| TABLE 1. Performance of Stock Screens on AAII's Web Site Ranked by 2006 YTD Return | ||||||||||||||||
| Strategy | Price Change (%) |
Monthly Variability (%) |
Monthly Holdings |
|||||||||||||
| YTD* | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | High | Low | Avg. | % Turn- over |
||
| Value | ||||||||||||||||
| Graham--Enterprising Investor | 56.1 | 21.3 | 18.9 | 25.9 | 43.5 | 55.3 | 24.2 | (5.0) | (7.3) | 591.3 | 7.9 | 33.1 | (18.7) | 5 | 34.2 | |
| Dreman With Est Revisions | 41.9 | 9.3 | 35.0 | 69.2 | 16.6 | (29.9) | 38.7 | 6.7 | 10.7 | 374.0 | 6.3 | 15.2 | (25.8) | 13 | 80.5 | |
| Dogs of the Dow--Low Priced 5 | 29.7 | (11.8) | 6.1 | 17.6 | (6.5) | 7.2 | 3.2 | (2.0) | 24.6 | 80.4 | 6.2 | 19.4 | (15.8) | 5 | 15.8 | |
| Fundamental Rule of Thumb | 29.0 | 5.0 | 49.6 | 83.3 | 4.7 | 42.3 | 28.7 | 11.7 | (9.4) | 620.4 | 7.7 | 33.8 | (19.2) | 50 | 22.2 | |
| Graham--Defensive Investor (Non-Utility) | 24.3 | 26.2 | 11.7 | 32.7 | 3.1 | 61.5 | 12.0 | 3.6 | 9.6 | 392.1 | 6.0 | 15.7 | (14.6) | 17 | 21.3 | |
| Price-to-Free-Cash-Flow | 24.1 | 10.6 | 30.9 | 61.7 | 13.6 | 63.8 | 17.8 | 10.0 | 2.6 | 618.6 | 5.9 | 25.1 | (14.4) | 30 | 23.6 | |
| P/E Relative | 23.3 | 17.2 | 24.7 | 51.1 | 11.1 | 16.1 | 20.3 | (6.0) | 26.5 | 402.4 | 4.5 | 14.9 | (12.4) | 35 | 76.9 | |
| Dogs of the Dow | 22.5 | (9.8) | (1.3) | 20.4 | (9.8) | (1.2) | 4.1 | 5.7 | 9.8 | 41.2 | 5.2 | 16.1 | (15.5) | 10 | 6.9 | |
| O'Shaughnessy--Value | 21.4 | 2.2 | 20.2 | 47.2 | (12.1) | 10.6 | 22.3 | (3.9) | 7.2 | 168.9 | 5.3 | 15.5 | (14.0) | 50 | 19.0 | |
| Dreman | 21.0 | 18.7 | 24.2 | 37.7 | 8.3 | 26.4 | 38.0 | (3.0) | (1.5) | 343.2 | 4.5 | 12.6 | (15.4) | 22 | 30.1 | |
| Dividend Screen--DRPs | 19.5 | (1.5) | 17.4 | 28.3 | (1.2) | 38.9 | 27.7 | (1.1) | (4.1) | 194.6 | 4.4 | 15.6 | (14.2) | 30 | 25.4 | |
| Cash Rich Firms | 17.9 | (2.5) | 18.6 | 64.0 | (9.4) | 20.1 | 40.5 | 37.1 | (3.8) | 351.0 | 6.6 | 17.6 | (20.7) | 32 | 24.0 | |
| Neff | 16.1 | 7.7 | 29.5 | 85.1 | 15.0 | 65.2 | 37.3 | 17.4 | 9.3 | 902.5 | 6.9 | 26.8 | (20.2) | 19 | 35.2 | |
| Dividend Screen--Non-DRPs | 15.9 | 7.1 | 22.8 | 40.5 | 28.6 | 54.7 | 16.5 | (3.6) | 0.6 | 381.2 | 3.7 | 10.5 | (13.6) | 30 | 28.8 | |
