Post #516 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Standard gtr1 only does about 3 years of retrospective, and so can't duplicate P123's 5 years of daily returns.

Of course, there are many ETFs available:
NOBL ProShares S&P 500 Dividend Aristocrats
RDVY First Trust Rising Dividend Achievers ETF
SPHD Invesco S&P 500 High Dividend Low Volatility ETF
SDOG ALPS Sector Dividend Dogs ETF

{Old_VeryLowVolatility} screen's CAGR is close to the general market.

Screen                            CAGR  GSD  MDD  Sharpe  Beta  AT     From       To     Depth
SP500MktCapWeight                 8.7   22   -34   0.46   1.0   0.1  20180309  20230310   500
LowVolatility_LowPayout2023a      7.9   16   -24   0.49   0.6   1.2  20180309  20230310    8
VeryLowVolatility_LowPayout2023b  6.7   19   -30   0.38   0.6   1.4  20180309  20230310    3
Old_VeryLowVolatility             9.3   17   -34   0.57   0.6   0.7  20180309  20230310    20
VeryLowVolatility                 4.3   23   -44   0.26   0.7   0.7  20180309  20230310    20
 
SP500MktCapWeight                 12.4  17   -34   0.80   1.0   0.2  20120702  20230310   500
LowVolatility_LowPayout2023a      12.0  13   -24   0.90   0.6   1.2  20120702  20230310    8
VeryLowVolatility_LowPayout2023b  8.0   15   -30   0.57   0.6   1.1  20120702  20230310    2
Old_VeryLowVolatility             11.3  14   -34   0.86   0.6   0.6  20120702  20230310    20
VeryLowVolatility                 9.1   17   -44   0.63   0.7   0.7  20120702  20230310    20
 
SP500MktCapWeight                 10.3  17   -54   0.44   1.0   0.2  19570301  20230310   499
Old_VeryLowVolatility             11.1  13   -41   0.58   0.5   0.6  19570301  20230310    20
VeryLowVolatility                 11.7  13   -44   0.63   0.5   0.7  19570301  20230310    20

The 20 Russell 1000 stocks older than 25 years with the lowest daily price change volatility:

Ticker  styp.a     [MktCap]     fincd49.a  dspo:1  vol:1,799,1  Company Name
  VZ      11          154,052       32      9845       0.21     VERIZON COMMUNICATIONS INC
  JNJ     11          394,836       13     19749       0.22     JOHNSON & JOHNSON
  BMY     11          137,911       13     22541       0.23     BRISTOL MYERS SQUIBB COMPANY
  CL      11           59,214       9      23424       0.23     COLGATE PALMOLIVE COMPANY
  KMB     11           41,291       9      23636       0.24     KIMBERLY CLARK CORP
  PG      11          323,651       9      23571       0.24     PROCTER & GAMBLE COMPANY THE
  HRL     11           21,409       2      15276       0.24     HORMEL FOODS CORP
BRK-A     11          670,433       46     11700       0.24     BERKSHIRE HATHAWAY INC CL A
  KO      11          256,183       3      24482       0.24     COCA COLA COMPANY THE
  GIS     11           46,296       2      23745       0.25     GENERAL MILLS INC
  K       11           21,840       2      16067       0.25     KELLOGG COMPANY
  PEP     11          236,929       3      24482       0.25     PEPSICO INC
 SLGN     11             5,673      17      6559       0.25     SILGAN HOLDINGS INC
BRK-B     11          670,216       46      6754       0.25     BERKSHIRE HATHAWAY INC CL B
  WM      11           60,949       49      8760       0.25     WASTE MANAGEMENT INC
  WMT     11          369,381       43     12684       0.25     WALMART INC
  MRK     11          273,381       13     19340       0.25     MERCK & COMPANY INC
  CHD     11           20,470       9      11648       0.25     CHURCH & DWIGHT COMPANY INC
  SJM     11           15,769       2      14444       0.26     J M SMUCKER COMPANY THE
  HSY     11           34,929       3      23997       0.26     THE HERSHEY COMPANY

https://gtr1.net/2013/?~LowVolatility_LowPayout202...
https://gtr1.net/2013/?~VeryLowVolatility_LowPayou...
https://gtr1.net/2013/?~Old_VeryLowVolatility:h63f...
https://gtr1.net/2013/?~VeryLowVolatility:h63f0.4s...
https://gtr1.net/2013/?~SP500MktCapWeight:h63::sp5...

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