Zusammenfassung:
This study examines how effective the Dogs of the Dow (DoD) investment strategy, popular in the USA, was for the Polish blue-chip stock market between 2002-2023. This strategy involves investing the same amount of funds each year in shares of ten companies called Dogs of Dow with the highest dividend yield. The portfolio is then retuned every year - companies that do not meet the aforementioned criterion are removed, and new ones are added. For the entire research period, raw and risk-adjusted annual and five-year rates of return were determined for 10- and 5-component portfolios, taking into account transaction costs and dividend tax. Although both the DoD (YD10) and Puppies of the Dow (YD5) portfolios exceeded the average annual rate of return for the entire research period, it cannot be unequivocally stated that it is an effective and long-term method of beating the market. Neither the one-year nor the multi-period portfolios achieved positive abnormal returns consistently and systematically. Moreover, in most portfolios, the differences between portfolio and index returns were not statistically significant. Similarly, as in some foreign markets, the effectiveness of DoD strategies was higher in the first half of the research period (2002-2011), and declined over time. On the Polish market, as in other foreign markets, it was observed that 5-component portfolios (less diversified portfolios) generated higher returns than 10-component portfolios. The analysis of the effectiveness of the DoD during bull and bear market periods does not allow for a clear conclusion that during downturns this strategy allowed investors to limit their losses relative to the benchmark. Concluding the conducted research, it should be stated that there are no solid grounds to consider this strategy effective on the Polish market for the 2002-2023 period.