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Welcome to the Academy of Financial Service’s 2019 Annual Meeting being held in Minneapolis, Minnesota in conjunction with FPA’s Annual Conference 2019. This is the full agenda for AFS. For details on FPA items, visit their Full Schedule. Please report any errors to support@academyfinancial.org.
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Tuesday, October 15 • 9:00am - 9:50am
A1a An Empirical Analysis of the S&P 500 Sector Dogs Trading Strategy [CFP Investments]

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The Dogs of the Dow strategy has long been popular among investors.  McQueen, Shields, and Thorley (1997) find that while the strategy beat the Dow with statistical significance the results were not economically significant.  However, Filbeck, Holzhauer, and Zhao (2017) examine a variation of the Dogs of the Dow using Fortune’s Most Admired Companies and find it beats the S&P 500 on a risk-adjusted basis with both statistical and economic significance.  We test another variation that applies the Dogs of the Dow strategy to the S&P 500, selecting the five highest dividend yield stocks from each S&P 500 sector.  We compare returns of this Sector Dogs strategy to those of the Dogs of the Dow and the S&P.  We find that this strategy produces significantly higher raw returns.  The Sector Dogs also significantly outperforms the S&P in terms of the Treynor Ratio and Jensen’s Alpha.

Author(s): Brett Cotten, Autumn Wilson, Alan Tidwell

Presenters
BC

Brett Cotten

Associate Professor, Columbus State University


Tuesday October 15, 2019 9:00am - 9:50am CDT
201 A

Attendees (3)