| Lakonishok | 15.2 | 14.0 | 31.2 | 39.9 | (5.2) | (3.5) | 36.7 | 14.8 | 7.3 | 271.5 | 5.4 | 16.6 | (13.7) | 28 | 90.4 | |
| Weiss Blue Chip Div Yield | 14.6 | 6.4 | 16.6 | 48.9 | (14.1) | 25.6 | 18.8 | 3.9 | 3.3 | 191.6 | 5.9 | 14.3 | (14.8) | 11 | 26.5 | |
| Dividend (High Relative Yield) | 14.1 | (1.0) | 19.1 | 27.9 | 0.4 | 24.1 | 23.3 | (2.1) | 6.3 | 175.4 | 4.2 | 12.5 | (12.0) | 37 | 21.4 | |
| Piotroski | (15.8) | (8.5) | 82.2 | 154.6 | (15.9) | 100.2 | (0.9) | 27.1 | 17.9 | 793.3 | 8.4 | 34.3 | (17.2) | 6 | 26.9 | |
| Strategy | Price Change (%) |
Monthly Variability (%) |
Monthly Holdings |
|||||||||||||
| YTD* | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | High | Low | Avg. | % Turn- over |
||
| Growth & Value | ||||||||||||||||
| Foolish Small Cap 8 Revised | 43.8 | 15.3 | (3.9) | 67.8 | 22.2 | 29.5 | 51.5 | 36.5 | 12.4 | 883.9 | 9.2 | 28.1 | (24.2) | 7 | 31.9 | |
| Oberweis Octagon | 28.3 | 4.1 | 42.3 | 67.8 | (17.5) | 20.2 | 18.4 | 33.4 | 15.6 | 477.7 | 8.6 | 23.3 | (23.2) | 19 | 41.1 | |
| O'Shaughnessy--Tiny Titans | 27.8 | 7.5 | 45.8 | 154.8 | 51.9 | 84.1 | (6.6) | 53.8 | 38.1 | 2,730.6 | 9.0 | 37.4 | (21.0) | 25 | 42.5 | |
| O'Shaughnessy--Small Cap Growth and Value | 27.2 | 19.1 | 26.8 | 107.5 | 0.8 | 13.4 | 13.2 | 21.1 | 33.6 | 734.6 | 7.0 | 18.5 | (18.2) | 25 | 46.7 | |
| Buffettology--Sustainable Growth | 25.6 | 9.5 | 17.5 | 37.6 | (11.9) | 29.7 | 3.3 | 14.6 | 7.4 | 222.6 | 6.0 | 16.5 | (18.0) | 31 | 15.1 | |
| O'Shaughnessy--All Cap | 25.3 | 21.9 | 47.4 | 28.7 | (11.8) | 63.7 | 6.3 | (15.3) | 18.2 | 345.5 | 5.5 | 12.9 | (15.0) | 25 | 35.7 | |
| Value on the Move--PEG With Est Growth | 18.2 | 23.1 | 54.1 | 87.0 | 7.9 | 34.8 | 22.9 | 11.0 | 2.1 | 750.5 | 6.1 | 15.7 | (23.1) | 48 | 44.5 | |
| Zweig | 17.8 | 27.8 | 49.5 | 88.8 | 16.9 | 57.9 | 46.2 | 17.1 | 54.5 | 1,971.7 | 8.2 | 32.7 | (24.2) | 15 | 43.5 | |
| Wanger (Revised) | 17.5 | 14.5 | 19.3 | 53.2 | (13.1) | 21.1 | (2.8) | 3.2 | (2.4) | 153.8 | 6.7 | 22.8 | (19.8) | 31 | 27.1 | |
| Price-to-Sales | 16.8 | 16.9 | 11.1 | 69.8 | 1.3 | 43.3 | 23.3 | 21.1 | 13.2 | 531.9 | 5.8 | 14.8 | (17.8) | 46 | 40.4 | |
