Table 1. Performance of Stock Screens on AAII's Web Site Ranked by 2006 YTD Return
Value Strategies Return (%) Monthly Variability (%) Monthly Holdings
YTD* 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. Gain Loss Avg. # Turnover %
Graham--Enterprising Investor 25.4 21.3 18.9 25.9 43.5 55.3 24.2 -5.0 -7.3 455.2 7.9 33.1 -18.7 5 34.8
Dreman With Est Revisions 15.6 9.3 35.0 69.2 16.6 -29.9 38.7 6.7 10.7 286.1 6.5 15.2 -25.8 13 80.1
P/E Relative 12.1 17.2 24.7 51.1 11.1 16.1 20.3 -6.0 26.5 356.6 4.6 14.9 -12.4 35 77.1
Price-to-Free-Cash-Flow 11.4 10.6 30.9 61.7 13.6 63.8 17.8 10.0 2.6 545.1 6.0 25.1 -14.4 30 23.6
Dogs of the Dow--Low Priced 5 10.8 -11.8 6.1 17.6 -6.5 7.2 3.2 -2.0 24.6 54.0 6.3 19.4 -15.8 5 16.4
Fundamental Rule of Thumb 9.5 5.0 49.6 83.3 4.7 42.3 28.7 11.7 -9.4 511.7 7.9 33.8 -19.2 50 22.6
Cash Rich Firms 6.7 -2.5 18.6 64.0 -9.4 20.1 40.5 37.1 -3.8 308.4 6.7 17.6 -20.7 32 24.3
Dreman 6.4 18.7 24.2 37.7 8.3 26.4 38.0 -3.0 -1.5 289.8 4.6 12.6 -15.4 22 30.5
Lakonishok 6.1 14.0 31.2 39.9 -5.2 -3.5 36.7 14.8 7.3 242.3 5.6 16.6 -13.7 27 90.5
Dogs of the Dow 6.0 -9.8 -1.3 20.4 -9.8 -1.2 4.1 5.7 9.8 22.2 5.3 16.1 -15.5 10 7.2
Graham--Defensive Investor (Non-Utility) 6.0 26.2 11.7 32.7 3.1 61.5 12.0 3.6 9.6 319.3 6.0 15.7 -14.6 17 20.8
Weiss Blue Chip Div Yield 4.7 6.4 16.6 48.9 -14.1 25.6 18.8 3.9 3.3 166.2 6.0 14.3 -14.8 11 26.4
Dividend Screen--DRPs 4.4 -1.5 17.4 28.3 -1.2 38.9 27.7 -1.1 -4.1 157.5 4.5 15.6 -14.2 30 25.5
O'Shaughnessy--Value 3.0 2.2 20.2 47.2 -12.1 10.6 22.3 -3.9 7.2 128.2 5.4 15.5 -14.0 50 19.3
Dividend Screen--Non-DRPs 2.7 7.1 22.8 40.5 28.6 54.7 16.5 -3.6 0.6 326.5 3.8 10.5 -13.6 30 29.1
Dividend (High Relative Yield) 0.8 -1.0 19.1 27.9 0.4 24.1 23.3 -2.1 6.3 143.3 4.3 12.5 -12.0 37 21.4
Neff -1.0 7.7 29.5 85.1 15.0 65.2 37.3 17.4 9.3 755.1 7.1 26.8 -20.2 18 35.8
Piotroski -15.8 -8.5 82.2 154.6 -15.9 100.2 -0.9 27.1 17.9 793.3 8.6 34.3 -17.2 6 23.3
Value Strategies Return (%) Monthly Variability (%) Monthly Holdings
YTD* 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. Gain Loss Avg. # Turnover %
Oberweis Octagon 18.3 4.1 42.3 67.8 -17.5 20.2 18.4 33.4 15.6 432.8 8.9 23.3 -23.2 18 41.6
Value on the Move--PEG With Est Growth 8.7 23.1 54.1 87.0 7.9 34.8 22.9 11.0 2.1 682.3 6.2 15.7 -23.1 49 44.4
Price-to-Sales 7.0 16.9 11.1 69.8 1.3 43.3 23.3 21.1 13.2 478.6 6.0 14.8 -17.8 46 40.6
