One problem I have been running into with my formula approach is there have not been that many stocks qualifying. One issue may be that the market is extended, so it is tougher to yield 2.6%. I thought it might be interesting to look at the count of stocks that yielded 2.6% or great by year (recall each year has 50 stocks per month, so 600 stocks per year, though not all unique) that have a market cap greater than 600m from the greater than 100m screen.
The results surprised me a bit:
|2.6% to 4%||18||15||28||19||16||45||76||95||72|
|4% to 6%||25||8||12||19||26||34||42||51||32|
|6% to 10%||23||25||10||13||9||7||12||16||12|
I was really surprised that 2013 was the peak year. And only 59 stocks in 2007. That does have some implications. It means my back testing is based on a smaller sample size that I expected in the older years (only about 10% of total stock population). I wondered if one issue was the "inflation" impact I mentioned before. A 600m company in 2006 was "bigger" than a 600m company in 2013. Then I also wondered if the low growth environment we are in has caused more companies to increase dividends rather than invest back into company. So I am not really sure what to make of this although it does suggest my formula approach will continue to have duplication issues.