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Financial Analytics: Science and Experience

Analyzing the efficiency of portfolio strategies based on the dividend yield concept: Evidence from the Russian stock market

Vol. 14, Iss. 3, SEPTEMBER 2021

Received: 13 May 2021

Received in revised form: 31 May 2021

Accepted: 20 June 2021

Available online: 16 August 2021


JEL Classification: G11, G17

Pages: 323–346


Natal'ya A. KHUTOROVA Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation


Nikita A. NAZIN JSC FINAM, Moscow, Russian Federation


Subject. The article focuses on the formation and management of the securities portfolio. In developed economies, various strategies are used to manage portfolios. The tendencies permeate the practice of portfolio managers and in the domestic market.
Objectives. We analyze the efficiency of portfolio management strategies based on the dividend yield concept in order to find the most appropriate one for the Russian market for mid-term investment.
Methods. The study is based on general methods of logic, comparative and statistical analysis, graphical and indicative comparative analysis.
Results. Having tested strategies based on the dividend yield concept, we suggested using an improved mid-term strategy, which may suit many investors, including institutional ones. The article presents our suggestions on the improvement of a strategy for creating and managing a securities portfolio in the Russian stock market, which is based on the Dogs-of-the-Do principle.
Conclusions and Relevance. Drawing upon the dividend yield concept, the proposed strategy ensures the average yield exceeding those of DOW 5 and DOW 10 strategies, bank deposit and investment in federal loan bonds. However, it is inferior to IMOEX and MOEXBS due to the lose of the portfolio balance once a year. Securities within the strategy make up ETF to lure more investors. The inclusion of FXUS increased the average annual yield by 2.45 percent. The addition of FXMM significantly reduces foreign currency risks. To optimize the strategy, there should be REPO with the central counterpart and CCP-cleared REPO, which raises its yield through arbitrage transactions.

Keywords: investment strategy, securities portfolio, dividend yield, Russian securities market


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Vol. 14, Iss. 3
September 2021