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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