High-Dividend Portfolios with Filters on the Financial Performance and an Optimization of Assets Weights in a Portfolio
- Resource Type
- Authors
- Irina Borenko; Ekaterina Dubova; Sergey Volodin
- Source
- Scientific Annals of Economics and Business, Vol 65, Iss 3, Pp 347-363 (2018)
- Subject
- Rate of return
Computer science
Process (engineering)
05 social sciences
lcsh:Business
Portfolio investment
General Business, Management and Accounting
portfolio investment
Order (exchange)
0502 economics and business
Econometrics
Portfolio
Dividend
high-dividend models
G11
Dogs of the Dow
050207 economics
lcsh:HF5001-6182
«Dogs of the Dow»
General Economics, Econometrics and Finance
050203 business & management
Complement (set theory)
- Language
- ISSN
- 2501-3165
This paper is dedicated to the investigation of the strategies related to the high-dividend portfolio investment. The aim of this research is to increase the high-dividend portfolio efficiency by adding some filters and optimization weights of the assets in the portfolio. In order to achieve this goal, the authors complement the classical version of the «Dogs of the Dow» strategy with financial indicators ROA and P/E with equal and optimized weights of the assets in each portfolio. Two additional parameters are also used in the process of testing: the number of stocks and the month of the annual portfolio rebalancing. Thus, the obtained models have high-quality advantages in comparison with the traditional concept of high-dividend investing, eliminating its inherent disadvantages and providing higher rates of return.