| Table 1. Performance of Stock Screens on AAII's Web Site Ranked by 2005 YTD Return | ||||||||||||||
| Value Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| YTD* | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std Dev | Gain | Loss | Avg # | Turnover % | |
| Dreman With Est Revisions | 5.2 | 35.0 | 69.2 | 16.6 | (29.9) | 38.7 | 6.7 | 10.7 | 221.6 | 6.6 | 11.4 | (25.8) | 12 | 79.8 |
| P/E Relative | 4.6 | 24.7 | 51.1 | 11.1 | 16.1 | 20.3 | (6.0) | 26.5 | 263.7 | 4.7 | 14.9 | (12.4) | 33 | 78.0 |
| Graham—Enterprising Investor | 4.1 | 18.9 | 25.9 | 43.5 | 55.3 | 24.2 | (5.0) | (7.3) | 280.0 | 8.0 | 33.1 | (18.7) | 5 | 35.2 |
| Price-to-Free-Cash-Flow | 1.8 | 30.9 | 61.7 | 13.6 | 63.8 | 17.8 | 10.0 | 2.6 | 433.0 | 6.2 | 25.1 | (14.4) | 30 | 23.7 |
| Lakonishok | 1.2 | 31.2 | 39.9 | (5.2) | (3.5) | 36.7 | 14.8 | 7.3 | 186.2 | 5.8 | 16.6 | (13.7) | 25 | 90.6 |
| Weiss Blue Chip Div Yield | 0.9 | 16.6 | 48.9 | (14.1) | 25.6 | 18.8 | 3.9 | 3.3 | 141.1 | 6.3 | 14.3 | (14.8) | 10 | 26.3 |
| Dogs of the Dow—Low Priced 5 | (0.1) | 6.1 | 17.6 | (6.5) | 7.2 | 3.2 | (2.0) | 24.6 | 57.4 | 6.6 | 19.4 | (15.8) | 5 | 16.7 |
| Dreman | (1.0) | 24.2 | 37.7 | 8.3 | 26.4 | 38.0 | (3.0) | (1.5) | 205.5 | 4.8 | 12.6 | (15.4) | 22 | 30.3 |
| Dividend Screen—Non-DRPs | (1.7) | 22.8 | 40.5 | 28.6 | 54.7 | 16.5 | (3.6) | 0.6 | 281.0 | 3.9 | 10.5 | (13.6) | 30 | 28.6 |
| Graham—Defensive Investor (Non-Utility) | (1.8) | 11.7 | 32.7 | 3.1 | 61.5 | 12.0 | 3.6 | 9.6 | 208.2 | 5.9 | 15.7 | (14.6) | 18 | 20.2 |
| O'Shaughnessy—Value | (2.0) | 20.2 | 47.2 | (12.1) | 10.6 | 22.3 | (3.9) | 7.2 | 112.5 | 5.7 | 15.5 | (14.0) | 50 | 19.9 |
| Dogs of the Dow | (3.2) | (1.3) | 20.4 | (9.8) | (1.2) | 4.1 | 5.7 | 9.8 | 23.7 | 5.6 | 16.1 | (15.5) | 10 | 7.3 |
| Dividend Screen—DRPs | (4.1) | 17.4 | 28.3 | (1.2) | 38.9 | 27.7 | (1.1) | (4.1) | 140.1 | 4.8 | 15.6 | (14.2) | 30 | 25.5 |
| Cash Rich Firms | (5.5) | 18.6 | 64.0 | (9.4) | 20.1 | 40.5 | 37.1 | (3.8) | 270.7 | 7.0 | 17.6 | (20.7) | 32 | 24.6 |
| Dividend (High Relative Yield) | (5.8) | 19.1 | 27.9 | 0.4 | 24.1 | 23.3 | (2.1) | 6.3 | 129.4 | 4.5 | 12.5 | (12.0) | 37 | 21.5 |
| Fundamental Rule of Thumb | (6.8) | 49.6 | 83.3 | 4.7 | 42.3 | 28.7 | 11.7 | (9.4) | 395.6 | 8.1 | 33.8 | (19.2) | 50 | 22.8 |
