What were the returns on those screens like during the 90's? That would be the rates they would return to.

Not sure that period would be a good benchmark, but I guess the tax rate might be similiar. 1990's were worse that 2000's before tax for YEY.


YLDEARNYEAR 1-5, 10

      1990 -    1999                2000 -    2010                 2010 -    2012
1-5           DIFF =     3    1-5           DIFF =     31    1-5           DIFF =     9
CAGR              21    18    CAGR              32      1    CAGR              19    10
GSD               16    14    GSD               30     20    GSD               38    19
Sharpe Ratio    1.07  0.97    Sharpe Ratio    1.14  -0.02    Sharpe Ratio    0.69  0.61
 
1-10          DIFF =     2    1-10          DIFF =     25    1-10          DIFF =     7
CAGR              20    18    CAGR              26      1    CAGR              17    10
GSD               14    14    GSD               30     20    GSD               29    19
Sharpe Ratio    1.09  0.97    Sharpe Ratio       1  -0.02    Sharpe Ratio    0.74  0.61

gdm