SPY buyback adjusted yield

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mac808
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SPY buyback adjusted yield

Post by mac808 » Mon Jun 24, 2019 2:45 pm

Does anyone have a good place to look for "buyback adjusted" yield for SPY? This would be dividend yield plus share buybacks, minus net debt issuance, maybe plus major acquisition spend. Impossible to get it perfect because you get into subjective factors at a certain point. As share buybacks become more popular I've been researching better ways to track the actual annual "value created" from this index. Curious to hear how others think about this.

jdilla1107
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Re: SPY buyback adjusted yield

Post by jdilla1107 » Mon Jun 24, 2019 2:59 pm

SP500 earnings yield is a widely followed metric:

https://www.multpl.com/s-p-500-earnings-yield

It sounds like maybe you are trying to come up with your own definition of earnings though? To me, it makes more sense to compare earnings yield to say a treasury bond. Dividend yield and buybacks are just two outcomes of earnings.

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jhfenton
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Re: SPY buyback adjusted yield

Post by jhfenton » Mon Jun 24, 2019 3:19 pm

Search for "shareholder yield" and you can find data sources that offer the information and articles that have some numbers. I'm not sure that any of the data sources are free. Some sources also include debt-paydown yield into the total along with (1) dividend yield and (2) share buyback yield.

fennewaldaj
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Re: SPY buyback adjusted yield

Post by fennewaldaj » Mon Jun 24, 2019 5:23 pm

WisdomTree fund compare will give you buyback yield (and many other metrics) for S+P 500 as well as many other common indexes(S+P 600, EAFE, MCSI EM, ect). They also have all of their own funds in the tool.

https://www.wisdomtree.com/wisdomtree-t ... comparison

SovereignInvestor
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Re: SPY buyback adjusted yield

Post by SovereignInvestor » Mon Jun 24, 2019 5:36 pm

S&P put out press release today about Q1 2019.

https://seekingalpha.com/pr/17553433

The buyback + dividend yield for Q1 2019 annualized is 5.4%.

Yes we need to net for share issuave but i believe total share issuacne is a bit punitive because not all shared are issued for executive comp...lots of issuance is for M&A where non SPX earnings and value is added to the index and it's not dilutive.

IMO 0.5% is a good guesstimate for comp related dilution...net shareholder yield would then drop to around 5%.

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willthrill81
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Re: SPY buyback adjusted yield

Post by willthrill81 » Mon Jun 24, 2019 9:28 pm

SovereignInvestor wrote:
Mon Jun 24, 2019 5:36 pm
S&P put out press release today about Q1 2019.

https://seekingalpha.com/pr/17553433

The buyback + dividend yield for Q1 2019 annualized is 5.4%.

Yes we need to net for share issuave but i believe total share issuacne is a bit punitive because not all shared are issued for executive comp...lots of issuance is for M&A where non SPX earnings and value is added to the index and it's not dilutive.

IMO 0.5% is a good guesstimate for comp related dilution...net shareholder yield would then drop to around 5%.
5% seems very respectable in my view.
“It's a dangerous business, Frodo, going out your door. You step onto the road, and if you don't keep your feet, there's no knowing where you might be swept off to.” J.R.R. Tolkien,The Lord of the Rings

lazyday
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Re: SPY buyback adjusted yield

Post by lazyday » Tue Jun 25, 2019 5:30 am

This probably has a 1/1/2019 estimate of net buyback yield after dilution from new shares: https://www.aqr.com/Insights/Research/A ... et-Classes

I haven’t read the 2019 report. In 2018 I think the net buyback yield was around 0% in US.

SovereignInvestor
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Re: SPY buyback adjusted yield

Post by SovereignInvestor » Tue Jun 25, 2019 7:00 am

lazyday wrote:
Tue Jun 25, 2019 5:30 am
This probably has a 1/1/2019 estimate of net buyback yield after dilution from new shares: https://www.aqr.com/Insights/Research/A ... et-Classes

I haven’t read the 2019 report. In 2018 I think the net buyback yield was around 0% in US.
It is distortive to subtract all share issuance because a lot is due to issuance related to M&A where new profit and earnings is added to the SPX.

If apple bought a mid cap company for all stock, and issued 1% of shares, and the mid cap was bought at such a small premium that its PE ratio at buyout price was less than that of AAPL, it would flow through as "1% dilutive" to apple, but it actually is accretive as it adds more earnings than shares.

This issuance IMO should be excluded bease including it would requity an offset of increasing expected earnings growth since it's generating more earnings into SPX.

IMO the true dilution which is mainly from executive compensation which has no earnings attached to it after is in the 0.5% ballpark annually.

SovereignInvestor
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Re: SPY buyback adjusted yield

Post by SovereignInvestor » Tue Jun 25, 2019 7:02 am

willthrill81 wrote:
Mon Jun 24, 2019 9:28 pm
SovereignInvestor wrote:
Mon Jun 24, 2019 5:36 pm
S&P put out press release today about Q1 2019.

https://seekingalpha.com/pr/17553433

The buyback + dividend yield for Q1 2019 annualized is 5.4%.

Yes we need to net for share issuave but i believe total share issuacne is a bit punitive because not all shared are issued for executive comp...lots of issuance is for M&A where non SPX earnings and value is added to the index and it's not dilutive.

IMO 0.5% is a good guesstimate for comp related dilution...net shareholder yield would then drop to around 5%.
5% seems very respectable in my view.
Appreciate the validation. This is also why I continue to fight crusade of valuation against many on here who suggest the S&P is in a mega bubble bevause of the distorted CAPE.

5% net shareholder yield plus all the growth versus 2% 10Y yield. At even modest assumed levels of assumed total earnings growth, the Stocks are priced to deliver a meaty risk premium compared to.bonds.

As of YE 18 the gross total yield was over 6%!

If the S&P went to the ridiculous level of 1600 Shiller PE suggests then the yield would be around 9%net. The historical risk premium to 10Y notes is 4-5%, so at thst level the stocks would be price for 7% premium even assuming the total earnings dollars never grow, akin to a Japan scenario.

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JoMoney
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Re: SPY buyback adjusted yield

Post by JoMoney » Tue Jun 25, 2019 7:48 am

The source where most get the "buyback yield" is from S&P
Go to the S&P 500's website
https://us.spindices.com/indices/equity/sp-500
and select "S&P 500 Stock Buybacks" under additional info
https://us.spindices.com/documents/addi ... yback.xlsx
(be sure to check out the multiple tabs on the spreadsheet)

There's also lots of good charts made at Yardeni Research
https://www.yardeni.com/pub/buybackdiv.pdf
https://www.yardeni.com/pub/bbdivepsyield.pdf
https://www.yardeni.com/pub/fofusequity.pdf
"To achieve satisfactory investment results is easier than most people realize; to achieve superior results is harder than it looks." - Benjamin Graham

lazyday
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Re: SPY buyback adjusted yield

Post by lazyday » Tue Jun 25, 2019 8:28 am

SovereignInvestor wrote:
Tue Jun 25, 2019 7:00 am
It is distortive to subtract all share issuance because a lot is due to issuance related to M&A ....
That seems to make sense.

If it's a major issue (such as if subtracting M&A you have only .5% left!) then I'd expect it to be addressed in the aqr paper.

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