.78
05-Apr-17 24.93 870.11 265.82
05-Apr-18 29.23 1,020.51 274.75
05-Apr-19 29.25 1,020.97 283.10
05-Apr-20 31.57 1,102.06 284.38
05-Apr-21 19.15 668.60 295.78

As you can see, dividends have been well ahead of inflation except for that second year, when timing of dividends received was a little awry.

TJH

I prefer real values.

Image

To me it looks like your real dividend value (actual income adjusted for inflation) spiked in 2007, fell back by over half in 2009 and remained below that prior peak for 9 to 10 years when another peak occurred in 2018 but subsequently fell back down again by approaching half at the Covid lows. Median real dividend yield of 5.4% over those years whilst portfolio value increased at around 3.5% annualised compared to 3% annualised inflation.

I'm afraid I cannot see how your table relates to tjh290633's. The biggest problem is that your "Unit Value" and "Div Yield %" columns clearly don't come from his table, which simply doesn't mention unit values or dividend yields, and furthermore the "Div Yield %" column is not equal to the "DIv/Unit" column divided by the "Unit Value" column and expressed as a percentage (which it really ought to be on the basis of a holding's yield being its dividends divided by its value, applied to a holding of 1 unit). Almost as big a problem is the fact that the "Div/Unit" column doesn't match his "Ordinary Divs/unit" column, either with inflation adjustments (since if it were adjusted for inflation, no more than one of the 05-Apr-20 and 05-Apr-21 entries would match between the two tables, whereas they actually both match), nor without inflation adjustments (since then the two columns would be identical all the way from 05-Apr-05 onwards, which they're not).

I think I understand how most of the rest of the columns are derived from those and the RPI figures, at least up to rounding errors and a few other minor issues (e.g. shouldn't the 05-Apr-21 "Rebased RPI Index" figure be 2.89/1.88 = 1.537 rather than 1.588?). In particular, the "Nominal Price Index" column appears to be the "Unit Value" column rebased by dividing all of its entries by its first entry 3.46, and the "Nominal Div Value" column appears to be the "Nominal Price Index" column times the "Div Yield %" column.

But something is wrong about the results of those calculations, because:

* tjh290633's "Ordinary Divs/unit" column (which I'm fairly certain contains nominal figures) shows dividends per unit increasing from 13.12 on 05-Apr-06 to 31.57 on 05-Apr-20, an increase by a factor of 2.406;

* Your "Divs/Unit" column shows them increasing from 17.42 to 31.57 between the same two dates, an increase by a factor of 1.812;

* Your "Nominal Div Value" column shows them decreasing slightly from 0.56 to 0.55 between the same two dates, i.e. being multiplied by a factor of 0.982.

All of those figures appear to be nominal figures, so that inflation adjustments shouldn't explain the massive differences in the growth factors - and even if I've somehow got that wrong and some of the figures are real rather than nominal, inflation adjustments between 05-Apr-06 and 05-Apr-20 can only alter figures by a factor of 2.87/1.93 = 1.487, not nearly enough to explain those massive differences.

The most likely explanation appears to me to be that there's some mistake or misunderstanding about what the figures in your "Unit Value", "Div Yield %" and "Div/Unit" columns are - but I cannot get any further with trying to reconcile your figures with tjh290633's without knowing where those figures come from...

Gengulphus

Sourced from other of Terry's postings. For example in this thread viewtopic.php?p=218798#p218798 the 2005 case started with a 8.1 index value which I reflected into the data I showed, but where subsequently I calculated the progression of that accumulation value from the price and dividend values contained therein. Scan down my tables Accumulation/last-column and compare that to Terry's in the above link and there are differences, but relatively mild differences.

Dividends are a year offset hence the 2021 rows div yield wont be known until 2022 (fiscal)
shouldn't the 05-Apr-21 "Rebased RPI Index" figure be 2.89/1.88 = 1.537 rather than 1.588?
Yes. I see that I'd injected some hard coded values into that most recent value, but other than showing a value influences non of the other values in the table.
but I cannot get any further with trying to reconcile your figures with tjh290633's without knowing where those figures come from...

