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Volume :20 Issue : 1 2013      Add To Cart                                                                    Download

Dogs of the Dow Investment Strategy: Application to the Euro Stoxx 50

Auther : Reda Farran
Mohammed Shahruz

This paper evaluates the performance of the Dogs of the Dow investment strategy when applied to the Euro Stoxx 50 index. We back test a hypothetical portfolio (Dogs Portfolio) that applies the strategy to the index from 1991 to 2010. The Dogs Portfolio outperforms the Euro Stoxx 50 in 13 out of the 20 years. On an annualized basis, the Dogs Portfolio nets a rate of return greater than the index's by 6.41%. The risk-adjusted performance of the Dogs Portfolio, measured by the Sharpe index, is greater than the Euro Stoxx 50's by approximately 65%.

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