| O'Shaughnessy--Growth | 15.9 | 14.4 | 45.1 | 90.3 | 10.1 | 19.2 | 11.5 | 19.5 | 19.4 | 664.2 | 6.8 | 18.6 | (17.9) | 50 | 38.2 | |
| O'Shaughnessy--Growth Market Leaders | 13.7 | 18.9 | 6.7 | 26.2 | (8.9) | 5.7 | (9.0) | 16.8 | 35.3 | 151.7 | 5.2 | 13.6 | (15.7) | 10 | 42.9 | |
| Lynch | 12.1 | 7.8 | 59.8 | 59.0 | (7.2) | 39.3 | 3.2 | 8.9 | 1.3 | 351.8 | 5.1 | 18.9 | (17.4) | 22 | 22.8 | |
| Buffett--Hagstrom | 12.0 | 11.4 | 27.6 | 35.2 | (8.7) | 13.9 | 11.4 | 31.4 | 27.5 | 317.8 | 5.0 | 13.2 | (15.5) | 30 | 22.5 | |
| Buffettology--EPS Growth | 10.5 | 11.9 | 13.2 | 32.8 | (10.9) | 25.7 | 5.9 | 17.7 | 4.0 | 170.2 | 5.6 | 15.0 | (20.4) | 44 | 11.8 | |
| Value on the Move--PEG With Hist Growth | 7.9 | 17.2 | 32.5 | 50.1 | 12.1 | 22.4 | 19.4 | 18.0 | 1.5 | 393.3 | 4.6 | 12.7 | (19.1) | 99 | 36.6 | |
| Templeton | 7.0 | 4.7 | 21.9 | 46.8 | (32.6) | 22.0 | 20.3 | 8.1 | 16.2 | 149.2 | 5.7 | 14.3 | (18.2) | 24 | 27.5 | |
| Fisher (Philip) | 1.7 | (11.7) | (3.9) | 78.1 | (10.7) | 70.7 | (16.7) | 5.4 | 2.6 | 111.3 | 9.9 | 27.1 | (27.9) | 24 | 32.3 | |
| Stock Market Winners | 0.5 | 25.9 | 9.6 | 131.5 | 32.1 | 41.6 | 27.6 | 21.7 | (12.0) | 720.7 | 6.8 | 22.0 | (23.4) | 16 | 60.4 | |
| Muhlenkamp | (3.4) | 23.6 | 31.0 | 41.2 | 5.9 | 43.5 | 22.2 | 12.8 | (6.6) | 331.6 | 5.3 | 15.1 | (17.6) | 20 | 25.0 | |
| T. Rowe Price | (7.7) | 23.1 | 50.4 | 39.2 | (15.1) | 8.4 | 35.2 | (4.5) | 1.8 | 188.0 | 6.4 | 18.3 | (18.0) | 12 | 34.0 | |
| Strategy | Price Change (%) |
Monthly Variability (%) |
Monthly Holdings |
|||||||||||||
| YTD* | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | High | Low | Avg. | % Turn- over |
||
| Growth | ||||||||||||||||
| Driehaus | 42.8 | 4.3 | (10.8) | 87.8 | (42.6) | (27.4) | (8.3) | 107.4 | nmf | 97.7 | 11.3 | 51.3 | (25.7) | 15 | 64.5 | |
| O'Neil's CAN SLIM | 22.1 | 24.1 | (3.8) | 79.0 | 20.5 | 54.4 | 38.0 | 36.6 | 28.2 | 1,072.4 | 6.7 | 23.6 | (23.1) | 10 | 53.6 | |
| Foolish Small Cap 8 | 12.7 | 22.6 | 10.1 | 107.7 | (19.4) | (8.6) | 24.2 | 80.9 | 17.7 | 515.6 | 9.6 | 38.8 | (22.5) | 24 | 34.9 | |