Later in the above links thread you'll find most of the Unit values for Terry's data. For more recent values I recorded them from elsewhere in other of Terry's posts but don't have links to those to hand (I just updated my records of Terry's data as and when later date was seen).

It was late when I collated/calculated those real values and it does look like there were errors involved. I predominately was looking at identification of real values as to me a nominal historic value is meaningless without adjusting for inflation. I don't think the figures are too far off but accept that the precision is low.

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Re: 5 years ago

#425247

Postby Arborbridge » July 6th, 2021, 2:13 pm

Here's a table of Terry's income per unit culled from a post time ago (sorry, I don't have a link ). I notice there are some differences in the incomes through this series, and I wondered what the difference was caused by, and which table I should take as verified.


TJH        Income Units                                                      |                                                                                          |                                                                                          |                                                                                          |                                                                                          |                                                                                          |                                                                                         
Ordinary Ordinary RPI Change Change | | | | | |
Year to Divs/unit Divs/unit Rebased Divs/Unit RPI FTSE100 | | | | | |
05-Apr-88 2.87 100.00 100.00 | | | | | |
05-Apr-89 2.75 95.71 112.28 -4.29% 12.28% -4.82% | | | | | |
05-Apr-90 4.33 150.98 122.89 57.74% 9.45% 11.73% | | | | | |
05-Apr-91 5.75 200.34 130.75 32.69% 6.39% 7.78% | | | | | |
05-Apr-92 7.97 277.71 136.35 38.62% 4.28% 10.31% | | | | | |
05-Apr-93 7.33 255.30 138.11 -8.07% 1.30% -0.68% | | | | | |
05-Apr-94 6.65 231.50 141.65 -9.32% 2.56% 16.51% | | | | | |
05-Apr-95 7.93 276.14 146.37 19.28% 3.33% 12.84% | | | | | |
05-Apr-96 7.81 272.15 149.90 -1.44% 2.42% -2.01% | | | | | |
05-Apr-97 8.90 310.02 153.54 13.92% 2.42% 17.32% | | | | | |
05-Apr-98 9.35 325.60 159.72 5.02% 4.03% 16.57% | | | | | |
05-Apr-99 8.91 310.18 162.28 -4.73% 1.60% 37.71% | | | | | |
05-Apr-00 11.96 416.65 167.09 34.32% 2.97% 5.47% | | | | | |
05-Apr-01 12.44 433.38 170.04 4.02% 1.76% 4.41% | | | | | |
05-Apr-02 13.84 482.11 172.59 11.24% 1.50% -13.86% | | | | | |
05-Apr-03 12.98 452.05 178.00 -6.24% 3.13% -6.79% | | | | | |
05-Apr-04 12.50 435.38 182.42 -3.69% 2.48% -31.17% | | | | | |
05-Apr-05 12.98 452.10 188.21 3.84% 3.18% 21.34% | | | | | |
05-Apr-06 14.11 491.55 193.03 8.73% 2.56% 11.60% | | | | | |
05-Apr-07 15.09 525.75 201.77 6.96% 4.53% 21.87% | | | | | |
05-Apr-08 25.39 884.45 210.22 68.23% 4.19% 5.76% | | | | | |
05-Apr-09 22.16 771.67 207.76 -12.75% -1.17% -9.61% | | | | | |
05-Apr-10 11.59 403.82 218.86 -47.67% 5.34% -31.15% | | | | | |
05-Apr-11 16.71 582.13 230.26 44.15% 5.21% 44.66% | | | | | |
05-Apr-12 18.32 638.21 238.21 9.63% 3.46% 4.03% | | | | | |
05-Apr-13 20.89 727.68 245.09 14.02% 2.89% -3.13% | | | | | |
05-Apr-14 21.48 748.29 250.29 2.83% 2.12% 9.19% | | | | | |
05-Apr-15 22.40 780.31 253.44 4.28% 1.26% 5.58% | | | | | |
05-Apr-16 22.77 793.06 256.78 1.63% 1.32% 2.65% | | | | | |
| | | | | |

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Re: 5 years ago

#425271

Postby tjh290633 » July 6th, 2021, 4:55 pm

Arborbridge wrote:Here's a table of Terry's income per unit culled from a post time ago (sorry, I don't have a link ). I notice there are some differences in the incomes through this series, and I wondered what the difference was caused by, and which table I should take as verified.


