Dogs of the Banks strategy

Specifically, I'd like to implement the Dogs of the Oligopolistic Canadian Banks strategy. I think it's well known: at some regular periods in time (say 1 year), buy the 2 cheapest banks based on past returns, dividend yield, etc. Then reassess next year. Due to the Oligopolistic nature of the 5 banks, their profit growths are virtually guaranteed. The only downside is those little dividends they distribute, which could cause some tax inconveniences.