Benchmarking and Analysis on the Dividend and Market Cap Based Two-Minute Portfolio Investment Strategy

Date created
2012-08
Authors/Contributors
Author: Wang, Zhong
Author: Yang, Qi
Abstract
Two-Minute portfolio aims to be a heuristic investment strategy for conservative investors who prefer a well-diversiVed and less volatile portfolio. The portfolio rebalances to hold top 2 Canadian dividend-paying stocks (by market capitalization) in each of the 10 GICS sectors at 5% weight. Despite the claim that Two-Minute portfolio consistently outperforms the TSX Composite Index in most of the recent 26 years, quiet a few ambiguity is left undeVned by the author. The intention of this project is to backtest the return of the Two-Minute portfolio and compare the strategy with traditional mean-variance optimization framework. This project has shown that 1) although per-year return may be higher for the Two-Minute portfolio, holding the Two-Minute portfolio for a prolonged investment period may not be better oU than holding the TSX Index, 2) risk-adjusted return in the Two-Minute portfolio is not as desirable as the risk-adjusted return in the TSX market portfolio, and 3) the weight in Two-Minute portfolio is not mean-variance optimal when dealing with the correlation between diUerent portfolio securities.
Document
Description
MSc of Finance Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Permissions
You are free to copy, distribute and transmit this work under the following conditions: You must give attribution to the work (but not in any way that suggests that the author endorses you or your use of the work); You may not use this work for commercial purposes.
Scholarly level
Peer reviewed?
No
Language
Attachment Size
MSc Fin 2012 Zhong Wang and Qi Yang.pdf 598.63 KB