No. of Recommendations: 9
Since I'm retired, I worry less about beating the market than preserving capital and minimizing risk. To that end, I've tried to devise a screen that emulates Dividend Champs (i.e., long-established companies that've paid a dividend for more than 25 years and never lowered it.)
This is the P123 Script:
Universe(PRussell1000)//Stock Universe Russell 1000
!GICS(fsmisc)//No financial services companies
#APeriods > 25 // Company has been public for at least 25 years
FOrderOLD("TRSD5YD",#All,#ASC,#Previous,TRUE)<= 20 //20 with lowest daily price variance
Beta5Y < 1.0 //less volatile than the market average
Yield > 0 //pays a dividend
$Altman_Z > 2.99 //financially healthy
PayRatioTTM <= (PayRatio5Y*1.25) // payout ratio no worse than 25% above 5-year average
PayRatio5Y<= PayRatio5YInd*1.25 // payout ratio no worse than 25% above industry average
FOrderOLD("Yield",#All,#DESC,#Previous,True)<=8 //Select up to 8 with the highest dividend yield
Select up to 8 stocks; hold for 12 months. If less than 8 are selected, no stock can be valued at more than 50% of the total portfolio.
Although I couldn't find a factor to check for lowered dividend, this still tests pretty good. My P123 subscription only gives me 5-years of backtest data. Over the previous 5-years,this screen has a total return within 1% of the SP500, with -14% Max DD (vs -33% for the S&P), and a Beta of 0.31. I would be interested how this performs on GTR, if anyone cares to translate the script.
Thanks,
Taz
