Every so often I run a screen on my charting software and come up with a real head scratcher. Here is the latest that came up while screening stocks with a Return on Equity of 20 or higher. It is American Capital Agency Corp (AGNC). It is a REIT, paying a div of $1.40/quarter on a $30 stock. There are no blemishes on the books that I can see, trading at a PE of a bit over 4. Here is one of the things that get me. Every quarter after the div is paid out (actually it usually starts dropping before the ex div date), the stock drops about $3-$4. The SP appreciates back through the quarter only to drop after the div. I mean, that makes a bit of sense, but it is as predictable as sunrise that it drops a good 10% after the div, and gains it all back. It seems like a traders dream, but also an income investor's dream as well, just buy in after the div is paid (next one Dec 29th).

Am I missing anything? Why doesn't this thing trade much higher with that payout and clean balance sheet? I thought it might look good in my TFSA as I think US div/dist are fully taxable here. Technically, it's lows are getting higher and if it breaks through it's ceiling of about 30 bucks, and it is about there now, it could make quite a run, as it's base is about 15 months long.

Curious to hear some thoughts on this one.