High Dividend Yield Screen on Canadian Stocks: 6.78% CAGR (TSX Backtest)
We backtested a high dividend yield screen with quality filters on Canadian stocks (TSX) from 2000-2025. 6.78% CAGR with +2.83% annual alpha over the TSX Composite and strong crisis resilience.
We ran the same high dividend yield quality screen on Canadian stocks (TSX) from 2000 to 2025. The result: 6.78% CAGR with +2.83% annual alpha over the TSX Composite. Canada has a strong dividend culture, especially in financials and energy, and the quality filters consistently added value, beating the local benchmark in 56% of years.
Contents
- Method
- Results
- Key Annual Returns
- Canada's Dividend Culture
- When It Works
- When It Struggles
- Limitations
- Part of a Series
- References
Data: FMP financial data warehouse, 2000–2025. Updated March 2026.
Method
Data source: Ceta Research (FMP financial data) Universe: TSX-listed stocks with market cap > 500M CAD (~$362M USD) Period: 2000-2025 (25 years) Rebalancing: Annual (July)
Same signal as the US analysis: dividend yield 4-15%, payout 0-80%, FCF > 0, ROE > 8%, D/E < 2.0. Top 30 by yield, equal weight.
Results
| Metric | Strategy | TSX Composite |
|---|---|---|
| CAGR | 6.78% | 3.95% |
| Total Return | 416% | -- |
| Max Drawdown | -31.79% | -- |
| Sharpe Ratio | 0.312 | -- |
| Sortino Ratio | 0.646 | -- |
| Calmar Ratio | 0.213 | -- |
| Win Rate (vs TSX) | 56% | -- |
| Up Capture | 94.6% | -- |
| Down Capture | 13.5% | -- |
| Beta | 0.504 | -- |
| Alpha | 3.55% | -- |
| Cash Periods | 3/25 (12%) | -- |
| Avg Stocks | 17.3 | -- |
The low down capture (13.5%) is the standout number. Canadian dividend payers showed remarkable resilience during market downturns, partly because Canadian banks, a mainstay of TSX dividend portfolios, weathered the 2008 crisis better than their US counterparts.
Low beta (0.504) means the portfolio moved about half as much as the TSX Composite. That's a smoother ride with genuine alpha: the 3.55% annualized alpha and 56% win rate confirm the quality filters add real value in Canada.
Key Annual Returns
| Year | Strategy | TSX Composite | Excess |
|---|---|---|---|
| 2000 | +29.1% | -24.1% | +53.2% |
| 2004 | +15.3% | +17.1% | -1.8% |
| 2005 | +6.5% | +18.0% | -11.6% |
| 2006 | +18.7% | +19.9% | -1.2% |
| 2007 | -13.8% | -0.2% | -13.6% |
| 2008 | -20.8% | -27.0% | +6.2% |
| 2009 | +20.5% | +9.3% | +11.2% |
| 2010 | +23.4% | +19.6% | +3.8% |
| 2011 | +0.0% | -11.5% | +11.5% |
| 2012 | +10.7% | +2.8% | +7.9% |
| 2013 | +14.7% | +24.9% | -10.2% |
| 2014 | +2.5% | -3.8% | +6.2% |
| 2015 | +7.0% | -2.6% | +9.6% |
| 2016 | +15.8% | +6.1% | +9.6% |
| 2017 | +5.6% | +7.5% | -1.9% |
| 2018 | +3.5% | +1.3% | +2.2% |
| 2019 | -9.4% | -5.2% | -4.3% |
| 2020 | +39.7% | +29.5% | +10.2% |
| 2021 | -6.6% | -5.9% | -0.7% |
| 2022 | -3.6% | +6.2% | -9.8% |
| 2023 | +13.9% | +8.7% | +5.2% |
| 2024 | +18.4% | +22.4% | -4.0% |
Canada's Dividend Culture
Canadian investors love dividends. The TSX is heavily weighted toward financials (Big Six banks), energy (oil sands operators), and utilities. All are traditional dividend payers. Canada's dividend tax credit also makes dividends more tax-efficient than in many countries, reinforcing the culture.
This works for our screen: TSX consistently produces 17+ qualifying high-yield stocks. But the concentration in financials and energy means the portfolio's returns correlate with commodity cycles and interest rates.
When It Works
2000: +29.1% while the TSX Composite fell -24.1%. Canadian banks and energy companies held up during the tech bust. This was the strategy's best excess return year (+53.2 points).
2008-2009: Lost less during the crash (-20.8% vs -27.0%), then recovered with +20.5% in 2009. Canadian banks' conservative lending standards paid off.
2011-2012: Back-to-back outperformance while the TSX struggled. The screen's quality tilt avoided the commodity collapse that dragged down the broader index.
2014-2016: Three years of strong excess returns as the quality filters dodged the oil crash that hammered the TSX Composite.
When It Struggles
2007: -13.8% while the TSX was roughly flat. Financial sector stress hit dividend-heavy names before the broader index caught up.
2013: +14.7%, but the TSX surged +24.9%. In strong momentum years, the conservative quality screen lags the index.
2022: -3.6% while the TSX gained +6.2%. Energy prices spiked and the TSX benefited, but the portfolio's quality filters underweighted the energy rally.
Limitations
Sector concentration: TSX high-yield portfolios skew heavily toward financials (banks, insurers) and energy. You're effectively making a sector bet on Canadian banks staying healthy and oil prices staying elevated.
Small universe: 17.3 average stocks is lower than other exchanges. The TSX has fewer mid-to-large cap dividend payers than the US or India.
Currency: Returns are in CAD terms. CAD/USD movements affect cross-market comparisons.
Data: Ceta Research (FMP financial data warehouse). Universe: TSX, market cap > 500M CAD. Backtest: 2000-2025, annual July rebalance. Past performance does not guarantee future results.
Part of a Series
This is the Canada analysis. See also: - High Yield Quality on US Stocks - 12.08% CAGR, full methodology - High Yield Quality Across 12 Global Exchanges - full comparison
References
- Fama, E. & French, K. (1998). "Value versus Growth: The International Evidence." Journal of Finance, 53(6), 1975-1999.
