A five-name January book from yield and price ranks

One annual procedure

The archive describes annual portfolio construction as a single ranking-and-hold procedure. Each year it ranks a thirty-name industrial index and keeps only the five names with the highest dividend yields and the lowest prices.

That rebuild is rank-rotation: the entire holdings list is rebuilt at a fixed calendar interval by re-ranking the same index universe. Changes in which companies sit in the thirty-name index do not change the ranking-and-hold procedure.

The value-screen and the January open

The selection step is a value-screen. It prefers names that combine a high dividend yield with a relatively low share price inside a blue-chip index, then keeps five names only.

The stated entry rule is seasonal-entry: buy on the first business day of January and hold for one year plus one day. The extra holding day is presented as a way to meet long-term capital-gains tax treatment.

How the hold is split

The write-up splits the mechanics into two parts: a rebound when the selected laggards trail the rest of the index, and cash dividends paid during the hold.

In the model described, cash-dividend-election applies. Cash dividends are taken into the account rather than reinvested in the same names.

The 2014 five-name set

The 2014 five-name set identified in the case was AT&T, Intel, Pfizer, General Electric, and Cisco Systems.

The case states that not every holding is expected to help in a given year and that three names often account for most of that year's work. That pattern is concentrated-carry: a small equal-count book in which a minority of names typically accounts for most of a given year's move.