Анализ эффективности инвестиционной стратегии «собаки Доу» на российском фондовом рынке за период 2005—2018 гг.

Финансы и кредит. 2019. Т. 25. № 7. С. 1663–1679.

Subject The research investigates the Dog of the Dow strategy implying the formation of a portfolio of stocks yielding high dividends.

Objectives The study evaluates the efficiency of the Dog of the Dow strategy with respect to the Russian stock market for the period from 2005 through 2018.

Methods The methodological framework includes methods of statistical and comparative analysis.

Results I formed classical and modified portfolios as per the Dog of the Dow strategy. The article compares the return on such portfolios and the return on the market index, considering the capitalization of dividends and omitting them. The Dog of the Dow strategy was evaluated also through the risk to return test measured with the Sharpe ratio.

Conclusions and Relevance The Dog of the Dow strategy was found to be more efficient in comparison with investment in the index portfolio in terms of return and risk to return test. My conclusions are valid with or without the capitalization of dividends. Based on the Russian stock market data, the investment strategy is proved to be efficient, implying the formation of a portfolio of stocks yielding the highest dividends. The findings can be relevant to would-be investors when forming their portfolio of securities.

Keywords: дивидендные акции, инвестиционная стратегия, strategy of the dogs of the Dow, Собаки Доу, high dividend yielding stock