The following results are based on the Staples Sector JO Screen file from 2014.03.02. At that time stocks were scored solely on shareholder yield. Stocks are sorted into quintiles based on SY. Next, average monthly returns per quintile are computed. Average monthly quintile returns are used to compute cumulative returns and sharpe ratios.

The results indicate that stocks in the highest three quintiles do significantly better than those in the lower two.

I find it interesting that being moderate (i.e., the middle quintile) is the best performer, consistent with teachings from the Bhagavad Gita (“be moderate”).

Om.

Cumulative returns by JO Screen quintile

Staples Sector

2014-03-02 to 2015-02-15

Note: Quintile 5 contains the higest SY scores, Quintile 1 contains the lowest.

Sharpe ratio by JO Screen quintile

Staples Sector

2014-03-02 to 2015-02-15

Note: Quintile 5 contains the higest SY scores, Quintile 1 contains the lowest.