Table 1. Performance of Stock Screens on AAII's Web Site (Ranked by 2003 Performance)
Strategy Price Change (%) Monthly Variability (%) Monthly Holdings
2003* 2002 2001 2000 1999 1998 Total Std. Dev. High Low Avg. % Turnover
Value
Piotroski 142.3 -15.9 100.2 -0.9 27.1 17.9 505.8 9.4 34.3 -17.2 7 21.1
Neff 79.2 15.0 65.2 37.3 17.4 9.3 499.6 7.9 26.8 -20.2 18 36.7
Fundamental Rule of Thumb 76.3 3.2 42.3 28.7 11.7 -9.4 237.1 8.2 33.8 -19.2 51 23.8
Dreman With Est Revisions 64.1 16.6 -29.9 38.7 6.7 10.7 119.6 7.0 11.4 -25.8 9 79.9
Cash Rich Firms 57.9 -9.4 20.1 40.5 37.1 -3.8 218.6 7.4 17.6 -20.7 33 25.2
Low Price-to-Free-Cash-Flow 54.2 13.6 63.8 17.8 10.0 2.6 281.3 6.4 25.1 -14.4 30 24.2
Weiss Blue Chip Div. Yield 51.4 -14.1 25.6 18.8 3.9 3.3 108.4 7.0 14.3 -14.8 10 28.8
P/E Relative 46.8 11.1 16.1 20.3 -6.0 26.5 171.0 5.0 14.9 -12.4 29 80.1
O'Shaughnessy—Value 45.5 -12.9 10.6 22.3 -3.9 7.2 76.7 6.2 16.5 -14.0 48 21.1
Dividend Screen—Non-DRPs 36.9 28.6 54.7 16.5 -3.6 0.6 207.5 4.2 10.5 -13.6 30 27.6
Lakonishok 36.1 -5.2 -3.5 36.7 14.8 7.3 109.7 6.3 16.6 -13.7 20 90.9
Dreman 32.7 8.3 26.4 38.0 -3.0 -1.5 139.4 5.1 12.6 -15.4 21 31.4
Graham—Defensive Investor (Non-Utility) 29.1 3.1 61.5 12.0 3.6 9.6 173.2 6.3 15.7 -14.6 20 21.7
High Relative Dividend Yield 25.9 0.4 24.1 23.3 -2.1 6.3 101.4 4.9 12.5 -12.0 38 21.0
Dividend Screen—DRPs 25.5 -1.2 38.9 27.7 -1.1 -4.1 108.8 5.2 15.6 -14.2 29 25.9
Graham—Enterprising Investor 21.8 43.5 55.3 24.2 -5.0 -7.3 196.9 7.3 23.4 -18.7 6 31.6
Dogs of the Dow 13.0 -9.8 -1.2 4.1 5.7 9.8 21.5 6.0 16.1 -15.5 10 8.2
Dogs of the Dow—Low Priced 5 10.9 -6.5 7.2 3.2 -2.0 24.6 40.0 7.1 19.4 -15.8 5 16.9
Growth & Value
Stock Market Winners 126.7 32.1 41.6 27.6 21.7 -12.0 479.6 7.0 22.0 -16.7 20 61.7
O'Shaughnessy—Growth 101.1 9.8 19.2 11.5 19.5 19.4 318.6 7.0 19.1 -17.9 47 39.2
Zweig 85.8 16.9 57.9 46.2 17.1 54.5 806.4 9.2 32.7 -24.2 13 44.9
Oberweis Octagon 85.0 -17.5 20.2 18.4 33.4 15.6 235.0 9.5 23.3 -23.2 18 42.2
Value on the Move—PEG With Est Growth 81.8 7.9 34.8 22.9 11.0 2.1 268.6 6.6 15.7 -23.1 51 46.8
Fisher (Philip) 78.1 -10.7 70.7 -16.7 5.4 2.6 144.7 10.8 27.1 -26.7 32 33.9
Low Price-to-Sales 62.2 1.3 43.3 23.3 21.1 13.2 298.0 6.3 14.8 -17.8 47 42.3
Lynch 53.3 -7.2 39.3 3.2 8.9 1.3 125.4 5.1 18.9 -17.4 25 22.6
Wanger 49.1 -13.1 21.1 -2.8 3.2 -2.4 53.7 7.6 22.8 -19.8 27 28.1
Value on the Move—PEG With Hist Growth 48.5 12.1 22.4 19.4 18.0 1.5 191.3 4.9 12.7 -19.1 107 37.7
Templeton 45.5 -32.6 22.0 20.3 8.1 16.2 80.8 6.7 14.3 -18.2 27 26.4
Muhlenkamp 37.3 5.9 43.5 22.2 12.8 -6.6 168.4 5.7 15.1 -17.6 23 25.7
T. Rowe Price 36.0 -15.1 8.4 35.2 -4.5 1.8 64.7 7.0 17.0 -18.0 15 33.1
Buffettology—Sustainable Growth 35.8 -11.9 29.7 3.3 14.6 7.4 97.2 6.9 16.5 -18.0 27 15.4