O'Shaughnessy--Growth 6.7 14.4 45.1 90.3 10.1 19.2 11.5 19.5 19.4 603.9 6.9 18.6 -17.9 50 38.1
Wanger (Revised) 5.6 14.5 19.3 53.2 -13.1 21.1 -2.8 3.2 -2.4 128.1 6.9 22.8 -19.8 31 27.1
Lynch 5.6 7.8 59.8 59.0 -7.2 39.3 3.2 8.9 1.3 325.3 5.2 18.9 -17.4 23 22.9
Buffett--Hagstrom 1.3 11.4 27.6 35.2 -8.7 13.9 11.4 31.4 27.5 278.0 5.1 13.2 -15.5 30 23.0
Buffettology--EPS Growth 0.9 11.9 13.2 32.8 -10.9 25.7 5.9 17.7 4.0 146.8 5.7 15.0 -20.4 43 12.1
Value on the Move--PEG With Hist Growth 0.1 17.2 32.5 50.1 12.1 22.4 19.4 18.0 1.5 357.7 4.7 12.7 -19.1 100 36.5
Zweig -0.6 27.8 49.5 88.8 16.9 57.9 46.2 17.1 54.5 1,649.5 8.4 32.7 -24.2 14 43.5
Buffettology--Sustainable Growth -1.2 9.5 17.5 37.6 -11.9 29.7 3.3 14.6 7.4 153.9 6.1 16.5 -18.0 31 15.2
Stock Market Winners -2.2 25.9 9.6 131.5 32.1 41.6 27.6 21.7 -12.0 698.4 6.9 22.0 -23.4 16 60.8
Templeton -4.2 4.7 21.9 46.8 -32.6 22.0 20.3 8.1 16.2 123.2 5.8 14.3 -18.2 24 27.3
Muhlenkamp -6.7 23.6 31.0 41.2 5.9 43.5 22.2 12.8 -6.6 317.1 5.3 15.1 -17.6 20 25.4
Fisher (Philip) -8.2 -11.7 -3.9 78.1 -10.7 70.7 -16.7 5.4 2.6 90.7 10.2 27.1 -27.9 25 32.8
T. Rowe Price -10.3 23.1 50.4 39.2 -15.1 8.4 35.2 -4.5 1.8 180.0 6.6 18.3 -18.0 12 33.8
Value Strategies Return (%) Monthly Variability (%) Monthly Holdings
YTD* 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. Gain Loss Avg. # Turnover %
Driehaus 17.7 4.3 -10.8 87.8 -42.6 -27.4 -8.3 107.4 nmf 62.9 11.6 51.3 -25.7 15 64.4
Foolish Small Cap 8 Revised 14.1 15.3 -3.9 67.8 22.2 29.5 51.5 36.5 12.4 680.8 9.0 26.6 -24.2 7 31.8
O'Neil's CAN SLIM 7.0 24.1 -3.8 79.0 20.5 54.4 38.0 36.6 28.2 927.4 6.9 23.6 -23.1 10 53.5
Foolish Small Cap 8 0.8 22.6 10.1 107.7 -19.4 -8.6 24.2 80.9 17.7 450.7 9.8 38.8 -22.5 24 34.8
Return on Equity -1.9 17.6 26.2 46.9 -3.8 18.1 31.4 1.0 18.8 283.1 5.9 13.0 -22.2 35 20.3
IBD Stable 70 -2.2 1.8 29.0 48.4 -11.0 9.5 23.9 3.6 21.9 190.3 5.1 12.0 -18.9 55 10.7
Inve$tWare Quality Growth -3.0 14.9 18.0 33.3 -25.0 8.0 18.5 -3.0 14.5 87.0 5.6 18.2 -22.0 28 11.4
O'Neil's CAN SLIM Revised 3rd Edition -5.4 -1.0 -2.6 74.7 -10.3 33.4 96.3 59.0 7.8 541.4 9.3 52.7 -26.7 10 63.1
Value Strategies Return (%) Monthly Variability (%) Monthly Holdings
YTD* 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. Gain Loss Avg. # Turnover %
Est Rev Up 5% 16.0 24.5 25.8 75.0 12.9 -8.1 3.6 107.1 43.3 913.7 9.2 30.8 -21.7 43 93.1
