Senin, 23 Februari 2015

[smf_addin] Digest Number 3334

9 Messages

Digest #3334

Messages

Sun Feb 22, 2015 3:50 am (PST) . Posted by:

Hi,
First of all, Randy.... love SMFADIN...congratulations; you deserve all kinds of accolades.


I am putting together a spreadsheet with historical ETF's total returns. To this end, I am using Moring star data elements. One question and one issue:


(1) Question

Two sets of elements 4661 through 4668 and 4816 through 4822 both refer to dates of total returns. Element 4661 points to YTD date. The corresponding TOTAL RETURN data elements 4856 through 4963.


It seems to me that date-element 4856 corresponds to total return-element 4661; actually meaning YTD Total Return. Am I correct?


(2) Issue


Trailing total return elements 4888 through 4896 are all returning 0%.


Would you please confirm my understanding on (1) and is there a way to fix (2)?


Thanks a lot


Armando

Sun Feb 22, 2015 7:25 am (PST) . Posted by:

"Randy Harmelink" rharmelink

On Sun, Feb 22, 2015 at 4:50 AM, armando@pipeline.com [smf_addin] <
smf_addin@yahoogroups.com> wrote:

> I am putting together a spreadsheet with historical ETF's total returns.
> To this end, I am using Moring star data elements. One question and one
> issue:
>
> (1) Question
>
> Two sets of elements 4661 through 4668 and 4816 through 4822 both refer to
> dates of total returns. Element 4661 points to YTD date. The
> corresponding TOTAL RETURN data elements 4856 through 4963.
>
> It seems to me that date-element 4856 corresponds to total return-element
> 4661; actually meaning YTD Total Return. Am I correct?
>

Correct. In this case, the "2015-01" means "to the end of January of 2015",
because I believe the returns are only updated monthly.

(2) Issue
>
> Trailing total return elements 4888 through 4896 are all returning 0%.
>
> Would you please confirm my understanding on (1) and is there a way to fix
> (2)?
>

I just tried it for VFINX and they were non-zero. It appears the issue is
that MorningStar isn't posting that data for ETFs:

http://quicktake.morningstar.com/fundnet/printreport.aspx?symbol=SPY

I avoid those pages, because of the monthly updating. Instead, I use
smfPricesByDates() and compute the total returns myself, for whatever time
periods I need. There are several templates for that function on the add-in
web site.

Otherwise, data seems current for ETFs on this web page from MorningStar:

http://performance.morningstar.com/Performance/cef/trailing-total-returns.action?t=SPY

Or, this page seems to work for stocks, ETFs, and mutual funds:

http://performance.morningstar.com/Performance/stock/trailing-total-returns.action?s=0P00001MK8&align=d&t=SPY

Sun Feb 22, 2015 4:42 pm (PST) . Posted by:

Thanks Randy.

-----Original Message-----
From: "Randy Harmelink rharmelink@gmail.com [smf_addin]"
Sent: Feb 22, 2015 12:25 PM
To: smf_addin@yahoogroups.com
Subject: Re: [smf_addin] QUESTIONS MORNINGSTAR



On Sun, Feb 22, 2015 at 4:50 AM, armando@pipeline.com
<mailto:armando@pipeline.com> [smf_addin]
<smf_addin@yahoogroups.com <mailto:smf_addin@yahoogroups.com> >
wrote:
I am putting together a spreadsheet with historical ETF's total
returns. To this end, I am using Moring star data elements. One
question and one issue:


(1) Question



Two sets of elements 4661 through 4668 and 4816 through 4822 both
refer to dates of total returns. Element 4661 points to YTD
date. The corresponding TOTAL RETURN data elements 4856 through
4963.



It seems to me that date-element 4856 corresponds to total
return-element 4661; actually meaning YTD Total Return. Am I
correct?

Correct. In this case, the "2015-01" means "to the end of January
of 2015", because I believe the returns are only updated monthly.





(2) Issue



Trailing total return elements 4888 through 4896 are all
returning 0%.



Would you please confirm my understanding on (1) and is there a
way to fix (2)?

