| Table 1. Performance of Stock Screens on AAII's Web Site Ranked by 2005 YTD Return | ||||||||||||||
| Value Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | Gain | Loss | Avg. # | Turnover % | |
| Graham—Defensive Investor (Non-Utility) | 26.2 | 11.7 | 32.7 | 3.1 | 61.5 | 12.0 | 3.6 | 9.6 | 295.8 | 5.9 | 15.7 | -14.6 | 17 | 20.8 |
| Graham—Enterprising Investor | 21.3 | 18.9 | 25.9 | 43.5 | 55.3 | 24.2 | -5.0 | -7.3 | 342.8 | 8.0 | 33.1 | -18.7 | 5 | 35.1 |
| Dreman | 18.7 | 24.2 | 37.7 | 8.3 | 26.4 | 38.0 | -3.0 | -1.5 | 266.4 | 4.7 | 12.6 | -15.4 | 22 | 30.1 |
| P/E Relative | 17.2 | 24.7 | 51.1 | 11.1 | 16.1 | 20.3 | -6.0 | 26.5 | 307.3 | 4.6 | 14.9 | -12.4 | 34 | 77.8 |
| Lakonishok | 14.0 | 31.2 | 39.9 | -5.2 | -3.5 | 36.7 | 14.8 | 7.3 | 222.5 | 5.7 | 16.6 | -13.7 | 26 | 90.8 |
| Price-to-Free-Cash-Flow | 10.6 | 30.9 | 61.7 | 13.6 | 63.8 | 17.8 | 10.0 | 2.6 | 478.9 | 6.1 | 25.1 | -14.4 | 30 | 23.5 |
| Dreman With Est Revisions | 9.3 | 35.0 | 69.2 | 16.6 | -29.9 | 38.7 | 6.7 | 10.7 | 234.0 | 6.5 | 11.4 | -25.8 | 12 | 80.2 |
| Neff | 7.7 | 29.5 | 85.1 | 15.0 | 65.2 | 37.3 | 17.4 | 9.3 | 763.7 | 7.2 | 26.8 | -20.2 | 18 | 36.2 |
| Dividend Screen—Non-DRPs | 7.1 | 22.8 | 40.5 | 28.6 | 54.7 | 16.5 | -3.6 | 0.6 | 315.4 | 3.9 | 10.5 | -13.6 | 30 | 28.9 |
| Weiss Blue Chip Div Yield | 6.4 | 16.6 | 48.9 | -14.1 | 25.6 | 18.8 | 3.9 | 3.3 | 154.4 | 6.2 | 14.3 | -14.8 | 11 | 26.0 |
| Fundamental Rule of Thumb | 5.0 | 49.6 | 83.3 | 4.7 | 42.3 | 28.7 | 11.7 | -9.4 | 458.6 | 8.0 | 33.8 | -19.2 | 50 | 22.8 |
| O'Shaughnessy—Value | 2.2 | 20.2 | 47.2 | -12.1 | 10.6 | 22.3 | -3.9 | 7.2 | 121.5 | 5.6 | 15.5 | -14.0 | 50 | 19.6 |
| Dividend (High Relative Yield) | -1.0 | 19.1 | 27.9 | 0.4 | 24.1 | 23.3 | -2.1 | 6.3 | 141.3 | 4.5 | 12.5 | -12.0 | 37 | 21.0 |
| Dividend Screen—DRPs | -1.5 | 17.4 | 28.3 | -1.2 | 38.9 | 27.7 | -1.1 | -4.1 | 146.6 | 4.7 | 15.6 | -14.2 | 30 | 25.2 |
| Cash Rich Firms | -2.5 | 18.6 | 64.0 | -9.4 | 20.1 | 40.5 | 37.1 | -3.8 | 282.6 | 6.9 | 17.6 | -20.7 | 32 | 24.3 |
| Piotroski | -8.5 | 82.2 | 154.6 | -15.9 | 100.2 | -0.9 | 27.1 | 17.9 | 960.8 | 8.8 | 34.3 | -17.2 | 6 | 21.5 |
| Dogs of the Dow | -9.8 | -1.3 | 20.4 | -9.8 | -1.2 | 4.1 | 5.7 | 9.8 | 15.3 | 5.5 | 16.1 | -15.5 | 10 | 7.3 |
