Comparison of Strategies Based on Stocks of Dividend Aristocrats and Based on Financial Multipliers

This study examined data on companies from the S&P 500 Index and the S&P 500 Dividend Aristocrats Index. The purpose of the study was to compare, taking into account the risk, the effectiveness of building strategies from Dividend Aristocrats companies and the effectiveness of strategies based on financial multiples. The novelty of the work lies in the depth of the period under consideration - the models were trained on data since 2002 and retrained annually, comparing two important strategies in today's market taking into account risk and analyzing the impact of market capitalization on portfolio profitability. The result of the work was the determination of the effectiveness of the strategies: the insufficient efficiency of dividend aristocrats, the high profitability of the company with a high P/E and ROE multiplier and the presence of a negative relationship between market capitalization and risk-adjusted returns.