Buffett—Hagstrom 33.4 -8.7 13.9 11.4 31.4 27.5 158.9 5.8 13.2 -15.5 30 22.4
Buffettology—EPS Growth 31.3 -10.9 25.7 5.9 17.7 4.0 90.9 6.3 15.0 -20.4 40 11.8
Growth
Foolish Small Cap 8 108.4 -19.4 -8.6 24.2 80.9 17.7 305.8 10.3 38.8 -22.5 27 34.6
Driehaus 84.0 -42.6 -27.4 -8.3 107.4 nmf 45.8 13.4 51.3 -25.7 11 66.1
O'Neil's CAN SLIM 79.3 20.5 54.4 38.0 36.6 28.2 706.0 7.2 23.6 -23.1 11 51.6
O'Neil's CAN SLIM Revised 3rd Edition 72.4 -10.3 33.4 96.3 59.0 7.8 594.2 10.2 52.7 -26.7 9 63.8
IBD Stable 70 48.0 -11.0 9.5 23.9 3.6 21.9 125.5 5.6 12.0 -18.9 59 11.2
Return on Equity 43.7 -3.8 18.1 31.4 1.0 18.8 157.4 6.3 13.0 -22.2 33 19.5
Inve$tWare Quality Growth 31.9 -25.0 8.0 18.5 -3.0 14.5 40.8 6.2 18.2 -22.0 30 12.0
Sector/Specialty
Short Interest Change 104.7 -34.9 11.6 -51.8 111.1 nmf 51.2 12.4 34.1 -27.4 25 79.8
Insider Net Purchases 79.8 -19.2 21.8 -38.3 7.5 nmf 17.4 9.8 26.7 -19.0 29 31.6
ADRs 76.7 -4.4 -5.3 9.9 4.0 2.3 87.0 7.2 31.1 -17.7 16 42.6
Short % Outstanding 74.9 -35.6 8.3 -31.7 -26.9 nmf -39.0 12.7 33.3 -26.2 25 17.7
Est Rev Up 5% 70.3 12.9 -8.1 3.6 107.1 43.3 443.2 10.4 30.8 -21.7 38 93.2
Est Rev Down 5% 66.8 -61.5 28.3 -4.2 27.8 -3.9 -3.0 10.3 23.6 -23.2 72 89.3
Dual Cash Flow 60.9 -13.9 24.6 5.7 114.3 0.9 294.6 8.0 34.7 -16.2 53 31.3
Est Rev Up 52.7 0.8 -3.5 2.2 38.2 29.9 172.2 6.7 12.2 -18.6 155 82.1
Short Ratio 52.6 -30.7 18.3 -40.9 2.2 nmf -24.5 10.5 37.8 -24.5 25 48.2
Est Rev Down 47.2 -43.8 26.7 -7.1 21.9 -15.0 0.9 8.4 17.6 -23.3 205 78.6
Graham—Defensive Investor (Utility) 13.8 -15.9 5.2 51.4 -8.4 14.6 59.9 5.1 12.0 -11.0 19 15.3
Murphy Technology -38.1 -79.6 26.7 -52.1 139.7 29.7 -76.2 16.4 44.7 -44.9 13 23.5
Indexes
All Exchange-Listed Stocks 75.9 -13.3 21.2 -14.2 35.1 5.9 127.0 7.3 23.9 -20.2  
Dow Jones 30 20.4 -16.8 -7.1 -6.2 25.2 16.1 27.0 5.2 11.8 -15.1
Nasdaq 100 44.0 -37.6 -32.7 -36.8 102.0 85.5 43.2 11.8 25.0 -27.5
S&P 500 Pr Chg 22.1 -23.4 -13.0 -10.1 19.5 26.7 10.7 5.2 9.7 -14.6
S&P/Barra 500 Growth (incl. dividends) 21.7 -23.6 -12.7 -22.1 28.2 42.2 15.3 5.7 9.2 -13.0
S&P/Barra 500 Value (incl. dividends) 26.5 -20.9 -11.7 6.1 12.7 14.7 21.3 5.3 10.4 -16.1
S&P MidCap 400 Pr Chg 31.7 -15.4 -1.6 16.2 13.3 17.7 69.7 6.1 12.0 -18.7
S&P/Barra MidCap 400 Growth (incl. div.) 29.3 -19.2 -8.0 9.2 28.7 34.9 82.3 7.3 19.6 -20.8
S&P/Barra MidCap 400 Value (incl. div.) 36.8 -10.1 7.1 27.8 2.3 4.7 80.4 5.5 15.3 -16.4
S&P SmallCap 600 Pr Chg 35.5 -15.3 5.7 11.0 11.5 -2.1 47.0 6.4 13.3 -19.4
S&P/Barra SmallCap 600 Growth (incl. div.) 35.5 -15.4 -1.2 0.6 19.6 2.3 39.4 6.9 20.9 -20.5
S&P/Barra SmallCap 600 Value (incl. div.) 37.5 -14.5 13.1 20.9 3.0 -5.1 57.2 5.9 14.1 -18.0
Unless otherwise stated, figures do not include dividends or transactions costs.

*Through 12/12/2003