| Dogs of the Dow—Low Priced 5 | -11.8 | 6.1 | 17.6 | -6.5 | 7.2 | 3.2 | -2.0 | 24.6 | 39.0 | 6.5 | 19.4 | -15.8 | 5 | 16.7 |
| Growth & Value Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | Gain | Loss | Avg. # | Turnover % | |
| Zweig | 27.8 | 49.5 | 88.8 | 16.9 | 57.9 | 46.2 | 17.1 | 54.5 | 1,659.3 | 8.5 | 32.7 | -24.2 | 14 | 43.5 |
| Stock Market Winners | 25.9 | 9.6 | 131.5 | 32.1 | 41.6 | 27.6 | 21.7 | -12.0 | 716.4 | 7.0 | 22.0 | -23.4 | 17 | 60.4 |
| Muhlenkamp | 23.6 | 31.0 | 41.2 | 5.9 | 43.5 | 22.2 | 12.8 | -6.6 | 346.9 | 5.4 | 15.1 | -17.6 | 21 | 25.6 |
| Value on the Move—PEG With Est Growth | 23.1 | 54.1 | 87.0 | 7.9 | 34.8 | 22.9 | 11.0 | 2.1 | 619.4 | 6.2 | 15.7 | -23.1 | 49 | 44.8 |
| T. Rowe Price | 23.1 | 50.4 | 39.2 | -15.1 | 8.4 | 35.2 | -4.5 | 1.8 | 212.0 | 6.7 | 18.3 | -18.0 | 13 | 33.3 |
| Value on the Move—PEG With Hist Growth | 17.2 | 32.5 | 50.1 | 12.1 | 22.4 | 19.4 | 18.0 | 1.5 | 357.2 | 4.7 | 12.7 | -19.1 | 102 | 36.2 |
| Price-to-Sales | 16.9 | 11.1 | 69.8 | 1.3 | 43.3 | 23.3 | 21.1 | 13.2 | 440.7 | 6.1 | 14.8 | -17.8 | 46 | 40.7 |
| Wanger (Revised) | 14.5 | 19.3 | 53.2 | -13.1 | 21.1 | -2.8 | 3.2 | -2.4 | 116.0 | 6.9 | 22.8 | -19.8 | 31 | 26.7 |
| O'Shaughnessy—Growth | 14.4 | 45.1 | 90.3 | 10.1 | 19.2 | 11.5 | 19.5 | 19.4 | 559.5 | 6.8 | 18.6 | -17.9 | 50 | 38.3 |
| Buffettology—EPS Growth | 11.9 | 13.2 | 32.8 | -10.9 | 25.7 | 5.9 | 17.7 | 4.0 | 144.6 | 5.8 | 15.0 | -20.4 | 42 | 11.8 |
| Buffett—Hagstrom | 11.4 | 27.6 | 35.2 | -8.7 | 13.9 | 11.4 | 31.4 | 27.5 | 273.1 | 5.3 | 13.2 | -15.5 | 30 | 23.1 |
| Buffettology—Sustainable Growth | 9.5 | 17.5 | 37.6 | -11.9 | 29.7 | 3.3 | 14.6 | 7.4 | 156.9 | 6.2 | 16.5 | -18.0 | 30 | 14.7 |
| Lynch | 7.8 | 59.8 | 59.0 | -7.2 | 39.3 | 3.2 | 8.9 | 1.3 | 302.9 | 5.2 | 18.9 | -17.4 | 23 | 22.6 |
| Templeton | 4.7 | 21.9 | 46.8 | -32.6 | 22.0 | 20.3 | 8.1 | 16.2 | 132.9 | 6.0 | 14.3 | -18.2 | 24 | 26.7 |
| Oberweis Octagon | 4.1 | 42.3 | 67.8 | -17.5 | 20.2 | 18.4 | 33.4 | 15.6 | 350.5 | 8.9 | 23.3 | -23.2 | 18 | 41.3 |
| Fisher (Philip) | -11.7 | -3.9 | 78.1 | -10.7 | 70.7 | -16.7 | 5.4 | 2.6 | 107.8 | 10.4 | 27.1 | -27.9 | 25 | 32.9 |
