Randamentul fluxului de numerar gratuit înregistrează o scădere trimestrială în trimestrul 2

The S&P 500’s free cash flow (FCF) remains at a healthy above-average level on a trailing basis, but a decline in FCF yield is alarming given the slowing economy that companies face. I calculate these metrics based on S&P GlobalMetodologia lui (SPGI), care însumează valorile individuale ale componentelor S&P 500 pentru capitalizarea pieței și valoarea contabilă economică înainte de a le utiliza pentru a calcula valorile. Eu numesc aceasta metodologia „agregată”.

This report is an abridged version of S&P 500 & Sectors: Free Cash Flow Yield Posts Quarterly Decline in 2Q22, one of my quarterly series on fundamental market and sector trends. My research is based on the latest audited financial data, which is the 1Q22 10-Q for most companies. Price data is as of 5/16/22.

Trailing FCF Yield Falls in 2Q22

The trailing FCF yield for the S&P 500 declined from 2.25% on 6/30/22 to 2.04% as of 8/12/22.

Just four S&P 500 sectors saw an increase in trailing FCF yield from 6/30/22 to 8/12/22.

Detalii cheie pentru anumite sectoare S&P 500

With an 11.2% FCF Yield, investors are getting more FCF for their investment dollar in the Telecom Services sector than any other sector as of 8/12/22. On the flip side, the Real Estate sector, at -4.4%, currently has the lowest trailing FCF yield of all S&P 500 sectors.

The Telecom Services, Energy, Real Estate, and Healthcare sectors each saw an increase in trailing FCF yield from 6/30/22 to 8/12/22.

Below, I highlight the Telecom Services sector, which had the largest YoY improvement in FCF yield.

Sample Sector Analysis: Telecom Services

Figure 1 shows the trailing FCF yield for the Telecom Services sector rose from -0.9% as of 9/30/21 to 11.2% as of 8/12/22. The Telecom Services sector FCF rose from -$14.0 billion in 2Q21 to $147.7 billion in 2Q22, while enterprise value fell from $1.6 trillion as of 9/30/21 to $1.3 trillion as of 8/12/22.

Figure 1: Telecom Services Trailing FCF Yield: Dec 2004 – 8/12/22

The August 12, 2022 measurement period uses price data as of that date and incorporates the financial data from 2Q22 10-Qs, as this is the earliest date for which all the 2Q22 10-Qs for the S&P 500 constituents were available.

Figure 2 compares the trends in FCF and enterprise value for the Telecom Services sector since 2004. I sum the individual S&P 500/sector constituent values for free cash flow and enterprise value. I call this approach the “Aggregate” methodology, and it matches S&P Global’s (SPGI) methodology for these calculations.

Figure 2: Telecom Services FCF & Enterprise Value: Dec 2004 – 8/12/22

The August 12, 2022 measurement period uses price data as of that date and incorporates the financial data from 2Q22 10-Qs, as this is the earliest date for which all the 2Q22 10-Qs for the S&P 500 constituents were available.

The Aggregate methodology provides a straightforward look at the entire S&P 500/sector, regardless of market cap or index weighting, and matches how S&P Global (SPGI) calculates metrics for the S&P 500.

For additional perspective, I compare the Aggregate method for free cash flow with two other market-weighted methodologies: market-weighted metrics and market-weighted drivers. Each method has its pros and cons, which are detailed in the Appendix.

Figure 3 compares these three methods for calculating the Telecom Services sector’s trailing FCF yields.

Figure 3: Telecom Services Trailing FCF Yield Methodologies Compared: Dec 2004 – 8/12/22

The August 12, 2022 measurement period uses price data as of that date and incorporates the financial data from 2Q22 10-Qs, as this is the earliest date for which all the 2Q22 10-Qs for the S&P 500 constituents were available.

Dezvăluire: David Trainer, Kyle Guske II, Matt Shuler și Brian Pellegrini nu primesc nicio compensație pentru a scrie despre un anumit stoc, stil sau temă.

Anexă: Analiza randamentului FCF final cu diferite metodologii de ponderare

I derive the metrics above by summing the individual S&P 500/sector constituent values for free cash flow and enterprise value to calculate trailing FCF yield. I call this approach the “Aggregate” methodology.

The Aggregate methodology provides a straightforward look at the entire S&P 500/sector, regardless of market cap or index weighting, and matches how S&P Global (SPGI) calculates metrics for the S&P 500.

Pentru o perspectivă suplimentară, compar metoda agregată pentru fluxul de numerar liber cu alte două metodologii ponderate pe piață. Aceste metodologii ponderate pe piață adaugă mai multă valoare pentru rapoartele care nu includ valori de piață, de exemplu, ROIC și factorii săi, dar le includ aici, totuși, pentru comparație:

Valori ponderate pe piață – calculated by market-cap-weighting the trailing FCF yield for the individual companies relative to their sector or the overall S&P 500 in each period. Details:

1. Company weight equals the company’s market cap divided by the market cap of the S&P 500/ its sector
2. Înmultesc randamentul FCF al fiecărei companii cu greutatea sa
3. S&P 500/Sector trailing FCF yield equals the sum of the weighted trailing FCF yields for all the companies in the S&P 500/sector

Drivere ponderate pe piață - calculat prin ponderarea plafonului de piață FCF și valoarea întreprinderii pentru companiile individuale din fiecare sector în fiecare perioadă. Detalii:

1. Company weight equals the company’s market cap divided by the market cap of the S&P 500/ its sector
2. Înmultesc fluxul de numerar gratuit al fiecărei companii și valoarea întreprinderii cu greutatea sa
3. I sum the weighted FCF and weighted enterprise value for each company in the S&P 500/each sector to determine each sector’s weighted FCF and weighted enterprise value
4. S&P 500/Sector trailing FCF yield equals weighted S&P 500/sector FCF divided by weighted S&P 500/sector enterprise value

Fiecare metodologie are avantajele și dezavantajele sale, după cum se arată mai jos:

Metoda agregată

Pro-uri:

• O privire simplă asupra întregului S&P 500/sector, indiferent de dimensiunea sau ponderea companiei.
• Se potrivește cu modul în care S&P Global calculează valori pentru S&P 500.

Contra:

• Vulnerabil la impactul companiilor care intră / ies din grupul de companii, ceea ce ar putea afecta în mod nejustificat valorile agregate. De asemenea, susceptibil la valori aberante în orice perioadă.

Valori ponderate pe piață metodă

Pro-uri:

• Contabilizează capitalul de piață al unei firme în raport cu S&P 500 / sector și îi evaluează valorile în consecință.

Contra:

• Vulnerable to outlier results disproportionately impacting the overall trailing FCF yield.

Metoda driverelor ponderate pe piață

Pro-uri:

• Accounts for a firm’s market cap relative to the S&P 500/sector and weights its free cash flow and enterprise value accordingly.
• Atenuează impactul disproporționat al rezultatelor anterioare ale unei companii asupra rezultatelor generale.

Contra:

• Mai volatil, deoarece adaugă accent la schimbările mari în FCF și valoarea întreprinderii pentru companiile puternic ponderate.