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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

Interesting. Suggest seeing if you can identify "mounds of toast" (even if just the last 5 years) around a minimum Yield number. Maybe vary the yield up from .5 to 2.5 or 2.5 in .5 increments? Same with Beta, same with PayRatios. Etc.

FC

Select up to 8 stocks; hold for 12 months.

Yield varies with the stock's market price, even if price variance is low, even though the dividend itself is constant from period to period. Having bought a stock that pays a suitable dividend, why hold it only for a year? Why not hold it until the company drops its dividend payout, or the market price suggests the company is getting into trouble?

Eric Hines

Here is a first draft.
5-yr CAGR was 7.9 and 5-yr MDD -24.
gSPY 5-yr CAGR was 8.7 and MDD -34.

What are the average number of stocks passing each step? Comparing counts will help determine if these screens really are similar.

        passing
step0   3945.8
step1   1000.0
step2    475.2
step3    200.0
step4    170.4
step5    156.0
step6     44.8
step7     44.8
step8     41.4
step9     35.4
step10    17.9
step11    17.0
step12    8.0

{LowVolatility_LowPayout2023a}
step0: [Security Type; lag=1 days] == 10,11,18,48
step1: [rMktCap] <= 1000
step2: [Mkt Days Since Security Opened; lag=1 days] >= 6300
step3: [TR1-Volatility over 799 periods; lag=1 days] Bottom 200
step4: [TR1-Beta vs S&P500 over 799 periods; lag=1 days] < 1
step5: [Yield] > 0
step6: [SI Z Score Q1; lag=1 days] > 2.99
step7: [EPS] > 0
step8: [Payout] > 0
step9: [100*[Payout] - 1.25*[payout5yr]] <= 0
step10: [100*[Payout] - 1.25*[payoutInd]] <= 0
step11: [100*[Payout] - 1.25*[SI Payout - 7 Year Avg.; lag=1 days]] <= 0
step12: [Yield] Top 8
https://gtr1.net/2013/?~LowVolatility_LowPayout202...

SIP Altman Z is:
http://www.datahelper.com/mi/search.phtml?nofool=y...

P123 had 3 versions: Altman Z Score (three versions)
http://www.datahelper.com/mi/search.phtml?nofool=y...

I agree with your 'Hold' conjecture. On the original Dividend Champs website, the same stocks are often held a long time. For the sake of benchmarking, P123 Only lets me hold stocks for 1 year before rebalancing.

Taz

Thanks much! Did you run it for a more extended backtest period? I'm curious if it holds up for the long run.

Thanks,
Taz.

The most significant difference I see, is that you appeared to select stocks <$1B whereas the Russell1000 stocks are all larger.

Taz

As of 5/24/23:

stocks matching:
970 Universe(PRussell1000)//Stock Universe Russell 1000
880 !GICS(fsmisc)//No financial services companies
557 #APeriods > 25 // Company has been public for at least 25 years
20 FOrderOLD("TRSD5YD",#All,#ASC,#Previous,TRUE)<= 20 //20 with lowest daily price variance
20 Beta5Y < 1.0 //less volatile than the market average
19 Yield > 0 //pays a dividend
10 $Altman_Z > 2.99 //financially healthy
7 PayRatioTTM <= (PayRatio5Y*1.25) // payout ratio no worse than 25% above 5-year average
5 PayRatio5Y<= PayRatio5YInd*1.25 // payout ratio no worse than 25% above industry average
5 FOrderOLD("Yield",#All,#DESC,#Previous,True)<=8 //Select up to 8 with the highest dividend yield

Taz

Do you want 20 with lowest daily price variance? I thought that was a typo. This step only keeps 4% of stocks (20/557).

What is GICS(fsmisc)? The Finance sector can be divided into Banking, Services, and Insurance. I can't find fsmisc in the P123 documentation.

GICS(fsmisc) //No financial services companies

https://community.portfolio123.com/t/gics-vs-rbics...
https://community.portfolio123.com/t/factset-gics-...

GICS(fsmisc) is an older version that P123 must still recognize. The new ones to use are:

Sector!=CONSUMERSVCE //No service industries
SubSector!=INVESTSVCESS

I did want the 20 stocks with the lowest daily price variance. It seems to make a large difference in the overall return.

Thanks for the input.

Taz

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...

Of the 20 companies that you listed, 10 have paid dividends for the past 25 years. Here's their data:

co. Payout 5y trailing
ratio beta yield rank

jnj 94% 0.53 2.93% 3
cl 98 0.43 2.47 8
kmb 80 0.42 3.40 1
pg 63 0.39 2.58 6
hrl 59 0.16 2.76 4
ko 78 0.55 2.95 2
pep 96 0.55 2.50 1
wmt 54 0.49 1.15
chd 63 0.46 1.13
sjm 60 0.21 2.75 5

average yield of top 8: 2.79%


Definitely looks like a portfolio of solid companies.

Taz

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