Screening Equities by Daily Range, Dividend Yield, and Company Type
Summary
This note describes an equity screen combining daily price range, dividend yield for 2019, and company ownership or scale. The proposed universe consists of stocks with an intraday high-to-low range above one percent, a 2019 dividend yield above 25%, and a company classified as a state-owned enterprise or a large private firm. The accompanying examples show how to combine these conditions in screening logic and Python-style data handling.
The rationale is that price movement may identify active stocks, while dividends and company characteristics may contribute fundamental or stability criteria. The note provides no backtest, portfolio returns, or evidence that these filters predict future performance. It warns that company classification is difficult and does not guarantee resilience, and suggests adding industry, financial statement, and macroeconomic information. Data definitions and the example implementation may also require adjustment: dividend yield, company type, and the meaning of the range threshold need consistent sourcing and validation before use.
Key ideas
- The screen combines an intraday range threshold with a historical dividend yield threshold and company classification.
- It favors state-owned enterprises and large private firms as a proxy for stability.
- The note presents screening examples but reports no performance evidence or backtest.
- Company categories and financial data require careful definitions and validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.