RF VALUE strategy
Stock selection using economics value model
Buy and hold with quarterly observing & rebalance
RF Value: Strong Points
- Low trading expenses: Our theory focus on adjusted economic data, based on quarterly financial results, so turnover will be low.
- Good dividend yield: Although we do not focus on selecting dividend stock, our by product from good selection will result in good dividend yield stocks.
- Low Beta: another by product is the lower beta portfolio.
Back testing Conditions
- 17 years of adjusted financial data
- About 178 stocks, with average daily trading value 30 D >10 MTHB
- Top 30 Stocks for each quarter
- Observe and rebalance the holding quarterly
- Selection excludes bank and financial sectors
* Past performance doest not guarantee future performance (back testing)
Annual standard deviation
Annual Sharpe Ratio
RF Value and Dividend
- In comparison to SETHD (SET high dividend index), RF value and SETHD have 5 stock in common, HANA, TTW, ORI, BLAND, AP
- As of November 5, 2019, RF value portfolio has a 5.9 % dividend yield (exclude special dividend from NOBLE), compared to 5.05 % from SETHD
RF value and BETA
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