Strange return for ETF ranking by Yield

Research
1

I rank a ranking system (factor = Dividend Yield 100%) for last 3 years on all Equity ETFs with monthly rebalancing, and the annualized return is inversely proportional to Yield (see screenshot).

  • is this a bug? I’d expect the performance to either be correlated or have no correlation to Dividend Yield (not inversely correlated).
  • is the reported Annual return Total Return (including Dividends) or is it just Price appreciation?

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ETFrankbyYield.png

2

Overall I did find that lower yield did better over the past three years. But to get a clearer answer please make your ranking system and universe public and post links. There are too many variables not disclosed. Did you exclude zero yield? Did you exclude leveraged and inverse etfs, did you exclude VXUP (a vix product that is misclassified)…etc.