I just tried it for VFINX and they were non-zero. It appears the
issue is that MorningStar isn't posting that data for ETFs:

http://quicktake.morningstar.com/fundnet/printreport.aspx?symbol=\
SPY
<http://quicktake.morningstar.com/fundnet/printreport.aspx?symbol\
=SPY>

I avoid those pages, because of the monthly updating. Instead, I
use smfPricesByDates() and compute the total returns myself, for
whatever time periods I need. There are several templates for
that function on the add-in web site.

Otherwise, data seems current for ETFs on this web page from
MorningStar:

http://performance.morningstar.com/Performance/cef/trailing-total\
-returns.action?t=SPY
<http://performance.morningstar.com/Performance/cef/trailing-tota\
l-returns.action?t=SPY>

Or, this page seems to work for stocks, ETFs, and mutual funds:

http://performance.morningstar.com/Performance/stock/trailing-tot\
al-returns.action?s=0P00001MK8&align=d&t=SPY
<http://performance.morningstar.com/Performance/stock/trailing-to\
tal-returns.action?s=0P00001MK8&align=d&t=SPY>






Sun Feb 22, 2015 6:31 pm (PST) . Posted by:

cruel_toad

Thanks, I'll check it out. A follow up: the "magic formula" metrics I get from RCHGetElementNumber (items 15013 and 15014) have very different values than those shown on GuruFocus. Any idea why? Is the source available for the logic that determines these values?



Thanks again.

Sun Feb 22, 2015 7:03 pm (PST) . Posted by:

"Randy Harmelink" rharmelink

I've defined earnings yield as EBITDA/EV (it was easily available from
Yahoo). They have it as operating income / EV, or EBIT/EV.

For return on capital, Greenblatt has never offered a complete definition
of its calculation. It's one reason no one has been able to duplicate his
backtesting results. I used a very simple definition (again, easily
available from Yahoo):

EBITDA / (Cash + Net Fixed Assets)

From the GuruFocus definition:

"Joel Greenblatt defined Return on Capital differently in his book The
Little Book That Still Beats the Market (Little Books. Big Profits) . He
defines Return on Capital as follows:

Return on Capital = EBIT / (Net fixed Assets + Working Capital)

EBIT stands for Earnings Before Interest and Taxes. It is also called
operating income. Fixed Assets are also known as non-current assets. They
include the property, plant, and equipment that the firm needs in its
operation. GuruFocus calculates working capital as: (Accounts Receivable +
Inventory + Other Current Assets) - (Accounts Payable + Other Current
Liabilities).

So Joel Greenblatt?s Return on Capital can be restated as:

EBIT / (max((Receivables + Inventory + Other Current Assets ) - (Payables +
Other Current Liabilities), 0) + Net fixed Assets)

When net working capital is negative, 0 is used."

On Sun, Feb 22, 2015 at 7:31 PM, baseball@reverenddave.com [smf_addin] <
smf_addin@yahoogroups.com> wrote:

>
> Thanks, I'll check it out. A follow up: the "magic formula" metrics I get
> from RCHGetElementNumber (items 15013 and 15014) have very different values
> than those shown on GuruFocus. Any idea why? Is the source available for
> the logic that determines these values?
>

Mon Feb 23, 2015 1:12 am (PST) . Posted by:

"Ton Sieverding" amsiev

Frankly for me this remark "... It's one reason no one has been able to duplicate his backtesting results." is what you get when using different data. In "The Little Book" Greenblatt is using the EBIT. Not the EBITDA. See pages 138 - 143. Of course you're getting a different result. And this is what I am seeing when being confronted with people using the "Magic Formula". It's their "Magic Formula". Not Greenblatt's ...

Kind regards, Ton.

----- Original Message -----
From: Randy Harmelink rharmelink@gmail.com [smf_addin]
To: smf_addin@yahoogroups.com
Sent: Monday, February 23, 2015 4:02 AM
Subject: Re: [smf_addin] Any templates to get info from GuruFocus.com?

I've defined earnings yield as EBITDA/EV (it was easily available from Yahoo). They have it as operating income / EV, or EBIT/EV.