| Neff | (10.5) | 29.5 | 85.1 | 15.0 | 65.2 | 37.3 | 17.4 | 9.3 | 618.1 | 7.4 | 26.8 | (20.2) | 18 | 36.4 |
| Piotroski | (10.9) | 82.2 | 154.6 | (15.9) | 100.2 | (0.9) | 27.1 | 17.9 | 933.1 | 8.9 | 34.3 | (17.2) | 6 | 21.7 |
| Growth & Value Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| YTD* | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std Dev | Gain | Loss | Avg # | Turnover % | |
| Stock Market Winners | 14.0 | 9.6 | 131.5 | 32.1 | 41.6 | 27.6 | 21.7 | (12.0) | 639.4 | 7.1 | 22.0 | (23.4) | 17 | 60.5 |
| Zweig | 11.3 | 49.5 | 88.8 | 16.9 | 57.9 | 46.2 | 17.1 | 54.5 | 1432.2 | 8.6 | 32.7 | (24.2) | 13 | 43.8 |
| Value on the Move—PEG With Est Growth | 6.8 | 54.1 | 87.0 | 7.9 | 34.8 | 22.9 | 11.0 | 2.1 | 524.1 | 6.2 | 15.7 | (23.1) | 49 | 45.6 |
| Buffett—Hagstrom | 5.6 | 27.6 | 35.2 | (8.7) | 13.9 | 11.4 | 31.4 | 27.5 | 253.7 | 5.3 | 13.2 | (15.5) | 30 | 22.7 |
| Value on the Move—PEG With Hist Growth | 4.4 | 32.5 | 50.1 | 12.1 | 22.4 | 19.4 | 18.0 | 1.5 | 307.4 | 4.7 | 12.7 | (19.1) | 102 | 36.8 |
| Muhlenkamp | 3.7 | 31.0 | 41.2 | 5.9 | 43.5 | 22.2 | 12.8 | (6.6) | 275.1 | 5.5 | 15.1 | (17.6) | 22 | 25.6 |
| Lynch | 2.5 | 59.8 | 59.0 | (7.2) | 39.3 | 3.2 | 8.9 | 1.3 | 283.0 | 5.3 | 18.9 | (17.4) | 23 | 22.8 |
| Fisher (Philip) | 0.8 | (3.9) | 78.1 | (10.7) | 70.7 | (16.7) | 5.4 | 2.6 | 137.1 | 10.6 | 27.1 | (27.9) | 26 | 34.2 |
| Price-to-Sales | (0.2) | 11.1 | 69.8 | 1.3 | 43.3 | 23.3 | 21.1 | 13.2 | 361.7 | 6.2 | 14.8 | (17.8) | 45 | 41.2 |
| Templeton | (0.7) | 21.9 | 46.8 | (32.6) | 22.0 | 20.3 | 8.1 | 16.2 | 121.0 | 6.1 | 14.3 | (18.2) | 25 | 26.5 |
| Buffettology—Sustainable Growth | (0.9) | 17.5 | 37.6 | (11.9) | 29.7 | 3.3 | 14.6 | 7.4 | 132.7 | 6.3 | 16.5 | (18.0) | 29 | 15.0 |
| Buffettology—EPS Growth | (1.6) | 13.2 | 32.8 | (10.9) | 25.7 | 5.9 | 17.7 | 4.0 | 114.9 | 5.9 | 15.0 | (20.4) | 41 | 12.0 |
| O'Shaughnessy—Growth | (2.4) | 45.1 | 90.3 | 10.1 | 19.2 | 11.5 | 19.5 | 19.4 | 462.8 | 6.9 | 18.6 | (17.9) | 50 | 38.6 |
| Wanger (Revised) | (4.4) | 19.3 | 53.2 | (13.1) | 21.1 | (2.8) | 3.2 | (2.4) | 80.2 | 7.0 | 22.8 | (19.8) | 31 | 26.7 |
| Oberweis Octagon | (9.9) | 42.3 | 67.8 | (17.5) | 20.2 | 18.4 | 33.4 | 15.6 | 289.8 | 9.0 | 23.3 | (23.2) | 18 | 41.9 |
| T. Rowe Price | (10.1) | 50.4 | 39.2 | (15.1) | 8.4 | 35.2 | (4.5) | 1.8 | 128.0 | 6.8 | 18.3 | (18.0) | 13 | 34.0 |
