| Table 1. Performance of Stock Screens on AAII's Web Site | |||||||||||||
| Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| YTD* | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Cum'l* | Std Dev | High | Low | Avg | Turnover % | |
| Value Strategies | |||||||||||||
| Piotroski | 48.7 | 154.6 | (15.9) | 100.2 | (0.9) | 27.1 | 17.9 | 846.7 | 9.4 | 34.3 | (17.2) | 7 | 21.2 |
| Price-to-Free-Cash-Flow | 12.7 | 61.7 | 13.6 | 63.8 | 17.8 | 10.0 | 2.6 | 350.5 | 6.3 | 25.1 | (14.4) | 30 | 24.0 |
| Dreman With Est Revisions | 9.9 | 69.2 | 16.6 | (29.9) | 38.7 | 6.7 | 10.7 | 148.9 | 6.8 | 11.4 | (25.8) | 10 | 79.6 |
| P/E Relative | 7.3 | 51.1 | 11.1 | 16.1 | 20.3 | (6.0) | 26.5 | 199.1 | 4.9 | 14.9 | (12.4) | 32 | 79.1 |
| Dividend Screen—DRPs | 7.0 | 28.3 | (1.2) | 38.9 | 27.7 | (1.1) | (4.1) | 128.1 | 5.0 | 15.6 | (14.2) | 30 | 25.7 |
| Neff | 6.9 | 85.1 | 15.0 | 65.2 | 37.3 | 17.4 | 9.3 | 562.5 | 7.6 | 26.8 | (20.2) | 18 | 35.9 |
| Weiss Blue Chip Div Yield | 6.4 | 48.9 | (14.1) | 25.6 | 18.8 | 3.9 | 3.3 | 118.0 | 6.7 | 14.3 | (14.8) | 10 | 28.3 |
| Lakonishok | 5.6 | 39.9 | (5.2) | (3.5) | 36.7 | 14.8 | 7.3 | 127.6 | 6.0 | 16.6 | (13.7) | 22 | 90.8 |
| Dividend (High Relative Yield) | 5.0 | 27.9 | 0.4 | 24.1 | 23.3 | (2.1) | 6.3 | 114.8 | 4.7 | 12.5 | (12.0) | 38 | 21.0 |
| Dreman | 2.6 | 37.7 | 8.3 | 26.4 | 38.0 | (3.0) | (1.5) | 154.9 | 4.9 | 12.6 | (15.4) | 21 | 30.7 |
| Cash Rich Firms | 2.4 | 64.0 | (9.4) | 20.1 | 40.5 | 37.1 | (3.8) | 238.7 | 7.2 | 17.6 | (20.7) | 32 | 24.6 |
| O'Shaughnessy—Value | 2.2 | 47.2 | (12.1) | 10.6 | 22.3 | (3.9) | 7.2 | 84.3 | 6.0 | 15.5 | (14.0) | 50 | 20.2 |
| Dividend Screen--Non-DRPs | 1.8 | 40.5 | 28.6 | 54.7 | 16.5 | (3.6) | 0.6 | 221.2 | 4.1 | 10.5 | (13.6) | 30 | 28.6 |
| Graham--Defensive Investor (Non-Utility) | (0.3) | 32.7 | 3.1 | 61.5 | 12.0 | 3.6 | 9.6 | 180.0 | 6.2 | 15.7 | (14.6) | 19 | 20.8 |
| Dogs of the Dow--Low Priced 5 | (0.4) | 17.6 | (6.5) | 7.2 | 3.2 | (2.0) | 24.6 | 48.0 | 7.0 | 19.4 | (15.8) | 5 | 16.9 |
| Fundamental Rule of Thumb | (0.5) | 83.3 | 4.7 | 42.3 | 28.7 | 11.7 | (9.4) | 253.9 | 7.9 | 33.8 | (19.2) | 50 | 23.0 |
| Dogs of the Dow | (3.1) | 20.4 | (9.8) | (1.2) | 4.1 | 5.7 | 9.8 | 25.5 | 5.9 | 16.1 | (15.5) | 10 | 8.1 |
| Graham--Enterprising Investor | (8.3) | 25.9 | 43.5 | 55.3 | 24.2 | (5.0) | (7.3) | 181.4 | 7.7 | 23.4 | (18.7) | 6 | 31.7 |
| Growth & Value Strategies | |||||||||||||
| Value on the Move--PEG With Est Growth | 22.5 | 87.0 | 7.9 | 34.8 | 22.9 | 11.0 | 2.1 | 364.4 | 6.4 | 15.7 | (23.1) | 49 | 47.0 |
| Lynch | 14.0 | 59.0 | (7.2) | 39.3 | 3.2 | 8.9 | 1.3 | 166.5 | 5.2 | 18.9 | (17.4) | 24 | 22.5 |
| Zweig | 12.1 | 88.8 | 16.9 | 57.9 | 46.2 | 17.1 | 54.5 | 932.0 | 9.0 | 32.7 | (24.2) | 13 | 44.4 |
