Investment Portfolio Building Based on High Dividend Stocks

The study test investment strategies based on investing in highly dividend stocks of companies listed on MOEX Broad Market for 2010-2019. In addition to construction the classic “Dogs of the Dow” strategy and its well-known modifications, such as changing the number of shares in a portfolio and filtration the initial sample by the P/E multiplier, the analysis of the behavior of dividend shares depending on the company’s industry was carried out. Portfolios consisted of shares with the highest dividend yield were built for 8 sectors. Using regression analysis, industries that allowed the investor to obtain statistically significant excess returns compared to the MOEXBMI index were determined. These industries formed the basis of diversified dividend portfolios, which were able to surpass the classical strategy both in terms of the size of accumulated and geometric returns, and in terms of Sharp, Sortino and Treynor ratios.