 | | From: | Darrin | | Subject: | Market returns including dividends | | Date: | Sun, 16 Jan 2005 10:51:54 +0800 |
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 | We continually see returns being published and used to back test
theories, but do these returns include dividends?
For example, when the Australian Financial Review published the
annualised figures for 2004 - did these numbers include dividends?
Or when Fama and French tested their theories - did these numbers
include dividends?
Are dividends/distributions assumed to be reinvested or simply
ignored?
You would consider this important when comparing small stocks
(assuming no divi's) vs large (pays divi's).
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| | From: | Travis Morien | | Subject: | Re: Market returns including dividends | | Date: | 15 Jan 2005 21:23:53 -0800 |
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Darrin wrote:
> We continually see returns being published and used to back test
> theories, but do these returns include dividends?
>
> For example, when the Australian Financial Review published the
> annualised figures for 2004 - did these numbers include dividends?
I didn't see the figures so I don't know. They probably did.
> Or when Fama and French tested their theories - did these numbers
> include dividends?
Fama and French certainly did include them. They're very thorough
workers and omitting the source of historically up to 50% of the return
would seem like an astonishing blunder for them.
They've had to defend their work against a barrage of criticism
questionning their work on the value premium for example. To pass this
scrutiny their work needs to be just about perfect.
>
> Are dividends/distributions assumed to be reinvested or simply
> ignored?
Reinvested.
> You would consider this important when comparing small stocks
> (assuming no divi's) vs large (pays divi's).
Yes, you would.
Travis
www.travismorien.com
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| | From: | Darrin | | Subject: | Re: Market returns including dividends | | Date: | Tue, 18 Jan 2005 07:08:05 +0800 |
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| >> We continually see returns being published and used to back test
>> theories, but do these returns include dividends?
>>
>> For example, when the Australian Financial Review published the
>> annualised figures for 2004 - did these numbers include dividends?
>
>I didn't see the figures so I don't know. They probably did.
Thanks for the reply. It is sometimes difficult to identify
consistency between the numbers, particulary when reading some of the
daily finance articles.
What would the annualised returns for the All Ords, Top 100, Top 200
look like including dividends? Would comparing individual investment
returns against a benchmark that reinvests dividends be more accurate
than the current system (eg XAO excluding divi's)?
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| | From: | Travis Morien | | Subject: | Re: Market returns including dividends | | Date: | 18 Jan 2005 08:17:36 -0800 |
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Darrin wrote:
> Thanks for the reply. It is sometimes difficult to identify
> consistency between the numbers, particulary when reading some of the
> daily finance articles.
A lot of daily finance articles are a load of crap, if I may say so.
There is a term to describe investment articles of little merit which
seek to mainly entertain rather than educate: financial graphy"
See http://www.investorhome.com/.htm
All managed funds that I know of compare their total (growth plus
income) against an accumulation index. It is only really articles
written for short term traders which habitually ignore dividends in
both portfolio returns and when describing the market.
> What would the annualised returns for the All Ords, Top 100, Top 200
> look like including dividends? Would comparing individual investment
> returns against a benchmark that reinvests dividends be more accurate
> than the current system (eg XAO excluding divi's)?
The RBA site has spreadsheets with accumulation indexes and dividend
data
http://www.rba.gov.au/Statistics/Bulletin/F07hist.xls
Travis
www.travismorien.com
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| | From: | Fitzroy | | Subject: | Re: Market returns including dividends | | Date: | Thu, 20 Jan 2005 10:47:29 GMT |
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>
> The RBA site has spreadsheets with accumulation indexes and dividend
> data
> http://www.rba.gov.au/Statistics/Bulletin/F07hist.xls
> Travis
> www.travismorien.com
>
(from previous aus.invest post)
This is also useful :
http://au.finance.yahoo.com/m2
click 'Symbol Lookup' - near top right
In the lookup box enter the keyword 'ACCUM'
Click 'Lookup'
From the list, double click the symbol you are after
Select the type of chart, middle of screen, far right
eg Big '5y'
'Historical quotes' should now appear under the chart
the rest is straightforward
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