| 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 |
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