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Total Return vs other performance measures?

A helpful place to also put any annual reports etc, of your own portfolios
Newroad
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Re: Total Return vs other performance measures?

#433719

Postby Newroad » August 10th, 2021, 2:03 pm

Hi Mc2Fool.

It would appear that you didn't consider what I wrote particularly carefully (on the most recent as well as earlier salient offerings).

Regards, Newroad

PS In fairness, that may apply to me too, as I'm not always sure which post/thought I need to respond/refer to

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Re: Total Return vs other performance measures?

#433734

Postby Newroad » August 10th, 2021, 2:40 pm

PS On a related note, I've tried to get the history of the FTSE 350 HY and LY. For some reason, it's tricky.

The FTSE350 itself was started 30/12/1983 but they only have data as far back as October 1992 (according to FTSE Russell) - with a base of 100.

The split between FTSE350HY and FTSE350LY is market weighted, i.e. they draw the line to get as close to 50% of the FTSE350 in each. I can't, however, find the inception date of the split. Maybe it's the same as the FTSE350 itself (the annualised figures below would be broadly consistent with this).

However, to help, I've gone back to TrustNet and obtained the following

Image

Correction - had the settings wrong (didn't include reinvestment) now sorted below

Image

So, it would appear, in roughly the first half of its existence, HY outperformed LY, with the reverse happening in the second half.

Regards, Newroad

PS Not that it's germane, but the "My Portfolio" is my ISA - I have to have something there to put the indexes against.

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Re: Total Return vs other performance measures?

#433752

Postby mc2fool » August 10th, 2021, 3:59 pm

Newroad wrote:It would appear that you didn't consider what I wrote particularly carefully (on the most recent as well as earlier salient offerings).

Regards, Newroad

PS In fairness, that may apply to me too, as I'm not always sure which post/thought I need to respond/refer to

Ok, well let's just put it down to the difficulties of reading intent in forum posts, when you can't see folks expressions, etc....

On your latter point, it really would help if you used the quote function (as I have here). Click the quotation marks button at the top right of the post you want to reply to. If need be, then trim it down and/or pull out sections and use the "Quote" button at the top of the reply editor.

Newroad wrote:PS On a related note, I've tried to get the history of the FTSE 350 HY and LY. For some reason, it's tricky.

So it seems. FTSE Russell used to have a page/PDF on the FTSE 350 Yield indices but I can't find it at all now. I am, however, pretty sure (not 100% though) that they (with the TR ones) started sometime in 1993, at 1000.

The split between FTSE350HY and FTSE350LY is market weighted, i.e. they draw the line to get as close to 50% of the FTSE350 in each. I can't, however, find the inception date of the split.

The split is determined each year "in June based on data as at the close of business on the Tuesday before the first Friday of the month". https://research.ftserussell.com/produc ... Series.pdf p30.

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Re: Total Return vs other performance measures?

#433754

Postby Newroad » August 10th, 2021, 4:16 pm

Hi Mc2Fool.

I got the information on the start date and the history gap etc from here (p2)

https://research.ftserussell.com/Analytics/Factsheets/Home/DownloadSingleIssue?issueName=NMX&IsManual=false

That also covers review dates etc.

That doesn't obviously explain the FTSE350 HY & LY indexes, but given the annualised figures since inception are consistent with it (i.e. FTSE350 proper is half way between the two, or so) I would surmise that these have the same 1983 start date and base, even if only notional (i.e. they were reverse engineered at some point after the fact).

Regards, Newroad

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Re: Total Return vs other performance measures?

#433766

Postby Itsallaguess » August 10th, 2021, 5:13 pm

mc2fool wrote:
Newroad wrote:
I pretty much completely agree with your post above - i.e. FTSE100 under-performer and therefore possibly giving rise to illusory relative performance...


Pfft...a while back you said you'd be interested in someone demonstrating that it was possible to beat the market using a HY strategy and now someone is saying they have you're dismissing that saying "wrong market"? (Better than 1nvest I guess, who effectively said, "wrong asset class"!).

Sure the FTSE has been an under-performer relative to global indices, but that doesn't make beating it while investing only within it an "illusory relative performance", does it now ... of course, you can always dismiss any result by saying you could have done better elsewhere.


I'm struggling to keep up a little, what with some of the different themes being discussed, but have I got this right?

1. There's often, in my view, an incorrect assumption that everyone who follows income-investment strategies do so 'because they think income-investing delivers better total-returns'

2. It turns out that we might be able to identify one single income-investor on these boards who is willing to claim that he's beaten his comparative index, even though he's also absolutely clear that 'his interest is income generation primarily, although capital value is also of interest'

3. He's actually got the evidence to show that he *has* beaten his FTSE100 comparative index, and as that's the index that he's actually buying within, it seems like a fair comparison to make...