ADRs 9.6 12.9 14.5 82.3 -4.4 -5.3 9.9 4.0 2.3 173.4 6.4 31.1 -17.7 21 43.0
Dual Cash Flow 8.2 10.4 24.7 66.9 -13.9 24.6 5.7 114.3 0.9 509.8 7.2 34.7 -16.2 61 31.6
Graham--Defensive Investor (Utility) 7.6 18.5 16.2 16.6 -15.9 5.2 51.4 -8.4 14.6 142.8 4.5 12.0 -11.0 16 16.5
Est Rev Up 7.4 17.3 25.2 57.3 0.8 -3.5 2.2 38.2 29.9 342.1 6.0 12.2 -18.6 171 81.1
Est Rev Down 5% 6.1 2.5 8.0 70.9 -61.5 28.3 -4.2 27.8 -3.9 16.8 9.2 23.6 -23.2 69 89.4
Short Ratio 5.0 -15.9 -1.7 52.1 -30.7 18.3 -40.9 2.2 nmf -34.6 9.5 37.8 -24.5 25 51.5
Insider Net Purchases 4.7 -14.6 33.5 86.8 -20.9 21.8 -38.3 7.5 nmf 42.5 8.6 26.7 -19.0 27 29.5
Est Rev Down 2.6 -0.4 13.4 51.8 -43.8 26.7 -7.1 21.9 -15.0 20.6 7.4 17.6 -23.3 190 79.4
Short % Outstanding 1.8 -14.6 -2.3 88.5 -35.6 8.3 -31.7 -26.9 nmf -44.1 11.3 33.3 -26.2 25 17.9
Short Interest Change -10.6 -29.9 11.7 120.5 -34.9 11.6 -51.8 111.1 nmf 14.0 11.1 34.1 -27.4 25 85.2
Murphy Technology -13.5 34.1 107.9 -33.7 -79.6 26.7 -52.1 139.7 29.7 -38.6 15.7 58.5 -44.9 11 24.5
Value Strategies Return (%) Monthly Variability (%)
YTD* 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. Gain Loss
All Exchange-Listed Stocks 5.9 4.5 22.8 81.1 -13.3 21.2 -14.2 35.1 5.9 217.6 6.5 23.9 -20.2
Dow Jones 30 1.6 -0.1 2.6 25.3 -16.8 -7.1 -6.2 25.2 16.1 37.7 4.6 11.8 -15.1
Nasdaq 100 -5.7 1.5 10.4 49.1 -37.6 -32.7 -36.8 102.0 85.5 56.7 10.2 25.0 -27.5
S&P 500 0.3 3.0 9.0 26.4 -23.4 -13.0 -10.1 19.5 26.7 29.0 4.5 9.7 -14.6
S&P 500/ Citigroup Growth (incl dividends) -0.9 1.1 7.0 27.1 -28.1 -16.1 -19.1 37.4 38.2 26.2 5.5 10.8 -15.8
S&P 500/ Citigroup Value (incl dividends) 6.2 8.7 15.0 30.4 -16.6 -8.2 -0.5 4.9 18.9 64.5 4.1 9.6 -13.1
S&P MidCap 400 1.0 11.3 15.2 34.0 -15.4 -1.6 16.2 13.3 17.7 123.6 5.4 12.0 -18.7
S&P MidCap 400/ Citigroup Growth (incl dividends) 1.4 14.4 15.8 37.6 -19.7 -2.6 15.8 36.1 37.2 212.9 6.4 19.0 -22.2
S&P MidCap 400/ Citigroup Value (incl dividends) 6.9 10.8 17.2 33.8 -9.4 1.4 19.5 -2.6 3.7 105.9 4.5 10.9 -15.2
S&P SmallCap 600 4.4 6.7 21.4 37.8 -15.3 5.7 11.0 11.5 -2.1 102.2 5.7 13.3 -19.4
S&P SmallCap 600/ Citigroup Growth (incl dividends) 8.5 7.3 24.3 38.5 -16.6 3.0 7.6 19.7 -0.1 121.6 6.2 17.0 -21.7
S&P SmallCap 600/ Citigroup Value (incl dividends) 12.2 8.5 21.1 39.2 -12.9 9.5 15.8 4.9 -2.6 131.4 5.2 12.8 -16.9
Unless otherwise stated, figures do not include dividends or transactions costs.
*Through 6/9/2006.