Blog: Forecast dividend yield strategy outperforms – Hong Kong SAR – IHS Markit

Executive summary

• Using S&P Global Market Intelligence estimates, dividend
factors constructed based on high forecast dividend yield (HFDY)
outperforms Hong Kong SAR’s benchmark3 by 2.43% annualized over the
past decade. HFDY is also better versus trailing dividend yield
metrics (HTDY) by 0.67% annualized over the same period.

• HFDY presents better risk-adjusted return at 21.80% (Sharpe
Ratio 10 years) and 27.63% (Sortino Ratio 10 years), compared with
16.98% and 21.70% for HTDY.

• Over the past decade, forecast dividend yield proved to be a
defensive cushion of share price drops with a higher information
coefficient (IC)4 during bear months.

• HFDY provides exposure to typical high-yielding sectors. Over
the past 10 years, the top sector— Financials—had an
average exposure of 36.1%, representing a 10.6% active exposure
compared with the benchmark. Compared with yield strategies,
dividend factor constructed based on high forecast dividend growth
(HFDG) exhibits better sector diversification, but underperforms

• Dividend Forecasting service, supported by fundamental
bottom-up approach adds key values to generating more meaningful
dividend yields in forward-looking trading strategies, based on our
case studies.

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Posted 19 September 2022 by Ruiying Zhao, Research Analyst, Equity Data & Analytics, S&P Global Market Intelligence

IHS Markit provides industry-leading data, software and technology platforms and managed services to tackle some of the most difficult challenges in financial markets. We help our customers better understand complicated markets, reduce risk, operate more efficiently and comply with financial regulation.

This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.

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