The "Price Gain" columns represent the amount that each portfolio has appreciated or lost for each year along with a cumulative total over the complete period. It only considers price change and does not include dividends. The performance reflects buying and selling each month at the month-end closing price. The impact of factors such as commissions, bid-ask spread, dividends, and time-slippage (time between the initial decision to buy a stock and the actual purchase) are ignored. While this makes the reported performance unachievable, in a best-case scenario, all approaches are subject to the same conditions and procedures. However, higher turnover portfolios would typically benefit from our simplified rules. The goal of tracking the performance of the screens is to help gain an understanding of how each approach reacts in different market conditions, and to gain a feel for their characteristics.
When measuring performance, the risk of the strategy should also be considered. The "monthly variability" columns report on the volatility of each screen. The best and worst columns report the highest and lowest monthly gain or loss incurred by a strategy since we started tracking the portfolios. This helps to reveal how much a strategy can move in a single month during an extreme market environment. It is helpful to compare these figures to other strategies and the market averages at the bottom of the tables.