Optimization of Investment Strategy Based on Dividend Stocks

This paper is devoted to the problem of forming the optimal investment portfolio on shares with high dividend yields on the Russian stock market. In it, using financial and econometric tools based on data for the period from 2008 to 2018, investment strategies on dividend stocks, yielding returns above the market index, were found. The analysis included: an assessment of the return of investment portfolios when the month of their formation, the number of securities included in them, the tenure period, the weights of the securities, the basis for its formation, and the method for selecting stocks were changed. In addition, the risk of investment strategy was taken into account using the Sharpe ratio and the Trainor coefficient. Using regression analysis, the reasons for the excess of investment portfolios returns over market returns were evaluated. A number of important results were obtained during the research. In particular, the possibility of a portfolio formation on the basis of dividend stocks, the yield of which would exceed the market, was proved. In addition, the improvement of the financial results of the portfolio was achieved by changing the number of securities, the month of portfolio formation, the weights of the securities and the introduction of an additional selection criterion based on fundamental indicators.