4. He's now being criticised as to the comparative index that he's using, because someone can show, using backwards-looking results, that investing differently in the recent past would have generated better returns...

I mean, really?

It feels like we're well into Alice in Wonderland territory now....

Cheers,

Itsallaguess

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Re: Total Return vs other performance measures?

#433783

Postby Newroad » August 10th, 2021, 6:07 pm

Hi ItsAllAGuess,

Through this 27" lens, it appears to me we've had some posters who have been generally polite, asked questions, answered questions where they are able, tried to provide information and in general to be helpful where practical.

We've had other posters who have set up straw men to knock down, often to facilitate the taking of an ad hominem approach subsequently accompanied by hyperbolic, emotive and/or gratuitous language.

With respect to your rhetoric recent post, you might consider whether any part of it represents the alluded to straw man fallacy.

Regards, Newroad
Last edited by Newroad on August 10th, 2021, 6:17 pm, edited 1 time in total.

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Re: Total Return vs other performance measures?

#433784

Postby 1nvest » August 10th, 2021, 6:09 pm

mc2fool wrote:Pfft...a while back you said you'd be interested in someone demonstrating that it was possible to beat the market using a HY strategy and now someone is saying they have you're dismissing that saying "wrong market"? (Better than 1nvest I guess, who effectively said, "wrong asset class"!).

The "market" of course comprises much more than just the FT100. Picking a very small subset of the market that had performed relatively poorly as your benchmark!

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Re: Total Return vs other performance measures?

#433786

Postby mc2fool » August 10th, 2021, 6:17 pm

Newroad wrote: got the information on the start date and the history gap etc from here (p2)

https://research.ftserussell.com/Analytics/Factsheets/Home/DownloadSingleIssue?issueName=NMX&IsManual=false

That also covers review dates etc.

That doesn't obviously explain the FTSE350 HY & LY indexes, but given the annualised figures since inception are consistent with it (i.e. FTSE350 proper is half way between the two, or so) I would surmise that these have the same 1983 start date and base, even if only notional (i.e. they were reverse engineered at some point after the fact).

Yes, I'd seen that PDF and, as you say, it's just about the 350 itself and doesn't mention the HY & LY indices, and I am sure that the yield indices were not back dated to the 350's 1983 start date and base, and I present as evidence all of their current total return levels...

Index     Total Ret
350 7,968.26 https://uk.investing.com/indices/ftse-350-tr
350 HY 6,926.96 https://uk.investing.com/indices/ftse-350-high-yield-tr
350 LY 5,694.20 https://uk.investing.com/indices/ftse-350-low-yield-tr

Do you see the problem with your hypothesis? :D

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Re: Total Return vs other performance measures?

#433788

Postby mc2fool » August 10th, 2021, 6:20 pm

Itsallaguess wrote:It feels like we're well into Alice in Wonderland territory now....

And who do you think is the mad hatter? :D

No, don't answer that! I'm off to make dinner now....

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Re: Total Return vs other performance measures?

#433791

Postby Newroad » August 10th, 2021, 6:23 pm

I do, Mc2Fool.

But equally, if the inception dates of FTSE350 vs FTSE350 HY/LY were materially different, what chance that the total return since launch of the former so neatly splits the latter two, i.e. as 9.1% roughly splits 9.7% and 8.2%.

I think we're missing something, or looking at two different things, but as we sit here now, I'm not sure how to square the circle. Also, if the inception date for either of the latter two is earlier than October 1992 but not December 1983, it would, I think, be impossible to retrospectively produce the information (due to the previously noted absence of data).

Regards, Newroad

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Re: Total Return vs other performance measures?

#433795

Postby Newroad » August 10th, 2021, 6:39 pm

PS I'm not sure it gives the answer, but the following may start helping with the question.

I've found these two

https://content.ftserussell.com/sites/default/files/support_document/ftse_uk_index_series_history_and_heritage_screen.pdf

https://hub.ipe.com/download?ac=84743

as well as the previously noted

https://research.ftserussell.com/Analytics/Factsheets/Home/DownloadSingleIssue?issueName=NMX&IsManual=false

Therefore, in either 1992 or 1993 (depending on which of the first two documents you believe) you first get a FTSE250, so can logically create a FTSE350. But, you can (and if you believe the last of three documents, should) theoretically get back to 1983 start date with the base of 100.

So, it's possible IMO that various sources might be reporting on different data starting points. This also explains why pre-October 1992 data is not available.

Regards, Newroad

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Re: Total Return vs other performance measures?

