High Dividend Yield Screen on German Stocks: 10.00% CAGR (XETRA Backtest)
We backtested a high dividend yield screen with quality filters on German stocks (XETRA) from 2000-2025. 10.00% CAGR with +4.96% annual alpha over the DAX and a 0.494 Sharpe ratio.
We ran the same high dividend yield quality screen on German stocks (XETRA) from 2000 to 2025. The result: 10.00% CAGR with +4.96% annual alpha over the DAX benchmark. Germany has a deep corporate culture of dividend payments, and the quality filters work well here. Only 2 cash periods in 25 years.
Contents
Data: FMP financial data warehouse, 2000–2025. Updated March 2026.
Method
Data source: Ceta Research (FMP financial data) Universe: XETRA-listed stocks with market cap > 500M EUR (~$545M 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 | DAX |
|---|---|---|
| CAGR | 10.00% | 5.04% |
| Total Return | 982% | -- |
| Max Drawdown | -32.93% | -- |
| Sharpe Ratio | 0.494 | -- |
| Sortino Ratio | 1.182 | -- |
| Win Rate (vs DAX) | 68% | -- |
| Up Capture | 95.6% | -- |
| Down Capture | 27.5% | -- |
| Beta | 0.632 | -- |
| Alpha | 6.07% | -- |
| Cash Periods | 2/25 (8%) | -- |
| Avg Stocks | 19.3 | -- |
Germany delivered the second-best Sharpe ratio (0.494) after the US. Only 2 cash periods means the XETRA market consistently produces enough qualifying high-yield stocks. The strategy turned $1 into roughly $11 over 25 years, nearly doubling the DAX. A 68% win rate and 6.07% alpha show the quality filters add real value on German stocks.
Annual Returns
| Year | Strategy | DAX | Excess |
|---|---|---|---|
| 2002 | -13.6% | -22.8% | +9.1% |
| 2003 | +29.3% | +23.4% | +5.9% |
| 2004 | +37.5% | +15.6% | +21.8% |
| 2005 | +21.8% | +23.6% | -1.8% |
| 2006 | +24.5% | +39.3% | -14.8% |
| 2007 | -19.7% | -20.8% | +1.0% |
| 2008 | -16.4% | -25.2% | +8.7% |
| 2009 | +33.7% | +23.6% | +10.1% |
| 2010 | +14.2% | +27.6% | -13.3% |
| 2011 | +0.7% | -12.7% | +13.5% |
| 2012 | +16.9% | +21.8% | -4.9% |
| 2013 | +31.0% | +25.3% | +5.8% |
| 2014 | +16.4% | +12.0% | +4.5% |
| 2015 | -3.9% | -12.5% | +8.6% |
| 2016 | +20.6% | +28.5% | -7.9% |
| 2017 | +11.1% | -1.9% | +13.0% |
| 2018 | +5.9% | +2.4% | +3.6% |
| 2019 | -3.6% | +0.7% | -4.2% |
| 2020 | +33.9% | +24.1% | +9.8% |
| 2021 | -1.4% | -18.4% | +16.9% |
| 2022 | +17.2% | +25.9% | -8.7% |
| 2023 | +15.8% | +14.3% | +1.5% |
| 2024 | +7.3% | +29.5% | -22.2% |
When It Works
2003-2005 (post-dot-com recovery): Three years of strong returns, including +37.5% in 2004. German dividend payers recovered strongly after the 2001-2002 downturn, beating the DAX by double digits in 2004.
2008 (crisis buffer): Lost -16.4% while the DAX fell -25.2%. Quality filters kept the worst-hit financials out.
2011 (eurozone crisis): +0.7% while the DAX dropped -12.7%. Dividend quality names held up during the sovereign debt scare.
2013-2014: Back-to-back outperformance (+31.0% and +16.4%). German industrials with solid dividends benefited from the eurozone recovery.
When It Struggles
2006: +24.5%, but the DAX surged +39.3%. In strong bull years, the quality filters miss the most aggressive movers.
2010: +14.2% vs DAX +27.6%. Similar story: the screen's conservative tilt lags in momentum-driven rallies.
2024: +7.3% while the DAX ran +29.5%. The widest single-year gap. Growth and tech-adjacent names drove the DAX while traditional dividend payers lagged.
Limitations
Currency: Returns are in EUR-denominated local terms. EUR/USD moves affect cross-market comparisons. A weakening EUR during 2022-2023 means USD-equivalent returns were lower.
Export sensitivity: German dividend payers are often export-heavy industrials (auto, chemicals, machinery). Global trade disruptions hit them harder than domestic-focused companies.
Data: Ceta Research (FMP financial data warehouse). Universe: XETRA, market cap > 500M EUR. Backtest: 2000-2025, annual July rebalance. Past performance does not guarantee future results.
Part of a Series
This is the Germany 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.
