FTSE 100 historical dividend yields

[Stevoswing]

I am not sure of the protocol here, I have posted the following message on the Economic & Fundamental Analysis board but it seems fairly quiet, and so I have re-posted on this board.

I wonder if someone may be able to spare a few minutes to help me.

I am going through a process of testing on the FTSE 100 a number of the best market timing models reported in Nelson Freeburg’s excellent Formula Research newsletter and comparing them with buy-and-hold.

I have 2 questions:

1) Does anyone know where I may be able to download (preferably for free!) weekly dividend yields for the FTSE 100 since its inception? I have trawled around numerous websites such as FTSE, LSE, BoE, Yahoo and IC but can’t seem to find them.

2) If you are not aware of freely available dividend yield data, do you have a suggestion for how I could approximate them from other data that is more readily available? e.g. use a % of the BoE interest rate (I have that data from the BoE website).

Many thanks in advance for your help.

Steve

 

[A Dashing Blade]

Historic yield data doesn't seem to be available on bloomberg. Looks like the answer's prolly no.
Would be extremely difficult to recreate & can't see how you could approximate.

 

[Stevoswing]

Historic yield data doesn't seem to be available on bloomberg. Looks like the answer's prolly no.
Would be extremely difficult to recreate & can't see how you could approximate.

Many thanks for taking the time to reply. I'll keep looking. It never ceases to amaze me how something that would appear to be so simple turns out to be so difficult.
Steve

 

[Stevoswing]

FTSE 100 dividend yield approximation

For those of you who may be interested.

I paid for FTSE 100 total return data from Global Financial Data (data start 1994). I then compared that data with an estimate of the FTSE 100 total return, derived by approximating the historical dividend yield. I took today's ratio of dividend yield to interest rate (which on 16-Nov-07 when I did the analysis was 0.562, i.e. 3.23% dividend yield / 5.75% interest rate) and applied that constant ratio to the historical interest rate (downloading from BoE).

The difference between the two equity curves, each starting with £10,000, is immaterial - see the chart.

It almost seems too good?

Steve

 

[A Dashing Blade]

Ahhh, good idea backing it out of total return data.

 

[Stevoswing]

Ahhh, good idea backing it out of total return data.

Thanks. To be clear, in the absence of total return data, I estimated the historical dividend yield using the above rule and then applied it to FTSE 100 prices. I then paid for FTSE 100 total return data to find out how good the rule was. I expected it to be some way out and was very surprised to see it wasn't!

The key questions for me are (1) why is such a simple approximation so accurate (on the FTSE 100 from 1994-2007), is it just luck? And (2) is this approximation a general rule of thumb for all developed equity markets?

Steve

 

[cjtsmith]

Presumably your simple rule will not work under the extreme conditions we are experiencing today, with intrest rates incredibly low and dividend yields that have fallen but not so heavily.

I would be interested to know how you might modify your rule to make it still apply, for example by taking a yearly average of interest rates, or in some other way.

Chris.

 

[Stevoswing]

Presumably your simple rule will not work under the extreme conditions we are experiencing today, with intrest rates incredibly low and dividend yields that have fallen but not so heavily.

I would be interested to know how you might modify your rule to make it still apply, for example by taking a yearly average of interest rates, or in some other way.

Chris.

Hi Chris

Since I did the analysis I've been manually recording the actual dividend yield each week (actually the "Yield" as defined by ft.com on their Equities-Ratios page: FT.com / Markets data / Research Data Archive). As such I haven't given much thought to a better approximation rule. It would be nice if there was free downloadable histroical dividend yields somewhere on the web but I haven't found any yet.

Steve

 

[roy thurston]

Steve
Have you found any data source yet? Historic equity yields (for FTSE100 since 2000) is something I am trying to find but without success.
Roy Thurston

 

[Stevoswing]

Steve
Have you found any data source yet? Historic equity yields (for FTSE100 since 2000) is something I am trying to find but without success.
Roy Thurston

Roy

No I haven't. One idea for an approximation though would be to go to Yahoo Finance and download the historical data for the dividend yield for the FTSE 100 ETF ISF. It would be very lumpy, payable quarterly I think.

Please let me know if you do find the proper data! Thanks.

Steve

 

[TheLastMan]

Roy

No I haven't. One idea for an approximation though would be to go to Yahoo Finance and download the historical data for the dividend yield for the FTSE 100 ETF ISF. It would be very lumpy, payable quarterly I think.

Please let me know if you do find the proper data! Thanks.

Steve

I am afraid I have found this thread very late. The Office for National Statistics used to produce a time series going back to January 1963 of the FTSE All Share Dividend Yield as at the last trading day of the month.

Unfortunately they stopped doing this in May 2011 and the data does not appear on their web site any more. It used to have the reference A5FZ and appeared under their "Free Standing Statistics" table 7.1G. There is a limited archive on Timetric going back to 2003
FTSE all shares index, dividend yield, on the last working day | timetric.com

Since May 11 I have been updating this myself using the FT's web site "Research Data Archive". I attach the data since '63. You will just have to trust me that it is accurate of course, as you don't know me from Adam!

TheLastMan.

 

[Trading Spaces]

FTSE 350 Dividend tables, Yields, XD and Payment Dates, PE ratios, Market Capitalisation Information

this is a weekly speadsheet of dividends for uk shares

 

[Stevoswing]

I am afraid I have found this thread very late. The Office for National Statistics used to produce a time series going back to January 1963 of the FTSE All Share Dividend Yield as at the last trading day of the month.

Unfortunately they stopped doing this in May 2011 and the data does not appear on their web site any more. It used to have the reference A5FZ and appeared under their "Free Standing Statistics" table 7.1G. There is a limited archive on Timetric going back to 2003
FTSE all shares index, dividend yield, on the last working day | timetric.com

Since May 11 I have been updating this myself using the FT's web site "Research Data Archive". I attach the data since '63. You will just have to trust me that it is accurate of course, as you don't know me from Adam!

TheLastMan.

TheLastMan

I just realised I had not thanked you for the link and the historical data. So thank you very much!

Steve

 

[Stevoswing]

FTSE 350 Dividend tables, Yields, XD and Payment Dates, PE ratios, Market Capitalisation Information

this is a weekly speadsheet of dividends for uk shares

Trading Spaces

Thanks for the link, I have signed up.

Steve

 

[ProdigyMark]

I am afraid I have found this thread very late. The Office for National Statistics used to produce a time series going back to January 1963 of the FTSE All Share Dividend Yield as at the last trading day of the month.

Unfortunately they stopped doing this in May 2011 and the data does not appear on their web site any more. It used to have the reference A5FZ and appeared under their "Free Standing Statistics" table 7.1G. There is a limited archive on Timetric going back to 2003
FTSE all shares index, dividend yield, on the last working day | timetric.com

Since May 11 I have been updating this myself using the FT's web site "Research Data Archive". I attach the data since '63. You will just have to trust me that it is accurate of course, as you don't know me from Adam!

TheLastMan.

Hi TheLastMan. This data is great and exactly what I'm looking for in a study I'm undertaking. However I've checked with the ONS and with FT.com and there seems to be no data for the FTSE All Share Dividend Yield prior to 2003, even the ONS said there are no records.

Where has your data from 1963 to 2003 come from? I would find this data exceptionally useful, but cannot use it unless I get a source.

Thanks,