#433798

Postby Alaric » August 10th, 2021, 6:44 pm

Newroad wrote:The split between FTSE350HY and FTSE350LY is market weighted, i.e. they draw the line to get as close to 50% of the FTSE350 in each.


A bit of caution is then needed to compare either index to a buy and hold portfolio. What the index is doing is emulating a rule based investor who periodically
Evicts shares with dividend cancellation from the HY Index and also possibly the cutters.
Evicts shares from the HY Index where the share price has grown sufficiently faster than the dividend so that the running dividend yield drops below the cutoff point.
Included shares in the HY Index that had previously been in the LY Index where the share price had collapsed
and other changes where the relationship between dividend and price had changed enough for reclassification.

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Re: Total Return vs other performance measures?

#433799

Postby Newroad » August 10th, 2021, 6:49 pm

I agree, Alaric.

However, we're doing the best we can with data available - I acknowledge much of it is a proxy for what people have actually done.

I'm not an authority on TJH's methodology - which is where most of the FTSE350 comparisons have come from - but it appears not to be buy and hold.

Regards, Newroad

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Re: Total Return vs other performance measures?

#433809

Postby tjh290633 » August 10th, 2021, 7:29 pm

mc2fool wrote:
tjh290633 wrote:
mc2fool wrote:TJH, hasn't your own HY investing beat the FTSE 100 TR? I thought you'd posted unitised figures sometime in the past that showed it did, or am I misremembering?

It has, although I don't keep much of a record against the TR index, just the simple UKX, which I compare with my income unit price.

Ok, well as the yield on yours has always been greater than the FTSE 100s then it's obviously beat it TR wise too, but in any case, how about posting your income units vs UKX so that IIAG and NR can see. I'm sure that given your legendary record keeping and your long standing status on TMF/TLF that they'll be happy to take the figures on trust as evidence. :D

Here we are:
Year-end   Value   UKX         UKX Rel   Year   Ratio  
Dec-87 0.88 1,717.00 0.88 1 99.78%
Dec-88 1.00 1,773.70 0.91 2 109.82%
Dec-89 1.28 2,367.00 1.21 3 105.50%
Dec-90 1.25 2,167.80 1.11 4 112.59%
Dec-91 1.37 2,418.70 1.24 5 110.17%
Dec-92 1.54 2,846.50 1.46 6 105.48%
Dec-93 1.87 3,396.50 1.74 7 107.54%
Dec-94 1.72 3,083.40 1.58 8 108.72%
Dec-95 2.01 3,687.90 1.89 9 106.37%
Dec-96 2.16 4,092.50 2.10 10 102.82%
Dec-97 2.97 5,132.30 2.63 11 112.98%
Dec-98 3.51 5,882.60 3.02 12 116.15%
Dec-99 3.95 6,930.20 3.56 13 111.13%
Dec-00 3.72 6,179.90 3.17 14 117.27%
Dec-01 3.43 5,217.40 2.68 15 128.17%
Dec-02 2.68 3,940.40 2.02 16 132.80%
Dec-03 3.09 4,476.90 2.30 17 134.60%
Dec-04 3.52 4,814.30 2.47 18 142.47%
Dec-05 4.27 5,618.80 2.88 19 148.29%
Dec-06 5.16 6,220.80 3.19 20 161.73%
Dec-07 4.83 6,456.90 3.31 21 145.74%
Dec-08 2.79 4,434.17 2.27 22 122.55%
Dec-09 3.71 5,412.88 2.78 23 133.61%
Dec-10 4.06 5,899.94 3.03 24 134.05%
Dec-11 4.30 5,572.28 2.86 25 150.13%
Dec-12 4.73 5,897.81 3.03 26 156.30%
Dec-13 5.61 6,749.09 3.46 27 161.97%
Dec-14 5.55 6,566.09 3.37 28 164.74%
Dec-15 5.61 6,242.32 3.20 29 175.26%
Dec-16 6.12 7,142.83 3.66 30 166.96%
Dec-17 6.37 7,687.77 3.94 31 161.52%
Dec-18 5.47 6,728.13 3.65 32 149.65%
Dec-19 6.20 7,542.44 3.71 33 167.19%
Dec-20 5.57 6,460.52 3.31 34 168.28%
Aug-21 6.40 7,122.95 3.62 35 176.90%

Previously posted in viewtopic.php?p=120975#p120975

TJH

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Re: Total Return vs other performance measures?

#433815

Postby Newroad » August 10th, 2021, 8:07 pm

Thanks for posting, TJH.

I haven't got my head around Income Units (not that it matters to me for my own purposes) but in any case, I'm not at all surprised that you've done better than UKX.

What has been interesting for me today is learning more about the FTSE350 and it HY and LY components - and their performances. Once again, it's of no interest to me for my own purposes - I let others decide allocation except at a very macro level. However, it is of academic interest to me.