For return on capital, Greenblatt has never offered a complete definition of its calculation. It's one reason no one has been able to duplicate his backtesting results. I used a very simple definition (again, easily available from Yahoo):

EBITDA / (Cash + Net Fixed Assets)

From the GuruFocus definition:

"Joel Greenblatt defined Return on Capital differently in his book The Little Book That Still Beats the Market (Little Books. Big Profits) . He defines Return on Capital as follows:

Return on Capital = EBIT / (Net fixed Assets + Working Capital)

EBIT stands for Earnings Before Interest and Taxes. It is also called operating income. Fixed Assets are also known as non-current assets. They include the property, plant, and equipment that the firm needs in its operation. GuruFocus calculates working capital as: (Accounts Receivable + Inventory + Other Current Assets) - (Accounts Payable + Other Current Liabilities).

So Joel Greenblatt?s Return on Capital can be restated as:

EBIT / (max((Receivables + Inventory + Other Current Assets ) - (Payables + Other Current Liabilities), 0) + Net fixed Assets)

When net working capital is negative, 0 is used."

On Sun, Feb 22, 2015 at 7:31 PM, baseball@reverenddave.com [smf_addin] <smf_addin@yahoogroups.com> wrote:

Thanks, I'll check it out. A follow up: the "magic formula" metrics I get from RCHGetElementNumber (items 15013 and 15014) have very different values than those shown on GuruFocus. Any idea why? Is the source available for the logic that determines these values?

Mon Feb 23, 2015 1:20 am (PST) . Posted by:

"Randy Harmelink" rharmelink

I did state that my choices for the calculations were out of convenience. I
never meant them as an exact duplicate of his calculation.

But point me to an academic that has been able to duplicate his results.
I've read articles on a number of people that have attempted it without
success.

As I recall from reading the book, he never fully defined how to compute
the return on capital. Didn't it have some undefined item called, "Excess
cash"? Everyone seems to come up with their own definition because they
need to fill in the gaps.

On Mon, Feb 23, 2015 at 1:57 AM, 'Ton Sieverding' ton.sieverding@... wrote:

>
> Frankly for me this remark "... *It's one reason no one has been able to
> duplicate his backtesting results*." is what you get when using different
> data. In "The Little Book" Greenblatt is using the EBIT. Not the EBITDA.
> See pages 138 - 143. Of course you're getting a different result. And this
> is what I am seeing when being confronted with people using the "Magic
> Formula". It's their "Magic Formula". Not Greenblatt's ...
>
> Kind regards, Ton.
> ----- Original Message -----
>
> *From:* Randy Harmelink rharmelink@gmail.com [smf_addin]
> <rharmelink@gmail.com+[smf_addin]>
> *To:* smf_addin@yahoogroups.com
> *Sent:* Monday, February 23, 2015 4:02 AM
> *Subject:* Re: [smf_addin] Any templates to get info from GuruFocus.com?
>
>
>
> I've defined earnings yield as EBITDA/EV (it was easily available from
> Yahoo). They have it as operating income / EV, or EBIT/EV.
>
> For return on capital, Greenblatt has never offered a complete definition
> of its calculation. It's one reason no one has been able to duplicate his
> backtesting results. I used a very simple definition (again, easily
> available from Yahoo):
>
> EBITDA / (Cash + Net Fixed Assets)
>
> From the GuruFocus definition:
>
> "Joel Greenblatt defined Return on Capital differently in his book The
> Little Book That Still Beats the Market (Little Books. Big Profits) . He
> defines Return on Capital as follows:
>
> Return on Capital = EBIT / (Net fixed Assets + Working Capital)
>
> EBIT stands for Earnings Before Interest and Taxes. It is also called
> operating income. Fixed Assets are also known as non-current assets. They
> include the property, plant, and equipment that the firm needs in its
> operation. GuruFocus calculates working capital as: (Accounts Receivable +
> Inventory + Other Current Assets) - (Accounts Payable + Other Current
> Liabilities).
>
> So Joel Greenblatt?s Return on Capital can be restated as:
>
> EBIT / (max((Receivables + Inventory + Other Current Assets ) - (Payables
> + Other Current Liabilities), 0) + Net fixed Assets)
>
> When net working capital is negative, 0 is used."
>
>
> On Sun, Feb 22, 2015 at 7:31 PM, baseball@reverenddave.com [smf_addin] <
> smf_addin@yahoogroups.com> wrote:
>
>>
>> Thanks, I'll check it out. A follow up: the "magic formula" metrics I get
>> from RCHGetElementNumber (items 15013 and 15014) have very different values
>> than those shown on GuruFocus. Any idea why? Is the source available for
>> the logic that determines these values?
>>
>
>

