The strategy we used in Singapore market works as follows:
The universe: All SGX listed company with Fiscal Year ends on 12/31, and report their financial statements in SGD. Top 50% by Market Cap. (to avoid penny stocks)
At the end of each March, (when most companies reported their annual results), we will rank the company by their trailing Shareholder's Yield from high to low and buy into the top 9-20 stocks in the universe. The portfolio will be held for a year and we will repeat the process at end of March next year.
We back tested this strategy from Mar 2001 to Mar 2013. And the performance is as follows:
We break down the whole universe into 5 groups by their ranking in shareholder's yield:
Group 1 = The top 20% stocks with the highest ranking. Group 5= the bottom 20% stocks with the lowest ranking
| Group1 | Group2 | Group3 | Group4 | Group5 | Whole universe | STI ETF | |
| 2001 | 28.90% | 19.52% | 7.82% | 8.60% | 24.45% | 17.86% | 10.76% |
| 2002 | -6.33% | -23.08% | -22.70% | -19.73% | -26.93% | -19.75% | -27.07% |
| 2003 | 76.38% | 67.06% | 49.81% | 67.09% | 45.01% | 61.07% | 50.42% |
| 2004 | 24.79% | 13.73% | -2.78% | -26.75% | 2.36% | 2.27% | 21.05% |
| 2005 | 17.57% | 49.22% | 60.52% | 43.60% | 13.02% | 36.79% | 21.60% |
| 2006 | 31.34% | 43.22% | 53.87% | 39.68% | 38.30% | 41.28% | 27.62% |
| 2007 | 9.31% | -8.71% | -12.30% | -12.24% | -29.33% | -10.65% | 0.11% |
| 2008 | -43.36% | -50.15% | -54.95% | -54.21% | -47.96% | -50.13% | -42.36% |
| 2009 | 148.94% | 109.65% | 110.84% | 63.97% | 121.71% | 111.02% | 75.35% |
| 2010 | 23.45% | 21.89% | 18.08% | 4.08% | 24.64% | 18.43% | 9.03% |
| 2011 | -0.63% | -2.43% | 15.01% | -5.98% | -7.25% | -0.26% | -0.37% |
| 2012 | 26.67% | 25.26% | 29.82% | 22.37% | 40.17% | 28.86% | 12.69% |
| Annual | 20.98% | 14.92% | 13.15% | 4.46% | 8.92% | 12.95% | 9.05% |
The results show that as described in Mr. O'Shaughnessy's test on US market--the group with higher ranking will perform better over years, the same pattern can be seen in SG market.
Breaking down the universe into 10 groups by ranking shows a similar pattern, albeit less clear.
We started real life application at the end of March 2013 and below is the list of top 20 stocks. We invested in the top 10.
The performance in the portfolio will be updated monthly. Disclaimer: Please note that the information are provided for you by way of information only. All the information, report and analysis were and should be taken as having been prepared for the purpose of general circulation and that none were made with regard to any specific investment objectives, financial situation and particular needs of any particular person who may receive the information, report or analysis (including yourself). Any recommendation or advice that may be expressed in or inferred from such information, reports or analysis therefore does not take into account and may not be suitable for your investment objectives, financial situation and particular needs |
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