By |Published On: December 9th, 2013|Categories: Research Insights|

Meb and team launched an international version of his shareholder yield ETF. Very cool.

I’m most impressed with the logo–last time I saw an elephant that colorful was at an Indian wedding!

new

It is nice to see someone turning academic insight into investment performance.

Jack and I wrote a paper on ways to enhance yield-based strategies (forthcoming in the Journal of Investing).

Shareholder yield, or combining dividends, net repurchases, and net debt pay down has historically worked the best.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2051101

High dividend yield stocks do not reliably earn above-average risk-adjusted returns. More complete measures of shareholder yield, which account for net share repurchases, perform better. We explore the use of net-debt paydown as a way to further enhance shareholder yield. The addition of net-debt paydown enhances risk-adjusted returns and creates a shareholder yield metric that is more robust over time. We also explore the technique of separating yield metrics by payout percentage as a way to enhance return predictability. We find some evidence that using payout percentage within a yield category can systematically improve portfolio performance.

I guess time will tell if shareholder yield can beat the old-fashioned dividend yield…and now we have data from an ETF to empirically test it! Great.

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About the Author: Wesley Gray, PhD

Wesley Gray, PhD
After serving as a Captain in the United States Marine Corps, Dr. Gray earned an MBA and a PhD in finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. Next, Wes took an academic job in his wife’s hometown of Philadelphia and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management firm dedicated to an impact mission of empowering investors through education. He is a contributor to multiple industry publications and regularly speaks to professional investor groups across the country. Wes has published multiple academic papers and four books, including Embedded (Naval Institute Press, 2009), Quantitative Value (Wiley, 2012), DIY Financial Advisor (Wiley, 2015), and Quantitative Momentum (Wiley, 2016). Dr. Gray currently resides in Palmas Del Mar Puerto Rico with his wife and three children. He recently finished the Leadville 100 ultramarathon race and promises to make better life decisions in the future.

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