In this paper, I investigate the monthly sin stock anomaly from years 2002-2021 on an annual basis by building value weighted, equal weighted, and equal-industry weighted portfolios consisting of U.S. sin stocks from the alcohol, tobacco, weapons (defence), and the gambling industries. The portfolios are compared to the U.S. market returns to investigate how the sin stock anomaly changes annually. In addition to understand the drivers behind sin stock portfolio returns, I investigate the alcohol, tobacco, weapons, and gambling industries’ returns by building value and equal weighted portfolios for each industry and comparing them to the U.S. market returns on an annual basis. I find that sin stock portfolios do not generate significant monthly abnormal returns consistently, which cannot confirm the existence of the sin stock anomaly. Inspecting the sin stock industries individually, I find that the weapons stocks and small capitalization alcohol stocks have been important drivers of returns behind the sin stock portfolios during 2002-2021.