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.