| TABLE 1. Performance of Stock Screens on AAII's Web Site | ||||||||||||
| Strategy | Total Gain (%) | Monthly Variability (%) | Monthly Holdings | |||||||||
| 2003* | 2002 | 2001 | 2000 | 1999 | 1998 | Total | Std Dev | High | Low | Avg | % Holdover | |
| Value | ||||||||||||
| Cash Rich Firms | 24.2 | -9.4 | 20.1 | 40.5 | 37.1 | -3.8 | 150.5 | 7.7 | 17.6 | -20.7 | 34 | 74.6 |
| David Dreman | 15.5 | 8.3 | 26.4 | 38.0 | -3.0 | -1.5 | 108.5 | 5.2 | 12.6 | -15.4 | 21 | 68.0 |
| David Dreman With Est Revisions | 40.0 | 16.6 | -29.9 | 38.7 | 6.7 | 10.7 | 87.4 | 7.3 | 11.4 | -25.8 | 8 | 20.2 |
| Dividend Screen—DRPs | 11.8 | -1.2 | 38.9 | 27.7 | -1.1 | -4.1 | 85.9 | 5.4 | 15.6 | -14.2 | 29 | 73.8 |
| Dividend Screen—Non-DRPs | 15.8 | 28.6 | 54.7 | 16.5 | -3.6 | 0.6 | 160.2 | 4.3 | 10.5 | -13.6 | 30 | 72.6 |
| High Relative Dividend Yield | 8.4 | 0.4 | 24.1 | 23.3 | -2.1 | 6.3 | 73.4 | 5.0 | 12.5 | -12.0 | 38 | 78.8 |
| Dogs of the Dow | 4.1 | -9.8 | -1.2 | 4.1 | 5.7 | 9.8 | 12.0 | 6.2 | 16.1 | -15.5 | 10 | 92.1 |
| Dogs of the Dow—Low Priced 5 | 4.5 | -6.5 | 7.2 | 3.2 | -2.0 | 24.6 | 32.0 | 7.4 | 19.4 | -15.8 | 5 | 83.3 |
| Low Price-to-Free-Cash-Flow | 18.2 | 13.6 | 63.8 | 17.8 | 10.0 | 2.6 | 192.4 | 6.6 | 25.1 | -14.4 | 30 | 75.3 |
| Fundamental Rule of Thumb | 55.2 | 3.2 | 42.3 | 28.7 | 11.7 | -9.4 | 196.8 | 8.6 | 33.8 | -19.2 | 51 | 76.0 |
| Graham—Defensive Investor (Non-Utility) | 7.3 | 3.1 | 61.5 | 12.0 | 3.6 | 9.6 | 127.0 | 6.5 | 15.7 | -14.6 | 20 | 78.6 |
| Graham—Enterprising Investor | 10.3 | 43.5 | 55.3 | 24.2 | -5.0 | -7.3 | 168.9 | 7.3 | 23.4 | -18.7 | 6 | 69.9 |
| Josef Lakonishok | 15.5 | -5.2 | -3.5 | 36.7 | 14.8 | 7.3 | 78.0 | 6.4 | 16.6 | -13.7 | 19 | 9.0 |
| John Neff | 31.3 | 15.0 | 65.2 | 37.3 | 17.4 | 9.3 | 339.5 | 8.0 | 26.8 | -20.2 | 18 | 62.9 |
| O'Shaughnessy—Value | 24.2 | -12.9 | 10.6 | 22.3 | -3.9 | 7.2 | 50.8 | 6.5 | 16.5 | -14.0 | 48 | 78.5 |
| Joseph Piotroski | 17.2 | -15.9 | 100.2 | -0.9 | 27.1 | 17.9 | 193.0 | 8.7 | 25.7 | -17.2 | 7 | 80.0 |
| Low Price to Book | 48.1 | -6.6 | 50.2 | -22.7 | 31.1 | -9.8 | 90.0 | 10.2 | 50.2 | -18.4 | nmf | 0.0 |
| P/E Relative | 26.1 | 11.1 | 16.1 | 20.3 | -6.0 | 26.5 | 132.8 | 5.2 | 14.9 | -12.4 | 28 | 19.6 |
| Weiss Blue Chip Div. Yield | 15.7 | -14.1 | 25.6 | 18.8 | 3.9 | 3.3 | 59.3 | 6.9 | 14.3 | -14.8 | 10 | 70.9 |
