Risk Index:

The risk index is the average standard deviation of return for the stock screen divided by the average standard deviation of return for the S&P 500 large-cap index. Standard deviation is a measure of return volatility and is computed using monthly returns since the beginning of 1998. A risk index of 1.00 denotes risk equivalent to that of the S&P 500 index. Values above 1.00 are riskier than the index and values below 1.00 are of less risk than the index.

Risk-Adjusted Return:

One way to produce an easily understood marriage of risk and return for portfolios is to adjust the return for risk so that the return reported for all portfolios assumes risk equal to that of a market benchmark. Portfolios with volatility above the market benchmark will have their returns proportionally lowered, while funds and portfolios that are less risky (have lower volatility than their benchmark) will have their returns adjusted proportionally upward.

The risk-adjusted return uses the annual rate of return and the annual standard deviation of price return since the beginning of 1998 to measure volatility. Standard deviation is a measure of return volatility and is computed using monthly returns since the beginning of 1998. The market benchmark used for return and risk is the S&P 500 large-cap index. The margin rate is being used as the risk-free rate of borrowing to leverage the portfolio to match the risk of the market portfolio.

Risk-Adjusted Return: [(Index Std Dev ÷ Portfolio Std Dev) × (Portfolio Return - Margin Rate)] + Margin Rate

Average Annual Price Gain:

The compound average annual price gain is shown since inception and for the last year, last five years, and last 10 years. Returns are calculated through the previous month-end. These figures only consider price change and do 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.

Price Gain:

The "Price Gain" columns represent the amount that each portfolio has appreciated or lost for the most recent bull and bear market period and for each of the last five years.

• The Bull Market Return is the total price return reflecting performance in the current bull market, starting March 1, 2009.
• The Bear Market Return is the total price return reflecting performance in the most recent bear market, from November 1, 2007, through February 28, 2009.