| Return on Equity | 11.5 | 17.6 | 26.2 | 46.9 | (3.8) | 18.1 | 31.4 | 1.0 | 18.8 | 335.2 | 5.8 | 13.0 | (22.2) | 35 | 20.3 | |
| IBD Stable 70 | 3.6 | 1.8 | 29.0 | 48.4 | (11.0) | 9.5 | 23.9 | 3.6 | 21.9 | 207.7 | 5.0 | 12.0 | (18.9) | 55 | 10.9 | |
| Inve$tWare Quality Growth | 1.9 | 14.9 | 18.0 | 33.3 | (25.0) | 8.0 | 18.5 | (3.0) | 14.5 | 96.3 | 5.6 | 18.2 | (22.0) | 28 | 11.4 | |
| O'Neil's CAN SLIM Revised 3rd Edition | (3.7) | (1.0) | (2.6) | 74.7 | (10.3) | 33.4 | 96.3 | 59.0 | 7.8 | 553.4 | 9.1 | 52.7 | (26.7) | 10 | 62.1 | |
| Strategy | Price Change (%) |
Monthly Variability (%) |
Monthly Holdings |
|||||||||||||
| YTD* | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | High | Low | Avg. | % Turn- over |
||
| Specialty/Sector Strategies | ||||||||||||||||
| ADRs | 42.1 | 12.9 | 14.5 | 82.3 | (4.4) | (5.3) | 9.9 | 4.0 | 2.3 | 254.7 | 6.3 | 31.1 | (17.7) | 22 | 42.7 | |
| Est Rev Up 5% | 39.7 | 24.5 | 25.8 | 75.0 | 12.9 | (8.1) | 3.6 | 107.1 | 43.3 | 1,120.8 | 9.0 | 30.8 | (21.7) | 42 | 93.2 | |
| Graham--Defensive Investor (Utility) | 27.3 | 18.5 | 16.2 | 16.6 | (15.9) | 5.2 | 51.4 | (8.4) | 14.6 | 187.2 | 4.4 | 12.0 | (11.0) | 16 | 16.5 | |
| Est Rev Down 5% | 26.7 | 2.5 | 8.0 | 70.9 | (61.5) | 28.3 | (4.2) | 27.8 | (3.9) | 39.5 | 8.9 | 23.6 | (23.2) | 69 | 89.3 | |
| Est Rev Up | 22.0 | 17.3 | 25.2 | 57.3 | 0.8 | (3.5) | 2.2 | 38.2 | 29.9 | 402.4 | 5.9 | 12.2 | (18.6) | 171 | 81.2 | |
| Dual Cash Flow | 19.3 | 10.4 | 24.7 | 66.9 | (13.9) | 24.6 | 5.7 | 114.3 | 0.9 | 571.9 | 7.0 | 34.7 | (16.2) | 61 | 31.3 | |
| Short Ratio | 14.8 | (15.9) | (1.7) | 52.1 | (30.7) | 18.3 | (40.9) | 2.2 | nmf | (28.6) | 9.2 | 37.8 | (24.5) | 25 | 52.3 | |
| Est Rev Down | 14.2 | (0.4) | 13.4 | 51.8 | (43.8) | 26.7 | (7.1) | 21.9 | (15.0) | 34.3 | 7.2 | 17.6 | (23.3) | 191 | 79.4 | |
| Insider Net Purchases | 8.6 | (14.6) | 33.5 | 86.8 | (20.9) | 21.8 | (38.3) | 7.5 | nmf | 47.8 | 8.4 | 26.7 | (19.0) | 27 | 29.1 | |
| Short % Outstanding | 2.9 | (14.6) | (2.3) | 88.5 | (35.6) | 8.3 | (31.7) | (26.9) | nmf | (43.5) | 11.0 | 33.3 | (26.2) | 25 | 18.1 | |
| Short Interest Change | 1.6 | (29.9) | 11.7 | 120.5 | (34.9) | 11.6 | (51.8) | 111.1 | nmf | 29.6 | 10.8 | 34.1 | (27.4) | 25 | 85.9 | |
