The Stock Screens area is one of the most popular areas of AAII.com. We track over 60 stock investing approaches on an ongoing basis and post lists of stocks that pass each screen every month.
Most of the stock screens we track are based on well-known investment approaches that have proven successful over time. Some stock screens will perform better during recessionary periods, whereas others will perform well during bull markets. Therefore, it is important to understand the investment characteristics of the approach you are interested in using.
To aid in this regard, AAII offers a guide to the stock screens and provides several tables with aggregated stock screen performance figures and characteristics. Not only are these tables posted online, but they can also be downloaded as Excel spreadsheets so that you can further manipulate the data.
Guide to Stock Screening
The Guide to Stock Screening, accessed through the gray navigation bar that runs across the top of the Stock Screens area, is a good place to start if you are new to AAII’s stock screens. The guide discusses the premise of stock screening and explains how AAII’s stock screens are tracked and when they are updated.
In addition, the guide provides a link to thorough explanations of the categories we use to group the stock screens by broad investing style. Understanding each category, along with examining the passing companies for each screen, can help you make a sound judgment as to how each screen may perform during various periods in the market cycle.
Performance History Table
The Performance History link in the gray navigation bar gives you a view of how the stock screens have done over the long term. The table reports the screens’ price gains (losses) for each year from 1998 through the current year and gives a total annualized rate of return since inception. The screens are listed alphabetically within each category, but you can rank the screens according to total return or any year’s performance by clicking on the column headings.
Two downloadable Excel spreadsheets are available on this page: monthly cumulative performance and annual performance. The annual performance spreadsheet is the downloadable version of the performance history table, with screens listed alphabetically by category.
The monthly cumulative performance spreadsheet (Figure 1) presents the gain loss for each screen and for select indexes for each month dating back to the beginning of 1998. In addition, each year’s return and the largest monthly gain and loss for each year are reported. Presented at the top of the spreadsheet are the Sharpe Ratio; standard deviation; and average, highest, lowest and total monthly returns. The spreadsheet also shows the monthly maximum, minimum and average number of passing companies for each screen, as well as the average monthly turnover.
The downloadable tables and webpage are updated in the middle of each month using data from the previous month-end.
Risk and Return Table
The Risk and Return link in the gray navigation bar helps you judge the screens according to your risk tolerance. Along with average annual price gain loss for each stock screen on a one-, three-, five- and 10-year basis, the table also reports the risk index and risk-adjusted return figure. The risk index is calculated by dividing the screen’s three-year monthly standard deviation by that of the benchmark. It measures how much more volatile a screen is when compared to a benchmark (i.e., a risk index of 2.0 means the screen is twice as volatile as the benchmark when measured by three-year standard deviation).
To show the effectiveness of the stock screening strategies across the entire market cycle, the risk and return page also provides bull and bear market returns for each stock. You will notice that certain strategies perform better than others during bull periods. Alternatively, other strategies protect capital better during bear market periods. Once again, you can sort this table by clicking on any of the column headings.
The risk and return table can be downloaded as an Excel spreadsheet (Figure 2). The spreadsheet and webpage are updated in the middle of each month using data from the previous month’s end.
Portfolio Characteristics Table
Clicking on Screen Characteristics in the gray navigation bar takes you to the portfolio characteristics table. This table presents a snapshot of the traits of the stocks that pass each screen at a specific point in time. This table is updated quarterly and provides an indication of the types of stocks that each strategy tends to hold.
Screens are listed alphabetically within each category in the portfolio characteristics table. Characteristics are defined by popular fundamental ratios such as price-earnings ratio, PEG (price-earnings to earning growth) ratio, dividend yield, estimated long-term earnings growth and 52-week relative strength.
The figures reported are meant to help users find strategies that are suitable for their personal investment needs. For instance, checking the median market capitalization for a screen can help investors who have a stock-size preference to quickly narrow down the screening strategies to those that most closely match their personal preferences.
The portfolio characteristics table can be downloaded as an Excel spreadsheet (Figure 3). Be sure to check back quarterly for updates to the table.
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In February 2012, Z. Joe Lan updated the Tax Preparation Services comparison. The article helps you find a service to sort through all of the tax implications of your 2011 finances. The comparison provides an unbiased look at the strengths and weaknesses of the top three online services. Each service can be used to prepare and file your tax return online and allows you to set up a bank account to receive a return (or pay a tax liability) directly.
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