Investment performance of AAII stock screens over diverse markets
Keywords:Personal investing, Investment performance, Factor models
Individual investors often rely on information services and products to compete with professional investors. To assist in this effort, the American Association of Individual Investors (AAII) offers a variety of screening tools designed to help individuals construct stock portfolios. We extend prior research on AAII screening performance by including more recent investment periods, using more rigorous factor models, and examining both median and mean returns to allow for skewing. Over a period of tumultuous markets with as little as $50,000 to invest, over 30% of the available screens achieved statistically significant excess rates of return unrelated to transaction costs and multifactor risks proposed by efficient market theorists.
How to Cite
Copyright (c) 2015 Academy of Financial Services
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Author(s) retain copyright and grant the Journal right of first with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial 4.0 International License that allows to share the work with an acknowledgment of the work's authorship and initial publication in this Journal.
This license allows the author to remix, tweak, and build upon the original work non-commercially. The new work(s) must be non-commercial and acknowledge the original work.