| O'Shaughnessy--Growth | 8.7 | 90.3 | 10.1 | 19.2 | 11.5 | 19.5 | 19.4 | 332.1 | 6.8 | 18.6 | (17.9) | 50 | 39.1 |
| Templeton | 8.3 | 46.8 | (32.6) | 22.0 | 20.3 | 8.1 | 16.2 | 97.7 | 6.4 | 14.3 | (18.2) | 27 | 26.5 |
| Value on the Move--PEG With Hist Growth | 8.2 | 50.1 | 12.1 | 22.4 | 19.4 | 18.0 | 1.5 | 218.6 | 4.8 | 12.7 | (19.1) | 102 | 37.6 |
| Buffett--Hagstrom | 6.9 | 35.2 | (8.7) | 13.9 | 11.4 | 31.4 | 27.5 | 180.5 | 5.6 | 13.2 | (15.5) | 30 | 23.0 |
| Buffettology--Sustainable Growth | 6.3 | 37.6 | (11.9) | 29.7 | 3.3 | 14.6 | 7.4 | 112.5 | 6.6 | 16.5 | (18.0) | 28 | 15.2 |
| Buffettology--EPS Growth | 5.9 | 32.8 | (10.9) | 25.7 | 5.9 | 17.7 | 4.0 | 104.4 | 6.1 | 15.0 | (20.4) | 40 | 11.9 |
| Oberweis Octagon | 5.6 | 67.8 | (17.5) | 20.2 | 18.4 | 33.4 | 15.6 | 221.1 | 9.2 | 23.3 | (23.2) | 17 | 42.6 |
| T. Rowe Price | 5.5 | 39.2 | (15.1) | 8.4 | 35.2 | (4.5) | 1.8 | 77.9 | 6.8 | 17.0 | (18.0) | 15 | 34.0 |
| Wanger (Revised) | 0.2 | 53.2 | (13.1) | 21.1 | (2.8) | 3.2 | (2.4) | 58.3 | 7.3 | 22.8 | (19.8) | 28 | 27.1 |
| Muhlenkamp | (0.6) | 41.2 | 5.9 | 43.5 | 22.2 | 12.8 | (6.6) | 174.3 | 5.6 | 15.1 | (17.6) | 23 | 25.8 |
| Price-to-Sales | (3.3) | 69.8 | 1.3 | 43.3 | 23.3 | 21.1 | 13.2 | 302.7 | 6.3 | 14.8 | (17.8) | 46 | 42.2 |
| Stock Market Winners | (12.7) | 131.5 | 32.1 | 41.6 | 27.6 | 21.7 | (12.0) | 416.5 | 7.4 | 22.0 | (23.4) | 19 | 61.4 |
| Fisher (Philip) | (27.3) | 78.1 | (10.7) | 70.7 | (16.7) | 5.4 | 2.6 | 77.9 | 11.2 | 27.1 | (27.9) | 30 | 35.3 |
| Growth Strategies | |||||||||||||
| Return on Equity | 7.4 | 46.9 | (3.8) | 18.1 | 31.4 | 1.0 | 18.8 | 182.8 | 6.1 | 13.0 | (22.2) | 33 | 19.7 |
| IBD Stable 70 | 4.5 | 51.1 | (11.0) | 9.5 | 23.9 | 3.6 | 21.9 | 140.6 | 5.4 | 12.0 | (18.9) | 59 | 10.9 |
| Inve$tWare Quality Growth | 4.2 | 33.3 | (25.0) | 8.0 | 18.5 | (3.0) | 14.5 | 48.2 | 5.9 | 18.2 | (22.0) | 30 | 11.6 |
| Foolish Small Cap 8 Revised | (3.5) | 67.8 | 22.2 | 29.5 | 51.5 | 36.5 | 12.4 | 495.9 | 9.6 | 26.6 | (24.2) | 8 | 29.8 |
| Foolish Small Cap 8 | (9.9) | 107.7 | (19.4) | (8.6) | 24.2 | 80.9 | 17.7 | 264.4 | 10.1 | 38.8 | (22.5) | 26 | 34.8 |
| O'Neil's CAN SLIM | (10.4) | 79.0 | 20.5 | 54.4 | 38.0 | 36.6 | 28.2 | 620.8 | 7.2 | 23.6 | (23.1) | 11 | 54.3 |
| O'Neil's CAN SLIM Revised 3rd Edition | (12.2) | 74.7 | (10.3) | 33.4 | 96.3 | 59.0 | 7.8 | 517.6 | 10.1 | 52.7 | (26.7) | 8 | 63.9 |
| Driehaus | (15.8) | 87.8 | (42.6) | (27.4) | (8.3) | 107.4 | nmf | 25.3 | 12.8 | 51.3 | (25.7) | 12 | 66.0 |
| Sector/Specialty Strategies | |||||||||||||
| Murphy Technology | 76.8 | (33.7) | (79.6) | 26.7 | (52.1) | 139.7 | 29.7 | (55.0) | 17.3 | 58.5 | (44.9) | 13 | 23.0 |
| Insider Net Purchases | 18.4 | 86.8 | (20.9) | 21.8 | (38.3) | 7.5 | nmf | 41.4 | 9.3 | 26.7 | (19.0) | 26 | 30.6 |
