Approximately once per month I run a high-yield momentum screen using the free service on Finviz and post the results. Last month's list is here. Returns for the last month were 1.75% including dividends versus 2.98% for SPY and -.18% for SDY. The top performing stock from last month's list was Qwest Communications (Q) returning 6.93% while HCP Inc (HCP) was the worst performing at -5.66% (including dividends). The strategy has done well this year despite under-performing SPY last month.
The screen looks for high yielding high momentum stocks. I screen the S&P 500 for stocks yielding greater than 4% and then rank them by 6 month returns. There were 55 results (versus 53 last month) and per a previous article (see below for explanation), the highest momentum, high yield stocks have historically been the best performing so I have listed the top 20% based on 6 month returns, or 11 stocks.
The article in reference was a study done by Charles Schwab in which they studied the 1500 largest stocks by market capitalization from 1990-2009 and divided yielding stocks into 4 quadrants. They ranked the highest yielding stocks by 6 month price momentum, divided them into 5 segments, and found that highest yield stocks with the highest 6 month price momentum outperformed a) all other momentum segments (in other words, those high yield stocks with lower price momentum) and b) the annual return of the other yield quadrants. (more)
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