Investment performance of AAII stock screens over diverse markets
DOI:
https://doi.org/10.61190/fsr.v24i2.3239Keywords:
Personal investing, Investment performance, Factor modelsAbstract
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.
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