Mon Feb 23, 2015 2:17 am (PST) . Posted by:

"Ton Sieverding" amsiev

Don't be offended Randy. All I told you was that when "Everyone seems to come up with their own definition because they need to fill in the gaps." you are getting different results ... Therefore I would like to use EBIT and not EBITDA. Because Greenblatt is talking about EBIT. That's all ...

Kind regards, Ton.

----- Original Message -----
From: Randy Harmelink rharmelink@gmail.com [smf_addin]
To: smf_addin@yahoogroups.com
Sent: Monday, February 23, 2015 10:20 AM
Subject: Re: [smf_addin] Any templates to get info from GuruFocus.com?

I did state that my choices for the calculations were out of convenience. I never meant them as an exact duplicate of his calculation.

But point me to an academic that has been able to duplicate his results. I've read articles on a number of people that have attempted it without success.

As I recall from reading the book, he never fully defined how to compute the return on capital. Didn't it have some undefined item called, "Excess cash"? Everyone seems to come up with their own definition because they need to fill in the gaps.

On Mon, Feb 23, 2015 at 1:57 AM, 'Ton Sieverding' ton.sieverding@... wrote:

Frankly for me this remark "... It's one reason no one has been able to duplicate his backtesting results." is what you get when using different data. In "The Little Book" Greenblatt is using the EBIT. Not the EBITDA. See pages 138 - 143. Of course you're getting a different result. And this is what I am seeing when being confronted with people using the "Magic Formula". It's their "Magic Formula". Not Greenblatt's ...

Kind regards, Ton.
----- Original Message -----
From: Randy Harmelink rharmelink@gmail.com [smf_addin]
To: smf_addin@yahoogroups.com
Sent: Monday, February 23, 2015 4:02 AM
Subject: Re: [smf_addin] Any templates to get info from GuruFocus.com?

I've defined earnings yield as EBITDA/EV (it was easily available from Yahoo). They have it as operating income / EV, or EBIT/EV.

For return on capital, Greenblatt has never offered a complete definition of its calculation. It's one reason no one has been able to duplicate his backtesting results. I used a very simple definition (again, easily available from Yahoo):

EBITDA / (Cash + Net Fixed Assets)

From the GuruFocus definition:

"Joel Greenblatt defined Return on Capital differently in his book The Little Book That Still Beats the Market (Little Books. Big Profits) . He defines Return on Capital as follows:

Return on Capital = EBIT / (Net fixed Assets + Working Capital)

EBIT stands for Earnings Before Interest and Taxes. It is also called operating income. Fixed Assets are also known as non-current assets. They include the property, plant, and equipment that the firm needs in its operation. GuruFocus calculates working capital as: (Accounts Receivable + Inventory + Other Current Assets) - (Accounts Payable + Other Current Liabilities).

So Joel Greenblatt?s Return on Capital can be restated as:

EBIT / (max((Receivables + Inventory + Other Current Assets ) - (Payables + Other Current Liabilities), 0) + Net fixed Assets)

When net working capital is negative, 0 is used."

On Sun, Feb 22, 2015 at 7:31 PM, baseball@reverenddave.com [smf_addin] <smf_addin@yahoogroups.com> wrote:

Thanks, I'll check it out. A follow up: the "magic formula" metrics I get from RCHGetElementNumber (items 15013 and 15014) have very different values than those shown on GuruFocus. Any idea why? Is the source available for the logic that determines these values?

Mon Feb 23, 2015 2:13 am (PST) . Posted by:

soemoe.theinwin

OK thanks anyway - it worked just fine last week and now won't return anything from a non US ticker.

For the Add-in, Documentation, Templates, Tips and FAQs, visit http://ogres-crypt.com/SMF

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