Dividend Mom EW

Created

02/2023

Factor Allocation Stocks




Portfolio Overview



The Dividend Momentum EW (Equal Weight) portfolio applies a relative strength momentum strategy focused on the Dividend Aristocrats, which are well-established companies with a long history of consistently increasing dividends. This strategy ranks the best-performing stocks based on their past returns, using momentum-driven criteria to determine asset selection.

The portfolio holds the top 5 best-performing assets, each allocated with equal weight. Multiple weighted performance windows are used to assess asset performance, ensuring a comprehensive view of historical returns, and enhancing the ability to identify persistent outperformers.

For risk control, the strategy includes a moving average filter. When the index falls below this moving average, the portfolio shifts assets to iShares 20+ Year Treasury Bond ETF (TLT) for a more defensive allocation. Additionally, a 20% stop-loss is implemented at the individual asset level to further limit downside risk.

Trades are executed on a quarterly basis, ensuring that the portfolio is periodically rebalanced based on updated momentum signals.


StopLoss: A stop loss at the asset level with a 20% threshold. If the asset gets stopped, the cash will be invested in TLT until the next signal.

Rebalance: At Monthly Signal (within 5%, watch tutorial)




Summary of Statistics





Statistic

Portfolio

Benchmark 60SPY/40IEF

Annualized Return

9.01%

9.5%

Annualized Volatility

17.79%

9.9%

Max Drawdown (EOM)

-30.59%

-29.5%

Longest Drawdown

34 Months

40 Months

Best Month Return

16.46%

10.7%

% Profitable Months

54.7%

66.7%

Worst Month Return

-16.7%

-10.7%

Sharpe Ratio

0.49

0.5

Sortino Ratio

0.77

0.84





Growth of $10,000 (starting on Aug 2019)







Growth of $10,000 (starting on Jan 2007)





Drawdown Curve








Average Asset Allocations








Positions / Month: (1-5)





Monthly & Annual Returns









Benefits

  • High-Quality Stock Selection: Focuses on Dividend Aristocrats, companies with a proven history of financial stability and dividend increases, providing a solid foundation for the portfolio.
  • Momentum-Based Strategy: Utilizes a relative strength momentum approach, selecting assets with the strongest performance trends to ensure the portfolio captures market leaders.
  • Robust Risk Management: Employs a moving average filter to dynamically shift assets to TLT during periods of market weakness, reducing risk exposure.
  • Equal Weighting for Diversification: Ensures that each selected asset has equal representation, mitigating the risk of concentration and promoting balanced diversification.
  • Stop-Loss Protection: The 20% stop-loss threshold at the asset level provides an additional layer of downside protection, helping to safeguard against significant losses in individual holdings.






TAA Portfolios by StatOasis