| Growth Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| YTD* | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std Dev | Gain | Loss | Avg # | Turnover % | |
| O'Neil's CAN SLIM | 23.9 | (3.8) | 79.0 | 20.5 | 54.4 | 38.0 | 36.6 | 28.2 | 859.0 | 6.9 | 23.6 | (23.1) | 10 | 53.2 |
| Foolish Small Cap 8 | 19.2 | 10.1 | 107.7 | (19.4) | (8.6) | 24.2 | 80.9 | 17.7 | 430.8 | 9.9 | 38.8 | (22.5) | 25 | 34.6 |
| Inve$tWare Quality Growth | 2.8 | 18.0 | 33.3 | (25.0) | 8.0 | 18.5 | (3.0) | 14.5 | 72.4 | 5.8 | 18.2 | (22.0) | 29 | 11.5 |
| Return on Equity | 2.0 | 26.2 | 46.9 | (3.8) | 18.1 | 31.4 | 1.0 | 18.8 | 238.8 | 6.0 | 13.0 | (22.2) | 34 | 20.0 |
| Foolish Small Cap 8 Revised | 1.0 | (3.9) | 67.8 | 22.2 | 29.5 | 51.5 | 36.5 | 12.4 | 499.3 | 9.3 | 26.6 | (24.2) | 8 | 31.6 |
| O'Neil's CAN SLIM Revised 3rd Edition | (1.6) | (2.6) | 74.7 | (10.3) | 33.4 | 96.3 | 59.0 | 7.8 | 574.3 | 9.7 | 52.7 | (26.7) | 9 | 63.2 |
| IBD Stable 70 | (2.4) | 29.0 | 48.4 | (11.0) | 9.5 | 23.9 | 3.6 | 21.9 | 184.7 | 5.2 | 12.0 | (18.9) | 56 | 10.5 |
| Driehaus | (5.3) | (10.8) | 87.8 | (42.6) | (27.4) | (8.3) | 107.4 | nmf | 25.7 | 12.1 | 51.3 | (25.7) | 15 | 64.2 |
| Sector/Specialty Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| YTD* | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std Dev | Gain | Loss | Avg # | Turnover % | |
| Murphy Technology | 10.5 | 107.9 | (33.7) | (79.6) | 26.7 | (52.1) | 139.7 | 29.7 | (41.5) | 16.5 | 58.5 | (44.9) | 11 | 25.1 |
| Graham—Defensive Investor (Utility) | 8.1 | 16.2 | 16.6 | (15.9) | 5.2 | 51.4 | (8.4) | 14.6 | 105.8 | 4.6 | 12.0 | (11.0) | 17 | 15.5 |
| Est Rev Up 5% | 6.9 | 25.8 | 75.0 | 12.9 | (8.1) | 3.6 | 107.1 | 43.3 | 650.2 | 9.6 | 30.8 | (21.7) | 41 | 92.7 |
| Est Rev Up | 4.1 | 25.2 | 57.3 | 0.8 | (3.5) | 2.2 | 38.2 | 29.9 | 265.5 | 6.3 | 12.2 | (18.6) | 167 | 81.1 |
| Short % Outstanding | (1.7) | (2.3) | 88.5 | (35.6) | 8.3 | (31.7) | (26.9) | nmf | (36.8) | 11.9 | 33.3 | (26.2) | 25 | 17.1 |
| Dual Cash Flow | (2.0) | 24.7 | 66.9 | (13.9) | 24.6 | 5.7 | 114.3 | 0.9 | 400.1 | 7.5 | 34.7 | (16.2) | 58 | 31.3 |
| Est Rev Down 5% | (6.3) | 8.0 | 70.9 | (61.5) | 28.3 | (4.2) | 27.8 | (3.9) | 0.6 | 9.6 | 23.6 | (23.2) | 69 | 89.4 |
| ADRs | (6.9) | 14.5 | 82.3 | (4.4) | (5.3) | 9.9 | 4.0 | 2.3 | 105.8 | 6.6 | 31.1 | (17.7) | 20 | 42.7 |
