HIDRA INDEX Conservative Formula

Replication note. The original study identifies its sources and uses CRSP for the United States. HIDRA did not use that database for this study, relying instead on alternative sources and documented approximations to reproduce the methodology as faithfully as possible. Some implementation details are also not fully specified in the paper. The results are an independent adaptation, not an exact replication.

The strategy aims to provide systematic exposure to US equities through a portfolio of 100 companies from the Russell 1000 universe. Selection combines low volatility, recent price performance and net shareholder payouts. Holdings are equally weighted at each quarterly rebalance, with SPY as the benchmark for the US equity market.

The historical study starts with USD 1 million and uses the Portfolio123 proxy. At each quarterly cut-off, the 500 companies with the lowest 36-month volatility are shortlisted and ranked by momentum and net shareholder payouts. Entry takes place at the first close after the cut-off; returns include dividends and modelled IBKR/ARCA commissions.