Historical Rolling Returns - DCA into STI

[Darkzi0n]

Yes. 10 char.

i dont think thats the right way... u r assuming all fund are deployed for the same amount of time (i.e. 20 years) which is not true... ur first Y is invested for 20 years, your second Y is invested for 19 year and 11 month... etc.... so you first Y de return sld be to the power of 240/12 and second Y de return sld be to the power of 239/12, and so on.

also, im not getting your value using ur method... u sld check if you downloaded the adjusted close value or close value.

EDIT: ignore the last para we could be using different date of purchase.

 

[Mecisteus]

i dont think thats the right way... u r assuming all fund are deployed for the same amount of time (i.e. 20 years) which is not true... ur first Y is invested for 20 years, your second Y is invested for 19 year and 11 month... etc.... so you first Y de return sld be to the power of 240/12 and second Y de return sld be to the power of 239/12, and so on.

That is why I have various periods.

Someone can DCA into STI for 5 years only. Someone can DCA starting from May/1995 and ends 5 years later. Someone can DCA starting from Feb/2011 and ends 5 years later.

Another person can DCA into STI for 20 years only.

You will see the rolling returns for ANY possible Y-year period in the table.

 

[Mecisteus]

For further explanation, lets take a look at a particular data point.

0.30% is the 5-year annualized returns if you DCA into STI ending Jun/2015
0.78% is the 10-year annualized returns if you DCA into STI ending Jun/2015
1.81% is the 15-year annualized returns if you DCA into STI ending Jun/2015
2.17% is the 20-year annualized returns if you DCA into STI ending Jun/2015

Month# Date Returns(5Y) Returns(10Y) Returns(15Y) Returns(20Y)
14 2/6/2015 0.30% 0.78% 1.81% 2.17%

 

[Darkzi0n]

That is why I have various periods.

Someone can DCA into STI for 5 years only. Someone can DCA starting from May/1995 and ends 5 years later. Someone can DCA starting from Feb/2011 and ends 5 years later.

Another person can DCA into STI for 20 years only.

You will see the rolling returns for ANY possible Y-year period in the table.

No. you are assigining the wrong time weight. it has nothing to do with when or how long the money was invested.

how can u give the same time weight to the Y that has been invested for 20 years as the Y that has only been invested for 1 month? In your way of calculating, you are stretching your one month return over 20 years. thats like using the distance travelled by ur car in 10 mins and divide it by 20 hours to derive the speed.

 

[Darkzi0n]

Give you a simplified example:

2011: cost 100, 1 unit
2012: cost 110, 1 unit
2013: cost 105, 1 unit
2014: cost 100, 1 unit
2015: cost 110, 1 unit

2016: 5 units, sell for 110
what you are doing is:
525*(r^5) = 550
=> 100*(r^5) + 110*(r^5) + ... + 110*(r^5) = 550

 

[Mecisteus]

Give you a simplified example:

2011: cost 100, 1 unit
2012: cost 110, 1 unit
2013: cost 105, 1 unit
2014: cost 100, 1 unit
2015: cost 110, 1 unit

2016: 5 units, sell for 110
what you are doing is:
525*(r^5) = 550
=> 100*(r^5) + 110*(r^5) + ... + 110*(r^5) = 550

Your invested capital is $525. Your final value is $550. You get an absolute return of 4.76% over 5 years.

What is the problem here?

By the way, mine is not fixed number of units. It is fixed number of $. I already stated my assumption. You can buy the STI perfectly.

 

[Darkzi0n]

Your invested capital is $525. Your final value is $550. You get an absolute return of 4.7% over 5 years.

What is the problem here?

By the way, mine is not fixed number of units. It is fixed number of $. I already stated my assumption. You can buy the STI perfectly.

nothing wrong with 4.7% absolute return. the problem is how u derive the annualise return.

ur first Y spent 5 years in the market. u annualise it by ^1/5
ur last Y spent 1 year in the market. u dont annualise it by ^1/5.

and the point is not fixed number of shares or fixed dollar value... i can change the number in the post above if you like, but my question is still the same. y do you treat the money that has been invested only for 1 year as tho it has been invested for 5 years?

 

[Mecisteus]

nothing wrong with 4.7% absolute return. the problem is how u derive the annualise return.

First of all, do you agree the 4.7% over 5 years?

 

[Darkzi0n]

First of all, do you agree the 4.7% over 5 years?

nope. I dont agree. it was over 2.98 years weighted by the amount of time the money are invested in the market

anyone else here took a course in financial economics or some financial biz modules can explain?