| Est Rev Down | (7.9) | 13.4 | 51.8 | (43.8) | 26.7 | (7.1) | 21.9 | (15.0) | 8.7 | 7.8 | 17.6 | (23.3) | 193 | 79.0 |
| Short Interest Change | (16.1) | 11.7 | 120.5 | (34.9) | 11.6 | (51.8) | 111.1 | nmf | 52.7 | 11.5 | 34.1 | (27.4) | 25 | 82.2 |
| Insider Net Purchases | (16.6) | 33.5 | 86.8 | (20.9) | 21.8 | (38.3) | 7.5 | nmf | 32.9 | 8.9 | 26.7 | (19.0) | 26 | 29.6 |
| Short Ratio | (18.5) | (1.7) | 52.1 | (30.7) | 18.3 | (40.9) | 2.2 | nmf | (39.7) | 9.9 | 37.8 | (24.5) | 25 | 49.7 |
| Indexes | Price Change (%) | Monthly Variability (%) | ||||||||||||
| YTD* | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std Dev | Gain | Loss | |||
| All Exchange-Listed Stocks | (4.6) | 22.8 | 81.1 | (13.3) | 21.2 | (14.2) | 35.1 | 5.9 | 173.8 | 6.8 | 23.9 | (20.2) | ||
| Dow Jones 30 | (2.0) | 2.6 | 25.3 | (16.8) | (7.1) | (6.2) | 25.2 | 16.1 | 32.9 | 4.8 | 11.8 | (15.1) | ||
| NASDAQ 100 | (6.2) | 10.4 | 49.1 | (37.6) | (32.7) | (36.8) | 102.0 | 85.5 | 53.6 | 10.7 | 25.0 | (27.5) | ||
| S&P 500 | (1.1) | 9.0 | 26.4 | (23.4) | (13.0) | (10.1) | 19.5 | 26.7 | 23.5 | 4.7 | 9.7 | (14.6) | ||
| S&P/Barra 500 Growth (incl dividends) | (0.3) | 6.1 | 25.7 | -23.6 | (12.7) | (22.1) | 28.2 | 42.2 | 25.7 | 5.3 | 9.2 | (13.0) | ||
| S&P/Barra 500 Value (incl dividends) | (0.5) | 15.7 | 31.8 | -20.9 | (11.7) | 6.1 | 12.7 | 14.7 | 44.1 | 4.9 | 10.4 | (16.1) | ||
| S&P MidCap 400 | 2.4 | 15.2 | 34.0 | (15.4) | (1.6) | 16.2 | 13.3 | 17.7 | 103.7 | 5.6 | 12.0 | (18.7) | ||
| S&P MidCap Growth (incl dividends) | 3.0 | 14.3 | 31.3 | -19.2 | (8.0) | 9.2 | 28.7 | 34.9 | 115.2 | 6.7 | 19.6 | (20.8) | ||
| S&P MidCap Value (incl dividends) | 2.7 | 18.9 | 40.2 | -10.1 | 7.1 | 27.8 | 2.3 | 4.7 | 122.6 | 5.2 | 15.3 | (16.4) | ||
| S&P SmallCap 600 | (0.3) | 21.4 | 37.8 | (15.3) | 5.7 | 11.0 | 11.5 | (2.1) | 80.9 | 5.9 | 13.3 | (19.4) | ||
| S&P SmallCap Growth (incl dividends) | (0.2) | 22.0 | 37.4 | -15.4 | (1.2) | 0.6 | 19.6 | 2.3 | 71.3 | 6.5 | 20.9 | (20.5) | ||
| S&P SmallCap Value (incl dividends) | (0.1) | 23.3 | 40.0 | -14.5 | 13.1 | 20.9 | 3.0 | (5.1) | 93.0 | 5.6 | 14.1 | (18.0) | ||
Unless otherwise stated, figures do not include dividends or transaction costs. * Through 6/10/2005. Source: AAII's Stock Investor Pro/Reuters. |
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