Every once in a while, us “quantitative types” stop doing calculations long enough to look up and look around at “slightly less complex” methods.
Good thing too.
Consider the following strategy based on the S&P High Yield Dividend Aristocrats. This index focuses exclusively on companies in the S&P 500 that have grown dividends for at least 25 consecutive years. The ETF ticker NOBL (ProShares S&P 500® Dividend Aristocrats ETF) tracks this index.
Here is the “Non Rocket Science Related Dividend Strategy”:
*Hold the S&P Dividends Aristocrats Index during March, April, May, November and December.
*Hold Cash during all other months (for purposes of this test we will assume annual rate of interest of 1%)
Using monthly total return index data from the PEP Database by Callan Associates, the results appear in Figure 1.
Figure 1 – Growth of $1,000 using Jay’s Non-Rocket Science Related Dividend Strategy; 12/31/1989-6/30/2017
For the record:
*Average 12 months = +10.5%
*Median 12 months = +9.1%
*Standard Deviation of 12-month returns = 7.5%
*Worst 12 months = (-3.5%)
*Maximum Drawdown = (-6.6%)
Summary
Is this a “world beater, you can’t lose in the stock market” strategy? Not at all (especially since there is no such thing). But it does offer a place to start looking for someone looking for a relatively low volatility investment strategy.
Now if you will excuse me I have to get back to dividing the 3-day RSI by its own 10-day moving average. I think I may be onto something.