As we've mentioned here before, U.S. stocks in July enjoyed their best monthly gains in a year. But as Savita Subramanian, quantitative analyst at Bank of America Merrill Lynch, points out, what worked in July didn't work in the second quarter - and vice versa.

The only consistency? Dividend paying stocks.

"Dividend yield and dividend growth were only two strategies amongst our quantitative factors that outperformed the market in the second quarter and in July," she said in a note. "In fact, of the stocks that beat the benchmark in both the second quarter and in July, the majority offer above-market dividend yield."

The S&P 500 fell 11.9 per cent in the second quarter, when fears about a spillover of the European debt crisis, along with concerns about weakening U.S. economic growth, interrupted what had been a smooth stock market recovery over the previous 12 months.

All 10 subindexes fell, but riskier areas of the market with a greater exposure to the global economy fell particularly hard. Materials, financials, energy stocks and industrials led the selloff. Defensive stocks like utilities, telecom services and consumer staples fell far less. Conversely, in July, the riskier stocks led the rally while defensive stocks lagged.

However, the only subindexes to generate positive gains during the second quarter and July were utilities (up 2.2 per cent before factoring in dividends) and telecom services (up 1.8 per cent). Neither might be cited among investors for their growth potential or excitement, but they are known for dividends: These two groups of stocks have dividend yields of 4.3 per cent and 5.9 per cent, respectively, which is well above the 2 per cent yield for the broader S&P 500.