System and method for trading dividend yielding securities

摘要

An automated trading system manages an exchange traded fund (ETF) to receive a dividend exceeding an underlying market index e.g. S&P 500 on which the traded fund is based and earn a total return correlated to the index. 80-90% of a portfolio is created based on the index S100 and the remaining 10-20% is automatically invested in trade stocks having a very high correlation to the index S106 (See Figure 4), which may be a weighted average correlation indicating volatility of an asset in relation to volatility of a benchmark such as the overall financial market. Historical information such as security information including prices, ex-dividend dates and dividend yield is used along with portfolio information to automatically buy stocks and determine optimal holding time. After going ex-dividend the stocks are sold S108, boosting dividend yield. The next stock is selected S110 or, if there is a paucity of dividends to trade investment is made in the portfolio to maintain the weightings of the index S112. The portfolio may implement a pair strategy, switching between stocks which pay dividends at different times during the year.