| Growth & Value | ||||||||||||
| Buffett—Hagstrom | 10.6 | -8.7 | 13.9 | 11.4 | 31.4 | 27.5 | 114.7 | 6.0 | 13.2 | -15.5 | 30 | 77.4 |
| Buffettology—EPS Growth | 11.2 | -10.9 | 25.7 | 5.9 | 17.7 | 4.0 | 61.7 | 6.5 | 15.0 | -20.4 | 41 | 87.7 |
| Buffettology—Sustainable Growth | 13.6 | -11.9 | 29.7 | 3.3 | 14.6 | 7.4 | 65.0 | 7.1 | 16.5 | -18.0 | 28 | 84.7 |
| Philip Fisher | 35.8 | -10.7 | 70.7 | -16.7 | 5.4 | 2.6 | 86.6 | 10.8 | 25.6 | -26.7 | 35 | 69.1 |
| Peter Lynch | 29.0 | -7.2 | 39.3 | 3.2 | 8.9 | 1.3 | 89.7 | 5.3 | 18.9 | -17.4 | 26 | 77.5 |
| Muhlenkamp | 15.9 | 5.9 | 43.5 | 22.2 | 12.8 | -6.6 | 126.5 | 6.0 | 15.1 | -17.6 | 23 | 74.6 |
| Oberweis Octagon | 17.8 | -17.5 | 20.2 | 18.4 | 33.4 | 15.6 | 113.4 | 9.5 | 23.3 | -23.2 | 18 | 57.6 |
| O'Shaughnessy—Growth | 33.6 | 9.8 | 19.2 | 11.5 | 19.5 | 19.4 | 178.0 | 6.9 | 15.5 | -17.9 | 47 | 60.9 |
| Low Price-to-Sales | 22.5 | 1.3 | 43.3 | 23.3 | 21.1 | 13.2 | 200.4 | 6.4 | 14.8 | -17.8 | 48 | 58.4 |
| Stock Market Winners | 15.6 | 32.1 | 41.6 | 27.6 | 21.7 | -12.0 | 195.6 | 6.0 | 17.5 | -16.7 | 22 | 38.4 |
| T. Rowe Price | 17.1 | -15.1 | 8.4 | 35.2 | -4.5 | 1.8 | 41.8 | 7.2 | 17.0 | -18.0 | 16 | 66.7 |
| John Templeton | 14.2 | -32.6 | 22 | 20.3 | 8.1 | 16.2 | 42.0 | 6.8 | 14.3 | -18.2 | 28 | 73.7 |
| Value on the Move—PEG With Est Growth | 38.1 | 7.9 | 34.8 | 22.9 | 11.0 | 2.1 | 179.9 | 6.6 | 15.7 | -23.1 | 54 | 52.4 |
| Value on the Move—PEG With Hist Growth | 25.4 | 12.1 | 22.4 | 19.4 | 18.0 | 1.5 | 146.0 | 4.9 | 12.7 | -19.1 | 113 | 63.0 |
| Ralph Wanger | 16.1 | -13.1 | 21.1 | -2.8 | 3.2 | -2.4 | 19.7 | 7.7 | 22.8 | -19.8 | 27 | 71.6 |
| Martin Zweig | 37.9 | 16.9 | 57.9 | 46.2 | 17.1 | 54.5 | 572.5 | 9.1 | 32.7 | -24.2 | 13 | 54.6 |
| Growth | ||||||||||||
| Richard Driehaus | 47.2 | -42.6 | -27.4 | -8.3 | 107.4 | nmf | 16.6 | 14.0 | 51.3 | -25.7 | 11 | 33.0 |
| Foolish Small Cap 8 | 65.1 | -19.4 | -8.6 | 24.2 | 80.9 | 17.7 | 221.5 | 10.6 | 38.8 | -22.5 | 28 | 65.7 |
| Inve$tWare Quality Growth | 9.6 | -25.0 | 8 | 18.5 | -3.0 | 14.5 | 16.9 | 6.3 | 18.2 | -22.0 | 30 | 88.6 |
| William O'Neil's CANSLIM | 34.1 | 20.5 | 54.4 | 38.0 | 36.6 | 28.2 | 503.0 | 7.4 | 23.6 | -23.1 | 12 | 48.4 |
| O'Neil's CAN SLIM Revised 3rd Edition | 35.5 | -10.3 | 33.4 | 96.3 | 59.0 | 7.8 | 445.5 | 10.6 | 52.7 | -26.7 | 9 | 37.0 |