| Growth Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | Gain | Loss | Avg. # | Turnover % | |
| O'Neil's CAN SLIM | 24.1 | -3.8 | 79.0 | 20.5 | 54.4 | 38.0 | 36.6 | 28.2 | 860.3 | 6.8 | 23.6 | -23.1 | 10 | 53.2 |
| Foolish Small Cap 8 | 22.6 | 10.1 | 107.7 | -19.4 | -8.6 | 24.2 | 80.9 | 17.7 | 446.1 | 9.9 | 38.8 | -22.5 | 25 | 34.6 |
| Return on Equity | 17.6 | 26.2 | 46.9 | -3.8 | 18.1 | 31.4 | 1.0 | 18.8 | 290.5 | 5.9 | 13.0 | -22.2 | 35 | 20.2 |
| Foolish Small Cap 8 Revised | 15.3 | -3.9 | 67.8 | 22.2 | 29.5 | 51.5 | 36.5 | 12.4 | 584.4 | 9.1 | 26.6 | -24.2 | 7 | 31.5 |
| Inve$tWare Quality Growth | 14.9 | 18.0 | 33.3 | -25.0 | 8.0 | 18.5 | -3.0 | 14.5 | 92.7 | 5.7 | 18.2 | -22.0 | 28 | 11.3 |
| Driehaus | 4.3 | -10.8 | 87.8 | -42.6 | -27.4 | -8.3 | 107.4 | nmf | 38.4 | 11.9 | 51.3 | -25.7 | 15 | 64.5 |
| IBD Stable 70 | 1.8 | 29.0 | 48.4 | -11.0 | 9.5 | 23.9 | 3.6 | 21.9 | 196.9 | 5.2 | 12.0 | -18.9 | 56 | 10.4 |
| O'Neil's CAN SLIM Revised 3rd Edition | -1.0 | -2.6 | 74.7 | -10.3 | 33.4 | 96.3 | 59.0 | 7.8 | 578.3 | 9.5 | 52.7 | -26.7 | 9 | 63.0 |
| Sector/Specialty Strategies | Price Change (%) | Monthly Variability (%) | Monthly Holdings | |||||||||||
| 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | Gain | Loss | Avg. # | Turnover % | |
| Murphy Technology | 34.1 | 107.9 | -33.7 | -79.6 | 26.7 | -52.1 | 139.7 | 29.7 | -29.0 | 16.2 | 58.5 | -44.9 | 11 | 24.9 |
| Est Rev Up 5% | 24.5 | 25.8 | 75.0 | 12.9 | -8.1 | 3.6 | 107.1 | 43.3 | 773.8 | 9.4 | 30.8 | -21.7 | 42 | 93.1 |
| Graham—Defensive Investor (Utility) | 18.5 | 16.2 | 16.6 | -15.9 | 5.2 | 51.4 | -8.4 | 14.6 | 125.6 | 4.6 | 12.0 | -11.0 | 17 | 16.2 |
| Est Rev Up | 17.3 | 25.2 | 57.3 | 0.8 | -3.5 | 2.2 | 38.2 | 29.9 | 311.8 | 6.2 | 12.2 | -18.6 | 168 | 81.3 |
| ADRs | 12.9 | 14.5 | 82.3 | -4.4 | -5.3 | 9.9 | 4.0 | 2.3 | 149.5 | 6.6 | 31.1 | -17.7 | 21 | 42.9 |
| Dual Cash Flow | 10.4 | 24.7 | 66.9 | -13.9 | 24.6 | 5.7 | 114.3 | 0.9 | 463.4 | 7.4 | 34.7 | -16.2 | 60 | 31.3 |
| Est Rev Down 5% | 2.5 | 8.0 | 70.9 | -61.5 | 28.3 | -4.2 | 27.8 | -3.9 | 10.1 | 9.4 | 23.6 | -23.2 | 69 | 89.4 |
| Est Rev Down | -0.4 | 13.4 | 51.8 | -43.8 | 26.7 | -7.1 | 21.9 | -15.0 | 17.6 | 7.6 | 17.6 | -23.3 | 191 | 79.2 |
