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Dividend Harvest with Eventvestor
James W
edited Jul 5, 2017
Seeking Help Using Data

This strategy tries to hold each stock for as little time as possible to receive the dividend, and then jumps to the next. It buys a stock near the close for stocks that are 1 day ahead of their ex-dividend dates, and then sells it immediately on the open.

Because dividends aren't paid immediately, I tried to track the round trip returns though the record function. The payoff should be the value f the dividend minus the change in portfolio value while holding the stock. To estimate the gain, I record the portfolio value before I enter my trades, the number of shares and the dividend per share, and the portfolio value after I exit the trades.

I wasn't expecting this to be a perfect match to the returns, but my estimate is about 15x higher than the backtester returns. Can anyone explain where the difference is coming from or where I've made a mistake? I'm guessing that I'm somehow missing the record date and dividend along with it.

Also, one interesting thing is that it looks, to me, like you can see the spread of quant trading through the returns. It does really well up until the 2010's, and performance slows down as I would assume more and more people implemented quant strategies. If anyone has access to the premium data, it'd be really interesting to see how it performs over the last two year!!

1 response
James W
Jul 5, 2017

Figured out that I was double counting the dividend by tracking the change in overnight portfolio value without accounting for any dividends that may have been paid. That accounted for the bulk of the difference, but my new tracker is still showing about 2x the expected gains than the backtest returns.

This backtest is without the SPY hedge that is in the first backtest, keeps leverage under control, and starts with higher capital. Also, I stop all trading in April 2015 to allow for all dividends to be paid before the end of the backtest.

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