| Return on Equity | 17.0 | -3.8 | 18.1 | 31.4 | 1.0 | 18.8 | 109.5 | 6.4 | 13.0 | -22.2 | 34 | 80.6 |
| Sector/Specialty | ||||||||||||
| ADRs | 28.4 | -4.4 | -5.3 | 9.9 | 4.0 | 2.3 | 35.9 | 7.2 | 31.1 | -17.7 | 16 | 57.5 |
| Dual Cash Flow | 33.3 | -13.9 | 24.6 | 5.7 | 114.3 | 0.9 | 226.8 | 8.3 | 34.7 | -16.2 | 50 | 68.6 |
| Est Rev Down | 19.7 | -43.8 | 26.7 | -7.1 | 21.9 | -15.0 | -17.9 | 8.7 | 17.6 | -23.3 | 211 | 21.9 |
| Est Rev Down 5% | 28.1 | -61.5 | 28.3 | -4.2 | 27.8 | -3.9 | -25.5 | 10.7 | 23.6 | -23.2 | 73 | 10.8 |
| Est Rev Up | 25.1 | 0.8 | -3.5 | 2.2 | 38.2 | 29.9 | 123.0 | 6.9 | 12.2 | -18.6 | 151 | 17.8 |
| Est Rev Up 5% | 29.1 | 12.9 | -8.1 | 3.6 | 107.1 | 43.3 | 311.6 | 10.8 | 30.8 | -21.7 | 37 | 6.8 |
| Graham—Defensive Investor (Utility) | 9.8 | -15.9 | 5.2 | 51.4 | -8.4 | 14.6 | 54.3 | 5.3 | 12.0 | -11.0 | 19 | 84.1 |
| Insider Net Purchases | 43.3 | -19.2 | 21.8 | -38.3 | 7.5 | nmf | -6.4 | 10.2 | 26.7 | -19.0 | 29 | 68.3 |
| Michael Murphy Technology | 28.0 | -79.6 | 26.7 | -52.1 | 139.7 | 29.7 | -50.8 | 15.8 | 44.7 | -29.2 | 14 | 75.5 |
| Short % Outstanding | 30.5 | -35.6 | 8.3 | -31.7 | -26.9 | nmf | -54.5 | 13.1 | 33.3 | -26.2 | 25 | 82.5 |
| Short Interest Change | 42.9 | -34.9 | 11.6 | -51.8 | 111.1 | nmf | 5.5 | 12.9 | 34.1 | -27.4 | 25 | 22.2 |
| Short Ratio | 14.7 | -30.7 | 18.3 | -40.9 | 2.2 | nmf | -43.2 | 10.9 | 37.8 | -24.5 | 25 | 52.3 |
| Shadow Stocks | 18.9 | 1.8 | 29.2 | -10.5 | 16.8 | -4.3 | 56.4 | 6.2 | 22.2 | -17.4 | nmf | nmf |
| Shadow Stocks—Value Screen | 46.1 | 11.3 | 57.9 | 17.0 | 3.6 | 13.4 | 252.7 | 7.1 | 21.0 | -11.3 | 7 | 83.5 |
| Indexes | ||||||||||||
| S&P 500 | 10.8 | -23.4 | -13.0 | -10.1 | 19.5 | 26.7 | 0.4 | 5.3 | 9.7 | -14.6 | ||
| S&P/Barra 500 Growth (incl dividends) | 11.2 | -23.6 | -12.7 | -22.1 | 28.3 | 42.1 | 5.4 | 6.0 | 9.2 | -13.0 | ||
| S&P/Barra 500 Value (incl dividends) | 12.3 | -20.9 | -11.7 | 6.1 | 12.7 | 14.7 | 7.6 | 5.4 | 10.4 | -16.1 | ||
| S&P MidCap 400 | 11.7 | -15.4 | -1.6 | 16.2 | 13.3 | 17.7 | 44.0 | 6.2 | 12.0 | -18.7 | ||
| S&P SmallCap 600 | 12.4 | -15.3 | 5.7 | 11.0 | 11.5 | -2.1 | 22.0 | 6.5 | 13.3 | -19.4 | ||
|
Unless otherwise stated, figures do not include dividends or transactions costs.
*Through 6/30/2003. |
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