 

[Mecisteus]

nothing wrong with 4.7% absolute return. the problem is how u derive the annualise return.

nope. I dont agree.

You are confusing me.

At first you agreed, then you disagree.

Just keep it simple. You have x% return over y years. Convert that straight forwardly into an annualized return.

Annualized return = (1+x)^1/y

 

[Darkzi0n]

You are confusing me.

At first you agreed, then you disagree.

Just keep it simple. You have x% return over y years. Convert that straight forwardly.

I agree that absolute return is 4.7%
I dont agree how you annualise it.

simple does not mean correct.

 

[Darkzi0n]

You are confusing me.

At first you agreed, then you disagree.

Just keep it simple. You have x% return over y years. Convert that straight forwardly into an annualized return.

Annualized return = (1+x)^1/y

this is only correct if you invested all the money at the start.

dont you find it weird that in your way of calculation, the interval of your investment plays no part at all in deriving the rate of return?

 

[Mecisteus]

this is only correct if you invested all the money at the start.

dont you find it weird that in your way of calculation, the interval of your investment plays no part at all in deriving the rate of return?

Maybe you like to run your own calculation and publish them here?

 

[Darkzi0n]

Maybe you like to run your own calculation and publish them here?

nah... too tedious... for each window, i need to run a maximization function to get the rate of return... not sure if excel have any function to do it...

 

[Mecisteus]

nah... too tedious... for each window, i need to run a maximization function to get the rate of return... not sure if excel have any function to do it...

EXACTLY! That is why I did the simplest way.

But I understand what you meant.

You can assume the annualized returns are under-stated then.

But I remember doing an exercise for S&P using the same method. Total returns are higher and close to 8% pa. Since this is a SG market, it is irrelevant to discuss the US market without taking FCY risk into equation.

 

[w1rbelw1nd]

Sorry, didn't follow the entire thread, but you can use excel xirr function to take into account interval of cash inflow and outflow. Should be able to work.

Maybe you like to run your own calculation and publish them here?

 

[OngHuatHuat]

From the way you phased it, it seems that dividend yield is an overestimation since the price now is lower, which also indirectly indicates that actual dividend yield should be even lower.

Thanks!

you know how dividend.sg derive the dividend yield anot?

 

[Perisher]

2011 the start price of ES3 is 3.33, dividend was 0.08 or yield of 2.4%
2012 the start price of ES3 is 2.78, dividend was 0.095 or yield of 3.4%
2013 the start price of ES3 is 3.26, dividend was 0.085 or yield of 2.6%
2014 the start price of ES3 is 3.19, dividend was 0.088 or yield of 2.75%
2015 the start price of ES3 is 3.37, dividend was 0.097 or yield of 2.88%
2016 the start price of ES3 is 2.81, dividend was 0.107 or yield of 3.8%

There is clearly a trend of higher dividends according to the last 6 year of records barring 2012. And the yield has risen respectively. Average yield is about 2.97% for the last 6 years.

If anything, it looks like now is a good time to start DCA. One of the lowest price in past 6 years, highest yield.
I think one should start to worry when yield drop or show a consistent level of dropping.

 

[OngHuatHuat]

The dividend yield given in this table is higher than the actual dividend yield for most years.

So the yield may actually be even lower than what I initially expected.

I think part of the reasons why the yield is going higher Coz price is dropping, example hph trust usd and sabana REIT. It is not because of higher payout actually.

2011 the start price of ES3 is 3.33, dividend was 0.08 or yield of 2.4%
2012 the start price of ES3 is 2.78, dividend was 0.095 or yield of 3.4%
2013 the start price of ES3 is 3.26, dividend was 0.085 or yield of 2.6%
2014 the start price of ES3 is 3.19, dividend was 0.088 or yield of 2.75%
2015 the start price of ES3 is 3.37, dividend was 0.097 or yield of 2.88%
2016 the start price of ES3 is 2.81, dividend was 0.107 or yield of 3.8%

There is clearly a trend of higher dividends according to the last 6 year of records barring 2012. And the yield has risen respectively. Average yield is about 2.97% for the last 6 years.

If anything, it looks like now is a good time to start DCA. One of the lowest price in past 6 years, highest yield.
I think one should start to worry when yield drop or show a consistent level of dropping.

 

[Perisher]

The dividend yield given in this table is higher than the actual dividend yield for most years.

So the yield may actually be even lower than what I initially expected.

I think part of the reasons why the yield is going higher Coz price is dropping, example hph trust usd and sabana REIT. It is not because of higher payout actually.

Oh, I didn't cross check with SGX, you mean the information in dividends.sg is not correct?