| Short % Outstanding | -14.6 | -2.3 | 88.5 | -35.6 | 8.3 | -31.7 | -26.9 | nmf | -45.1 | 11.7 | 33.3 | -26.2 | 25 | 17.6 |
| Insider Net Purchases | -14.6 | 33.5 | 86.8 | -20.9 | 21.8 | -38.3 | 7.5 | nmf | 36.1 | 8.8 | 26.7 | -19.0 | 27 | 29.5 |
| Short Ratio | -15.9 | -1.7 | 52.1 | -30.7 | 18.3 | -40.9 | 2.2 | nmf | -37.7 | 9.6 | 37.8 | -24.5 | 25 | 51.1 |
| Short Interest Change | -29.9 | 11.7 | 120.5 | -34.9 | 11.6 | -51.8 | 111.1 | nmf | 27.5 | 11.4 | 34.1 | -27.4 | 25 | 84.5 |
| Indexes | Price Change (%) | Monthly Variability (%) | ||||||||||||
| 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | Gain | Loss | |||
| All Exchange-Listed Stocks | 4.5 | 22.8 | 81.1 | -13.3 | 21.2 | -14.2 | 35.1 | 5.9 | 199.9 | 6.6 | 23.9 | -20.2 | ||
| Dow Jones 30 | -0.1 | 2.6 | 25.3 | -16.8 | -7.1 | -6.2 | 25.2 | 16.1 | 35.5 | 4.7 | 11.8 | -15.1 | ||
| NASDAQ 100 | 1.5 | 10.4 | 49.1 | -37.6 | -32.7 | -36.8 | 102.0 | 85.5 | 66.2 | 10.5 | 25.0 | -27.5 | ||
| S&P 500 | 3.0 | 9.0 | 26.4 | -23.4 | -13.0 | -10.1 | 19.5 | 26.7 | 28.6 | 4.6 | 9.7 | -14.6 | ||
| S&P/Barra 500 Growth (incl dividends) | 4.9 | 6.1 | 25.7 | -23.6 | -12.7 | -22.1 | 28.2 | 42.2 | 32.5 | 5.1 | 9.2 | -13.0 | ||
| S&P/Barra 500 Value (incl dividends) | 6.2 | 15.7 | 31.8 | -20.9 | -11.7 | 6.1 | 12.7 | 14.7 | 55.1 | 4.7 | 10.4 | -16.1 | ||
| S&P MidCap 400 | 11.3 | 15.2 | 34.0 | -15.4 | -1.6 | 16.2 | 13.3 | 17.7 | 121.4 | 5.5 | 12.0 | -18.7 | ||
| S&P MidCap Growth (incl dividends) | 14.7 | 14.3 | 31.3 | -19.2 | -8.0 | 9.2 | 28.7 | 34.9 | 142.6 | 6.5 | 19.6 | -20.8 | ||
| S&P MidCap Value (incl dividends) | 11.2 | 18.9 | 40.2 | -10.1 | 7.1 | 27.8 | 2.3 | 4.7 | 144.6 | 5.1 | 15.3 | -16.4 | ||
| S&P SmallCap 600 | 6.7 | 21.4 | 37.8 | -15.3 | 5.7 | 11.0 | 11.5 | -2.1 | 93.6 | 5.8 | 13.3 | -19.4 | ||
| S&P SmallCap Growth (incl dividends) | 8.7 | 22.0 | 37.4 | -15.4 | -1.2 | 0.6 | 19.6 | 2.3 | 87.5 | 6.3 | 20.9 | -20.5 | ||
| S&P SmallCap Value (incl dividends) | 7.7 | 23.3 | 40.0 | -14.5 | 13.1 | 20.9 | 3.0 | -5.1 | 112.6 | 5.5 | 14.1 | -18.0 | ||
|
Unless otherwise stated, figures do not include dividends or transactions costs.
* Through 12/31/2005 |
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