| Dual Cash Flow | 6.9 | 66.9 | (13.9) | 24.6 | 5.7 | 114.3 | 0.9 | 337.4 | 7.7 | 34.7 | (16.2) | 57 | 31.1 |
| Est Rev Up 5% | 5.9 | 75.0 | 12.9 | (8.1) | 3.6 | 107.1 | 43.3 | 491.0 | 10.1 | 30.8 | (21.7) | 41 | 93.0 |
| Est Rev Up | 3.4 | 57.3 | 0.8 | (3.5) | 2.2 | 38.2 | 29.9 | 189.9 | 6.5 | 12.2 | (18.6) | 163 | 81.7 |
| Graham--Defensive Investor (Utility) | 1.0 | 16.6 | (15.9) | 5.2 | 51.4 | (8.4) | 14.6 | 65.4 | 4.9 | 12.0 | (11.0) | 18 | 15.2 |
| Est Rev Down | (0.2) | 51.8 | (43.8) | 26.7 | (7.1) | 21.9 | (15.0) | 3.8 | 8.1 | 17.6 | (23.3) | 198 | 79.0 |
| Short Ratio | (4.8) | 52.1 | (30.7) | 18.3 | (40.9) | 2.2 | nmf | (28.4) | 10.1 | 37.8 | (24.5) | 25 | 48.7 |
| ADRs | (6.4) | 82.3 | (4.4) | (5.3) | 9.9 | 4.0 | 2.3 | 80.6 | 7.0 | 31.1 | (17.7) | 17 | 42.4 |
| Est Rev Down 5% | (7.4) | 70.9 | (61.5) | 28.3 | (4.2) | 27.8 | (3.9) | (8.0) | 9.9 | 23.6 | (23.2) | 70 | 89.5 |
| Short Interest Change | (9.4) | 120.5 | (34.9) | 11.6 | (51.8) | 111.1 | nmf | 47.6 | 12.1 | 34.1 | (27.4) | 25 | 81.5 |
| Short % Outstanding | (12.3) | 88.5 | (35.6) | 8.3 | (31.7) | (26.9) | nmf | (42.4) | 12.2 | 33.3 | (26.2) | 25 | 17.9 |
| Indexes | |||||||||||||
| All Exchange-Listed Stocks | 5.9 | 81.1 | (13.3) | 21.2 | (14.2) | 35.1 | 5.9 | 147.5 | 7.1 | 23.9 | (20.2) | ||
| Dow Jones 30 | (0.4) | 25.3 | (16.8) | (7.1) | (6.2) | 25.2 | 16.1 | 31.7 | 5.1 | 11.8 | (15.1) | ||
| Nasdaq 100 | (0.2) | 49.1 | (37.6) | (32.7) | (36.8) | 102.0 | 85.5 | 47.9 | 11.4 | 25.0 | (27.5) | ||
| S&P 500 | 2.1 | 26.4 | (23.4) | (13.0) | (10.1) | 19.5 | 26.7 | 17.0 | 5.0 | 9.7 | (14.6) | ||
| S&P/Barra 500 Growth (incl dividends) | 2.1 | 25.7 | (23.6) | (12.7) | (22.1) | 28.2 | 42.2 | 21.6 | 5.5 | 9.2 | (13.0) | ||
| S&P/Barra 500 Value (incl dividends) | 3.4 | 31.8 | (20.9) | (11.7) | 6.1 | 12.7 | 14.7 | 30.6 | 5.1 | 10.4 | (16.1) | ||
| S&P MidCap 400 | 3.3 | 34.0 | (15.4) | (1.6) | 16.2 | 13.3 | 17.7 | 78.4 | 5.8 | 12.0 | (18.7) | ||
| S&P MidCap Growth (incl dividends) | 3.6 | 31.3 | (19.2) | (8.0) | 9.2 | 28.7 | 34.9 | 91.7 | 7.0 | 19.6 | (20.8) | ||
| S&P MidCap Value (incl dividends) | 4.2 | 40.2 | (10.1) | 7.1 | 27.8 | 2.3 | 4.7 | 92.6 | 5.4 | 15.3 | (16.4) | ||
| S&P SmallCap 600 | 5.7 | 37.8 | (15.3) | 5.7 | 11.0 | 11.5 | (2.1) | 58.1 | 6.1 | 13.3 | (19.4) | ||
| S&P SmallCap Growth (incl dividends) | 6.6 | 37.4 | (15.4) | (1.2) | 0.6 | 19.6 | 2.3 | 50.6 | 6.7 | 20.9 | (20.5) | ||
| S&P SmallCap Value (incl dividends) | 6.0 | 40.0 | (14.5) | 13.1 | 20.9 | 3.0 | (5.1) | 69.8 | 5.7 | 14.1 | (18.0) | ||
|
Unless otherwise stated, figures do not include dividends or transactions costs.
* Through 6/18/2004 |
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