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  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    This is the S&P 500 Total Return Index and the S&P 500 Dividend Aristocrats Total Return Index. The graph is the cumulative total return (including reinvested dividends) of the two indices since the start date. You will not find a price graph on yahoo. ETFs that attempt to replicate this index have not existed for much of the time horizon, but I believe that this is the best way to examine total returns of this strategy versus the market benchmark over a long enough time intervals to capture multiple down markets.
    Feb 25, 2015. 02:40 PM | 4 Likes Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    2 Reb - that is an interesting study. Could you please share the link?
    Feb 24, 2015. 07:22 PM | 1 Like Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    There is no survivorship bias here.
    Feb 24, 2015. 07:20 PM | 1 Like Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    This index shows the total return of the constituents that met the Dividend Aristocrats qualifying criteria. Non-qualifiers are "sold" each January when the index is rebalanced.
    Feb 24, 2015. 07:19 PM | 1 Like Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    You are correct, the issue is the same as for the S&P 500. This strategy owns the constituents that met the Dividend Aristocrat qualifications for a given year. The index is rebalanced each January. If a stock has underperformed because it has cut its dividend, the index performance is capturing this performance in the index total return.
    Feb 24, 2015. 07:17 PM | 2 Likes Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    The source data is S&P, the purveyor of the index.
    Feb 24, 2015. 07:15 PM | 1 Like Like |Link to Comment
  • The Dividend Aristocrats And Maximum Drawdowns [View article]
    David is correct on the approach, which is why I am using index returns. It might be easier to think in terms of the broader S&P 500, certainly we see additions and deletions each year (M&A, bankruptcy, IPOs of eligible firms, etc.). In the case of the Dividend Aristocrat Index, the index is rebalanced each January, and constituents that no longer qualify are removed. Constituents that newly meet the inclusion requirements are added. You can review the methodology yourself through the linked microsite. http://bit.ly/TP3UYO
    Feb 24, 2015. 07:14 PM | 1 Like Like |Link to Comment
  • Low Volatility Stocks And Maximum Drawdowns [View article]
    Agreed - you want the lower drawdown of SPLV prior to a market correction
    Feb 23, 2015. 06:39 PM | Likes Like |Link to Comment
  • Do These 9 Stocks Represent Your Portfolio? [View article]
    SPY is the ETF most commonly used
    Feb 22, 2015. 12:54 PM | Likes Like |Link to Comment
  • Do These 9 Stocks Represent Your Portfolio? [View article]
    When I talk about the performance of the domestic equity market, I reference the market capitalization-weighted S&P 500.
    Feb 22, 2015. 10:04 AM | Likes Like |Link to Comment
  • Low Volatility Stocks And Maximum Drawdowns [View article]
    I wrote about dividend stocks and higher interest rates using 1994, a year of sharply higher interest rates, as my example. Dividend stocks held in well. This might be a good idea of an article to reprise as I have gotten this question several times recently. Attached is the link to my article example:

    http://seekingalpha.co...
    Feb 21, 2015. 05:24 PM | 2 Likes Like |Link to Comment
  • Low Volatility Stocks And Maximum Drawdowns [View article]
    They both have their merits. I am not trying to minimize volatility as in USMV, but rather I want to own a lower vol segment of the market rebalanced periodically. USMV is more diverisifed by sector, and has a slightly lower expense ratio. I have seen data on the underlying index - MSCI USA minimum Volatility back to 1998, the performance is similar to the SPLV index. I view low vol as a factor tilt versus the S&P 500, which I view as the market benchmark, which is why I prefer SPLV. Really its personal preference and both will capture the low vol anomaly if it persists. Thanks for the question.
    Feb 21, 2015. 04:55 PM | Likes Like |Link to Comment
  • Are Stocks Most Expensive On Record? [View article]
    He won the Nobel Prize in Economics in 2013 with frequent co-contributor Eugene Fama for their work on market theory, including the Fama-French Three Factor model, which more accurately described stock market returns by adding a value and size component to market risk.
    Feb 21, 2015. 02:37 PM | 1 Like Like |Link to Comment
  • Do These 9 Stocks Represent Your Portfolio? [View article]
    Galt Machine - the Dow Jones uses a type of adjusted price weighting that uses a divisor that smooths the effect of one-off items like stock splits, but not more regular items like dividends. It is price-weighting, but a little less straight forward than a simple sum of the parts. The methodology is attached in this link:

    http://bit.ly/18dPDkW
    Feb 21, 2015. 12:51 PM | 2 Likes Like |Link to Comment
  • Low Volatility Stocks And Maximum Drawdowns [View article]
    As P.Gadget said, it was the tech bubble, which inflated the value of the S&P 500, but had a much smaller impact on low vol investments because the high flying tech stocks' higher volatility kept them excluded from that subindex
    Feb 21, 2015. 12:38 PM | 2 Likes Like |Link to Comment
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