Price Earnings Ratio/(Growth+Yield)

by Douglas A Lyon, PhD

Rationale

lists 186 funds (from Fidelity, in 2012) that are available for the Fairfield University retirement plan. here.

The Sharpe Ratios for 3, 5 and 10 years, along with the PEGY and NATS are available here.

Morningstar typically lists the top 25 holdings for each fund. Thus, to make an investment selection by analysis of the holdings, for each fund, a typical valuation screen would look at dividend and growth projections for at least 4,650 stocks.

Considering the brain trust and the amount of money at stake, it seems to me that we should be able to spend some human capital in order to solving the investment problem, thus saving our retirement!

  1. price - last price for the fund
  2. Yield - price/(sum of last 52 weeks of dividend payments)
  3. PEGY - weighted average of the Net Assets PEGY
  4. NAts% - % of Net assets measured
  5. growth% - weighted average of net Assets Growth

Methodology: We use MorningStar to obtain 25 of the largest positions for each fund. If the symbol is not available, or if growth estimates for the next 5 years are not available, we do not use the growth from that asset, or the PEGY from that asset. This means that the NATs% will suffer. Thus; NATs% is a confidence in the computed numbers. If NATs% is low, don't believe the numbers!

Garbage In, Garbage Out
The growth is backed out of the PEG estimates from yahoo finance, and thus the growth is a 5 year expected growth, obtained by concensus from analysist. Please keep in mind, these are the same analysists who are frequently suprised by earnings!

The Newsletter is issued with current numbers on a large list of fidelity holdings. For other funds, please ask!