Subject: Re: YEY Failure Analysis
MLPs didn't affect YEY much. YEY includes US common (10,11), foreign (12), REIT (18, 48), ADR (30, 31), and LP (71,71).
styp.a = 0!10!11!12!18!30!31!48!71!72
Screen CAGR SAWR GSD MDD Sharpe From To
1500ew 11 8 22 -60 0.50 19870302 20240108
YldEarnYear_SI 25 9 32 -61 0.84 19870302 20240111
YldEarnYear_SI_noMLP 25 10 31 -58 0.84 19870302 20240111
YldEarnYear_SI_UScommon 15 7 29 -69 0.59 19870302 20240111
1500ew 9 7 23 -42 0.48 20140110 20240111
YldEarnYear_SI 7 5 37 -59 0.33 20140110 20240111
YldEarnYear_SI_noMLP 8 6 36 -57 0.38 20140110 20240111
YldEarnYear_SI_UScommon 10 7 34 -60 0.44 20140110 20240111
https://gtr1.net/2013/?~YldEar...
https://gtr1.net/2013/?~YldEar...
https://gtr1.net/2013/?~YldEar...
https://gtr1.net/2013/?~1500ew...