Enhancing the Investment Performance of Yield-Based Strategies

17 Pages Posted: 5 May 2012 Last revised: 20 Mar 2017

Wesley R. Gray

Alpha Architect; Drexel University - LeBow College of Business

Jack Vogel

Alpha Architect; Villanova University

Date Written: November 1, 2012

Abstract

High dividend yield stocks do not reliably earn above-average risk-adjusted returns. More complete measures of shareholder yield, which account for net share repurchases, perform better. We explore the use of net-debt paydown as a way to further enhance shareholder yield. The addition of net-debt paydown enhances risk-adjusted returns and creates a shareholder yield metric that is more robust over time. We also explore the technique of separating yield metrics by payout percentage as a way to enhance return predictability. We find some evidence that using payout percentage within a yield category can systematically improve portfolio performance.

Keywords: Dividends, Share Repurchases, Share buy-backs, net-debt paydown, shareholder yield

JEL Classification: G10, G12, G14

Suggested Citation

Gray, Wesley R. and Vogel, Jack, Enhancing the Investment Performance of Yield-Based Strategies (November 1, 2012). Available at SSRN: https://ssrn.com/abstract=2051101 or http://dx.doi.org/10.2139/ssrn.2051101

Wesley R. Gray (Contact Author)

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
7732304727 (Phone)

HOME PAGE: http://www.alphaarchitect.com

Drexel University - LeBow College of Business ( email )

3141 Chestnut St
Philadelphia, PA 19104
United States

HOME PAGE: http://www.lebow.drexel.edu/corporate-services/corporate-and-executive-education/executive-faculty

Jack Vogel

Alpha Architect ( email )

213 Foxcroft Road
Broomall, PA 19008
United States
215-882-9983 (Phone)

HOME PAGE: http://alphaarchitect.com/

Villanova University ( email )

Villanova, PA 19085
United States

Paper statistics

Downloads
3,392
Rank
2,198
Abstract Views
11,736