I can see where that came from, Arb, and I suspect that I have corrected odd errors along the way. Here is that table as of last night.

.             Ordinary    Rebased     RPI       Change      Change          
Year to Divs/unit Divs/unit Rebased Divs/unit RPI FTSE100
05-Apr-88 2.86 100.00 100.00
05-Apr-89 2.72 94.81 112.28 -5.19% 12.28% -4.82%
05-Apr-90 4.24 147.94 122.89 56.05% 9.45% 11.73%
05-Apr-91 5.42 189.25 130.75 27.92% 6.39% 7.78%
05-Apr-92 7.52 262.34 136.35 38.62% 4.28% 10.31%
05-Apr-93 6.91 241.32 138.11 -8.01% 1.30% -0.68%
05-Apr-94 6.27 218.85 141.65 -9.31% 2.56% 16.51%
05-Apr-95 7.48 261.07 146.37 19.29% 3.33% 12.84%
05-Apr-96 7.38 257.48 149.90 -1.38% 2.42% -2.01%
05-Apr-97 8.40 293.36 153.54 13.93% 2.42% 17.32%
05-Apr-98 8.88 310.04 159.72 5.69% 4.03% 16.57%
05-Apr-99 8.46 295.34 162.28 -4.74% 1.60% 37.71%
05-Apr-00 11.33 395.51 167.09 33.92% 2.97% 5.47%
05-Apr-01 11.73 409.64 170.04 3.57% 1.76% 4.41%
05-Apr-02 13.02 454.50 172.59 10.95% 1.50% -13.86%
05-Apr-03 12.10 422.26 178.00 -7.09% 3.13% -6.79%
05-Apr-04 11.62 405.63 182.42 -3.94% 2.48% -31.17%
05-Apr-05 12.07 421.42 188.21 3.89% 3.18% 21.34%
05-Apr-06 13.12 458.13 193.03 8.71% 2.56% 11.60%
05-Apr-07 14.04 490.19 201.77 7.00% 4.53% 21.87%
05-Apr-08 24.32 849.07 210.22 73.21% 4.19% 5.76%
05-Apr-09 21.17 739.15 207.76 -12.95% -1.17% -9.61%
05-Apr-10 11.06 386.20 218.86 -47.75% 5.34% -31.15%
05-Apr-11 16.71 583.44 230.26 51.07% 5.21% 44.66%
05-Apr-12 17.46 609.34 238.21 4.44% 3.46% 4.03%
05-Apr-13 19.91 694.93 245.09 14.05% 2.89% -3.13%
05-Apr-14 20.47 714.45 250.29 2.81% 2.12% 9.19%
05-Apr-15 21.33 744.60 253.44 4.22% 1.26% 5.58%
05-Apr-16 21.67 756.58 256.78 1.61% 1.32% 2.65%
05-Apr-17 24.93 870.11 265.82 15.00% 3.52% -8.83%
05-Apr-18 29.23 1,020.51 274.75 17.29% 3.36% 18.59%
05-Apr-19 29.25 1,020.97 283.10 0.04% 3.04% -3.64%
05-Apr-20 31.57 1,102.06 284.38 7.94% 0.45% 5.53%
05-Apr-21 19.15 668.60 295.78 -39.33% 4.01% -23.83%

TJH

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Re: 5 years ago

#425899

Postby MDW1954 » July 8th, 2021, 3:14 pm

I wrote in a post earlier in this thread that I had a further chart, with the data sorted. I came across it in my analytics folder just now, and was about to delete it, and then I thought that I may as well post it. So here you go: one final chart of TJH's data, in lollipop chart format.

As before, chart constructed in R and ggplot2.

MDW1954


Image


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