| Murphy Technology | 0.8 | 34.1 | 107.9 | (33.7) | (79.6) | 26.7 | (52.1) | 139.7 | 29.7 | (28.4) | 15.4 | 58.5 | (44.9) | 11 | 24.2 | |
| Strategy | Price Change (%) |
Monthly Variability (%) |
||||||||||||||
| YTD* | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | Total* | Std. Dev. | High | Low | ||||
| Indexes | ||||||||||||||||
| All Exchange-Listed Stocks | 16.8 | 4.5 | 22.8 | 81.1 | (13.3) | 21.2 | (14.2) | 35.1 | 5.9 | 250.3 | 6.3 | 23.9 | (20.2) | |||
| Dow Jones 30 | 14.8 | (0.1) | 2.6 | 25.3 | (16.8) | (7.1) | (6.2) | 25.2 | 16.1 | 55.6 | 4.5 | 11.8 | (15.1) | |||
| NASDAQ 100 | 8.6 | 1.5 | 10.4 | 49.1 | (37.6) | (32.7) | (36.8) | 102.0 | 85.5 | 80.4 | 9.9 | 25.0 | (27.5) | |||
| S&P 500 | 12.9 | 3.0 | 9.0 | 26.4 | (23.4) | (13.0) | (10.1) | 19.5 | 26.7 | 45.3 | 4.4 | 9.7 | (14.6) | |||
| S&P 500/ Citigroup Growth (incl dividends) | 10.9 | 1.1 | 7.0 | 27.1 | -28.1 | (16.1) | (19.1) | 37.4 | 38.2 | 41.1 | 5.4 | 10.8 | (15.8) | |||
| S&P 500/ Citigroup Value (incl dividends) | 13.9 | 8.7 | 15.0 | 30.4 | -16.6 | (8.2) | (0.5) | 4.9 | 18.9 | 76.5 | 3.9 | 9.6 | (13.1) | |||
| S&P MidCap 400 | 10.6 | 11.3 | 15.2 | 34.0 | (15.4) | (1.6) | 16.2 | 13.3 | 17.7 | 144.8 | 5.3 | 12.0 | (18.7) | |||
| S&P MidCap 400/ Citigroup Growth (incl dividends) | 7.9 | 14.4 | 15.8 | 37.6 | -19.7 | (2.6) | 15.8 | 36.1 | 37.2 | 232.8 | 6.2 | 19.0 | (22.2) | |||
| S&P MidCap 400/ Citigroup Value (incl dividends) | 14.3 | 10.8 | 17.2 | 33.8 | -9.4 | 1.4 | 19.5 | (2.6) | 3.7 | 120.3 | 4.4 | 10.9 | (15.2) | |||
| S&P SmallCap 600 | 15.2 | 6.7 | 21.4 | 37.8 | (15.3) | 5.7 | 11.0 | 11.5 | (2.1) | 123.0 | 5.6 | 13.3 | (19.4) | |||
| S&P SmallCap 600/ Citigroup Growth (incl dividends) | 14.7 | 7.3 | 24.3 | 38.5 | -16.6 | 3.0 | 7.6 | 19.7 | (0.1) | 134.3 | 6.0 | 17.0 | (21.7) | |||
| S&P SmallCap 600/ Citigroup Value (incl dividends) | 23.3 | 8.5 | 21.1 | 39.2 | -12.9 | 9.5 | 15.8 | 4.9 | (2.6) | 154.3 | 5.0 | 12.8 | (16.9) | |||
|
Unless otherwise stated, figures do not include dividends or transactions costs.
*Through 12/8/2006 |
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