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Quality Income Screen 200 Qualifying

Quality Income is a dividend strategy focused on firms with strong fundamentals and high yields, based on research by Societe Generale. It looks for quality income stocks using checklists for identifying strong financial health, low bankruptcy risk and high, but not excessive, yields. Specifically, firms must be capitalised at more than £800 million, have a Piotroski F-Score of more than 7 out of 9 and a strong Altman Z-Score. Yields are capped at 15% to avoid potential dividend traps.The SocGen team explains: "As a real asset class, we think Quality Income is an attractive alternative to anyone buying credit thinking that’s the only way to generate a high yield." SocGen found that quality income stocks produced standout total returns that averaged 11.6% per year since between 1990 and 2012, more than doubling the return of the global equity markets but with significantly reduced volatility.

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Popular Delusions: Introducing SG's Quality Income Index

by Societe Generale Global Equity

In this paper the Societe Generale Global Equity team illustrate that 'Quality Income' stocks have a tendency to enormously outperform both Quality stocks and High Yielding stocks.

This screen uses the following criteria:

  • Yield % Rolling 1y > 4
  • Mkt Cap £m > 800
  • Piotroski F-Score >= 7
  • Altman Z Score (1) > 1.8
  • Economic Sector not in (Financials)
  • Yield % Rolling 1y < 15

Results are sorted by:

  • Yield % Rolling 1y in descending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -3.7% -3.6% -5.1% -7.4% -4.9% -5.2% -2.6% -3.1%
1 month -12.3% -8.6% -2.8% 0.8% -13.9% 5.9% -3.4% -4.2%
3 months -10.6% -11.3% -5.2% -0.9% -16.3% -5.0% -4.6% -6.4%
6 months -20.4% -20.6% -5.5% -11.8% -14.6% -15.6% -6.0% -12.0%
1 year -10.7% -18.7% 11.5% -11.8% -14.8% 1.1% 0.4% -8.7%
2 years -4.1% -3.4% 29.5% -11.8% 2.6% 5.2% 0.3% -2.1%
Annualised 5.1% 2.6% 16.2% -4.5% -2.0% 7.9% 3.3%
 
Risks
Max Drawdown -33.9% -25.0% -21.3% -24.9% -23.1% -24.1% -21.1%
Avg Holdings 13.6 24.2 14.3 0.2 3.1 25 16.3
Diversification Moderate Good Moderate Low Low Good Good