A recently posted study laid out some of the benefits of dividend futures as an inflation hedge. It may be worth adding the product into a momentum trading strategy to test.
“A study2 was carried out of the relationship between (daily) changes in the Dow Jones EURO STOXX 50® Index December 2008 dividend swap and the (daily) change in:
• Three-Month EURIBOR
• Dow Jones EURO STOXX 50® Index; and a
• Generic ten-year European government bond yield
for the period from March 16, 2006 to March 14, 2008.
The results showed that there would seem to be little relationship between dividends in terms of Dow Jones EURO STOXX 50® Index dividend swaps and EURIBOR, European equities and bonds. The R2 or “goodness of fit” statistic was 0.01 in all three cases showing that little correlation existed between the variables under investigation.
Note the outperformance of more distant contracts.
note :
The study is pretty limited and more work would need to be done, but with with Hong Kong adding dividend futures, and as Russia just started trading their dividend futures product, there are plenty of strategies that could be employed.
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