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Y250107 / Aggregate shareholder appreciation data covering the last 3 months (Oct Nov Dec) 2024 /
Below is our monthly output tracking shareholder appreciation. We like to keep a passive watch on the companies generating the largest shareholder appreciation on a monthly periodicity.
The shareholder appreciation formula is similar to the total return for each stock, inclusive of any dividends paid in the month, less the risk-free rate available on T-Bills for the period. Said differently, ‘by how much did the specific equity outperform / underperform T-bills for the month?’
We track this data monthly and aggregate for the last 3 month period, illustrating the top 15 companies sorted by (1) top nominal shareholder appreciation and (2) top shareholder appreciators as a percentage of starting market capitalization.
The data is aggregated from a universe of ~3,200 publicly listed companies. All companies in the index are U.S. companies or are listed on a U.S. exchange.
Scroll past the tables for amplifying information on interpreting the output and formulas behind the figures.
December 2024 – Top Ranking Nominal Shareholder Appreciation Creators
3 Month total sum of shareholder appreciation, sorted largest to smallest ($bn)
COMMENT: Not surprising to see Salesforce climb this list over the past few months as their share repurchases are trending consistently stronger.
December 2024 – Top Ranking Shareholder Appreciators as % of Starting Market Capitalization
3 Month total shareholder appreciation as % of starting market cap (Sep-24), sorted largest to smallest ($bn)
Shareholder Appreciation Formula & Interpreting Results
The data is calculated on a monthly periodicity, and is intended to simulate holding the stock for one month vs. holding a risk free T-bill. This is a modified formula from H. Bessembinder’s 2018 paper ‘Do Stocks Outperform Treasury Bills?’
We begin our calculation for shareholder appreciation with the close price of the stock, and shares outstanding, on the final trading day of the previous month. The return is then calculated against the final closing price on the current month, including any cash dividends paid over the period. We then subtract the risk free return for the applicable month, against the total return calculated for the stock.
The shareholder appreciation figure is equal to the total return including dividends, a shareholder would earn by holding the stock over the month, less the risk free rate that could be achieved over the same period.
In Bessembinder’s work, he would then take these monthly returns and grow them by an accumulation factor, equal to the sequential (compounded) 1 month risk free rates to get a total wealth creation value, at any given point in time. For the data show above, we are simply summing the most recent three month periods.
4 Why Track This Data?
In Bessembinder’s ‘Do Stocks Outperform Treasury Bills?’ he very elegantly illustrated that the majority of individual (U.S.) stocks underperform 1 month T-bills over their full lifetimes, and that the bulk of the dollar wealth created in U.S. stock markets can be attributed to a relatively few successful stocks. Just 4% of listed companies explain the net gain for the entire US stock market since 1926.
Because this is so fascinating, we believe it is worth tracking. We have therefore modified Bessembinder’s formula slightly to focus on appreciation / destruction for just one month at a time and will be periodically updating our readers with the monthly output.
We acknowledge, and believe it to be generally underappreciated, that compounding is the true key to longer horizon returns. We do however, like to keep a pulse on the periodic prices Mr. Market has on offer and we find this monthly output a helpful supplement to other data sources we routinely monitor.
