A Performance Correction for the 2005 AAII Stock Screens
Due to an error in calculating the mid-month performance data for December 2005, the year-to-date performance data in the January 2006 AAII Journal article From Peak to Valley: The Stock Strategy Landscape in 2005 was incorrect. As a result, there was a slight mis-ordering of some of the top-performing screening methodologies for 2005, as well as for long-term performance. In addition to correcting the error, weve also updated the results through year-end 2005.
The Murphy Technology low-price-to-growth-flow approach maintained its overall dominance for the year, albeit with a lower return of 34.1%.
The Graham—Defensive Investor (Non-Utility) screen, with a revised 2005 return of 26.2%, also remained the top value strategy for 2005, as well as one of the top-performing strategies for the year.
Perennial favorites found themselves once again at the top of the remaining two categories. The Zweig screen led the growth & value category, ending 2005 with a gain of 27.8%, while the original CAN SLIM approach led the growth category, with a 24.1% gain for the year. Surprisingly, however, CAN SLIM failed to rank among the top five performers for all approaches for 2005, even though it led the growth strategy pack.
Figure 1 below shows the long-term performance of the top-performing screens for 2005 for each of the strategy categories.
In terms of long-term performance, the overall best and worst remained unchanged, albeit with slightly different results. The Zweig screen maintained its long-term dominance, with an impressive 1,659.3% cumulative return since 1998. And despite its 2005 boost, the Murphy Technology low-price-to-growth-flow approach remained at the bottom of the long-term performance barrel (excluding short selling strategies), with a 29.0% cumulative return.
However, the Neff approach bumped Stock Market Winners from the number five slot on the list of overall top performers, with a cumulative return of 763.7%. On the flip side, the Dogs of the Dow—Low Priced 5 screen was spared from the list of the five worst long-term performers (since the start of 1998), replaced by the Insider Net Purchases screen methodology, with a cumulative return of only 36.1%.
Table 1 below presents the updated performance of the stock screens tracked on AAII.com, through year-end 2005. For a revised version of the full article, please refer to the January 2006 issue of the AAII Journal, or click here.
|Figure 1. Performance of 2005 Winning Screens by Category|