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Peter Thornhill

Discussion in 'Other Asset Classes' started by Redwing, 10th Apr, 2016.

  1. Anne11

    Anne11 Well-Known Member

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    So if i read this chart right, at the moment the PE is at 16 which is slightly above average of 15, if an amateur investor looks at this chart, he/she will not put in a buy order at this time, and wait for the PE to reverse to the mean or go lower than 15 to buy more?
    Also how can I create the chart myself?

    Thanks a lot MC123
     
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  2. mc123

    mc123 Active Member

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    One more... ASX 200 LTM P/B and NTM P/B
    interpret how you like :)
     

    Attached Files:

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  3. mc123

    mc123 Active Member

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    I've attached some even more longer term data. My program FactSet only goes back to 2001 for this unfortunately. I'm not sure how you can recreate this on a free program as I am lucky to have it on my work pc.

    There's many things one can tweak including picking which ASX index, which time frame "last 12 months" or next 12 months or forward 1 year.

    I've attached the raw data on a monthly basis in excel.
    some interesting numbers for the asx 200 using NTM.

    average P/B since 2001 = 2.07
    average P/CF = 9.22
    average PE = 13.80
    average dividend yield = 4.70%

    note that it may be skewed due to the GFC

    and to put things into context i've attached the actual indice chart.

    enjoy!
     

    Attached Files:

  4. Hodor

    Hodor Well-Known Member

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    For me slightly above average is a don't bet the house signal, not don't buy. Just Keep steadily buying as per usual. Save borrowings for when things are at a discount.
     
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  5. austing

    austing Well-Known Member

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    Well given that the charting software can't handle Bollinger Bands I used a Moving Average Envelope with 20% bands. I'm not confident at all the chart is accurate perhaps due to the excessive look back period (10 years) and lack of data (1981 vs 1875)?

    The chart below using Owen's 10 year moving average would suggest fair value for the All Ords is 5037:confused: and that the bottom of the GFC crash was just over 20% below fair value:confused::confused::

    IMG_0038.JPG

    Note to why Owen's uses the 10 Moving Average of the market:
    More work to be done:).
     
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  6. BKRinvesting

    BKRinvesting Well-Known Member

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    Here's your BBands.
    The Expansion/Contraction of the Bands don't lend themselves quite as nicely as Owen's charts...
    Capture.PNG
     
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  7. austing

    austing Well-Known Member

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    Thanks @BKRinvesting.

    At least our moving average appears to be the same. But it doesn't appear to match Owen's charts up to late 2008 shown in this report:

    https://www.propertychat.com.au/community/attachments/newsl_oct08_fear_and_greed4-pdf.11968/

    Yes I agree that the expansion / Contraction of the BBs looks very different to the Std Deviaition bands that Owen's uses despite in theory BBs are just the simple moving average +/- the SD if I understand correctly.

    Does your charting software have SDev bands available?

    @Intrigued_again, HELP please!
     
  8. BKRinvesting

    BKRinvesting Well-Known Member

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    Unfortunately not.
    Owens chart looks more like the 10 year MA offset by the current SD rather than SD bands (ie BB)? I haven't read the majority of the attachments - just glanced at the charts.
     
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  9. austing

    austing Well-Known Member

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  10. austing

    austing Well-Known Member

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    Phew, my head hurts.

    After all this I'm starting to think my simple rules (which aren't adhered to rigidly) I've used for years for the market and proxies aren't too bad after all:

    @austing's know nothing Dividend Yield investing rules:

    1. < 4%, rarely interested
    2. 4 to 5%, buy regularly
    3. > 5%, yippee pin the ears back and start averaging down

    Inflation / deflation and market sentiment may need to taken into consideration.

    Seems to have worked pretty well:). And it's not likely to cause any brain seizures:confused::confused::eek:.

    If anyone thinks I'm clever be warned, I'm not as can be seen by my above rules!

    This might interest some:

    Market Statistics
     
    Last edited: 11th Jan, 2017
  11. mc123

    mc123 Active Member

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    So i'm able to get it back to 1993 via bloomberg.

    Definition of dividend yield = "Sum of gross dividend per share amounts that have gone ex-dividend over the prior 12 months, divided by the current stock price. Gross and Net Dividend amounts are assumed to be the same when only one is reported. All Cash Dividend Types are included in this yield calculation."

    Real yield based on dividend yield less Australia CPI (YoY) change

    Average Gross yield since 1993 June is 3.8% vs real yield of 1.3%
    Current gross yield is 3.9% and real yield 2.6%.
    CPI is currently around the 1.3% mark
     

    Attached Files:

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  12. Il Falco

    Il Falco Member

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    According to Owens dividend model real yield above 2.5% is a buy signal.
     
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  13. austing

    austing Well-Known Member

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    The dividend chart here looks interesting

    Market Statistics
     
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  14. KDP

    KDP Well-Known Member

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    Looking at real yield we're actually at a reasonable valuation currently.
     
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  15. austing

    austing Well-Known Member

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    He he, the data needs confirmation. All a bit of a play thing at the moment. Something for bored retirees to entertain themselves with in my case but fantastic contributions from others here. But I do like the idea that real div yield takes inflation into account whereas a rule like Dividend yield greater than 4% or some figure may be less useful in a different economic environment eg low vs high inflation vs deflation etc.

    Sentiment is the other critical factor I think. Perhaps confirmation from other simple things like P/E and PB etc would be useful.

    But unless there's a KISS element I can't see me using something.
     
  16. Il Falco

    Il Falco Member

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  17. oracle

    oracle Well-Known Member

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    Good link. But doesn't look like it is showing most recent data. No 2016 or 2017 on the chart. After the Trump rally over past 2 months I think things would be looking more expensive than the chart demonstrates.

    Cheers,
    Oracle.
     
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  18. austing

    austing Well-Known Member

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    The report was produced on 12 Jan 17. Years are listed in 5 year increments.

    The chart is based on monthly data which I thought came from this spreadsheet on that site:

    http://www.marketindex.com.au/sites/default/files/statistics/asx-fundamentals.xlsx

    It's current to Dec 16.
     
    Last edited: 12th Jan, 2017 at 12:27 AM
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  19. Il Falco

    Il Falco Member

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    Having a think about this, from looking at the data on price to book, it strikes me as a solid measure over the long term, and one close to any "value" investors heart! One thing that I have thought of is in a small market like Oz is structural changes in the index may lead to diminished efficacy of the measure. ie. fast growing acquisitive businesses will typically have strong cash flow but high price to book measures, as earnings are not retained. Therefore, P/CF (price to cash-flow) may be worth a closer look.

    It also strikes me that these type of measures are what fundamental indexing is based on, but at the stock level....and in the right tax environment (low) they are bound to be viable provided you hang on, and value based timing methods like these will add further edge.

    Here's a simple idea for the LIC investor, buy LICs below nta when market is below long run mean price to book.
     
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  20. austing

    austing Well-Known Member

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    @Il Falco, here you are. Not at work yet again as per the auto reply to my email. Damn good life you live, always on holidays. Not like us retirees busting our guts all the time:D.

    First up, where can CAPE or data be easily sourced for Aus?

    Re structural change is one of the reasons I liked Owen's very long term moving average of the All Ords as explained below. Such an incredibly simple measure but the logic behind it makes sense:
    Will look into LIC strategy. What I can say though is that my best buying of LICs came in the deep bear market that followed the GFC. Market way down and the older LICs at great discounts. Oh how I look forward to when that happens again!
     
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