As a related aside, is your judgement of which stocks to buy, sell and hold from the FTSE 350 HY completely rule based (if so, are you able to explain succintly, if not, no bother, I don't want to waste your time on a purely academic matter) or do you exercise judgement? E.g. if a stock drops out of the FTSE350 HY, do you automatically sell it and if so, do you have a rule about what to replace it with?

Further, I wondered whether there was any similarity in your approach to the so-called "Dogs of the Dow"?

Regards, Newroad

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Re: Total Return vs other performance measures?

#433818

Postby mc2fool » August 10th, 2021, 8:23 pm

Newroad wrote:PS I'm not sure it gives the answer, but the following may start helping with the question.

They don't ... but this does -- Hallelujah for the Wayback Machine!

https://web.archive.org/web/20100211143046/http://ftse.com/Research_and_Publications/Archive/FTSE_UK_Index_Series_1997.pdf

See the notes under Table H on page 26:

"For the Total Return Indices, the base values were:
:
:
[List that doesn't include the 350 HY or LY]
:
1000.00 on 31.12.1992 All other Total Return Indices"

So that's it for the FTSE 350 HY & LY TR indices ... and in remembering 1993 I was one day out! ;)

Note that the non-TR 350 HY/LY indices (along with the 350 cum ITs) have a base value of 682.94 on 31.12.1985, but, hey, Total Return is what we're interested in, right? :D

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Re: Total Return vs other performance measures?

#433819

Postby mc2fool » August 10th, 2021, 8:27 pm

Alaric wrote:
Newroad wrote:The split between FTSE350HY and FTSE350LY is market weighted, i.e. they draw the line to get as close to 50% of the FTSE350 in each.

A bit of caution is then needed to compare either index to a buy and hold portfolio. What the index is doing is emulating a rule based investor who periodically
Evicts shares with dividend cancellation from the HY Index and also possibly the cutters.
Evicts shares from the HY Index where the share price has grown sufficiently faster than the dividend so that the running dividend yield drops below the cutoff point.
Included shares in the HY Index that had previously been in the LY Index where the share price had collapsed
and other changes where the relationship between dividend and price had changed enough for reclassification.

Ahhh ... so you mean they HY index "buys" low and "sells" high ... :D

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Re: Total Return vs other performance measures?

#433822

Postby tjh290633 » August 10th, 2021, 8:34 pm

Newroad wrote:PS On a related note, I've tried to get the history of the FTSE 350 HY and LY. For some reason, it's tricky.

The FTSE350 itself was started 30/12/1983 but they only have data as far back as October 1992 (according to FTSE Russell) - with a base of 100.

The split between FTSE350HY and FTSE350LY is market weighted, i.e. they draw the line to get as close to 50% of the FTSE350 in each. I can't, however, find the inception date of the split. Maybe it's the same as the FTSE350 itself (the annualised figures below would be broadly consistent with this).

To the best of my knowledge, the HY and LY indices began much later than the FTSE350 itself. I also have a feeling that the TR indices started after the plain indices, and the details used to be available on the FTSE web site, but that ceased to be available without charge some years ago.

What I have found, among my many spreadsheets, is the following comparison:

Date       UKX         UKX-TR      HIX         HIX-TR      FTAS-TR     TJH Acc
31/12/99 -6,930.20 -3,140.73 -3,163.00 -2,370.30 -3,050.21 -6.85
25/02/21 6,651.96 6,384.64 3,109.52 6,537.88 7,317.55 26.99
Change -4.01% 103.29% -1.69% 175.83% 139.90% 294.01%
XIRR -0.19% 3.41% -0.08% 4.91% 4.22% 6.69%

So you have a comparison between the plain and TR versions of the UKX, HIX and FTAS indices with my accumulation unit.

TJH

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Re: Total Return vs other performance measures?

#433823

Postby Alaric » August 10th, 2021, 8:38 pm

mc2fool wrote:buys" low and "sells" high ... :D


Shares with the performance of Diageo and Unilever would be removed from the high Yield Index, so that Index wouldn't get the benefit of their future performance.
Where directors maintained the dividend in the face of reasons not to, shares would likely be evicted from the low yield index and become potential dogs in the high yield one instead. I would suspect the process awards winners and losers to both Indexes.

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Re: Total Return vs other performance measures?

#433825

Postby tjh290633 » August 10th, 2021, 8:44 pm

Newroad wrote:I'm not an authority on TJH's methodology - which is where most of the FTSE350 comparisons have come from - but it appears not to be buy and hold.

It most certainly is buy and hold, with selective trimming and topping up as time goes by.

The average holding time of the current holdings is 16 years. The median is 13 years.

TJH


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