HK Dividend Strategy Backtest 2015–2026

Summary

From 2015 to 2026, the top dividend-yield decile in Hong Kong returned 11.2% annualised gross. Net of 10% withholding tax and 84% average annual turnover, that falls to 7.4% — narrowing the gap to the Hang Seng total return index from 4.6 points to 0.8.

The backtest decomposes factor exposure by sector and by size, and tests three common refinements separately: excluding payout ratios above 100%, adding a consecutive-payment screen, and rebalancing quarterly rather than annually.

Only the payout ceiling holds up, lifting net annualised return to 9.1% and cutting maximum drawdown by six points. The consecutive-payment screen stops working after 2020, because survivors concentrate into utilities and telecoms; the volatility from that concentration cancels the screening gain. Quarterly rebalancing's gross improvement is entirely consumed by turnover cost…

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