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  Friday, November 20, 2009  
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Before following any AAII stock screen, we recommend that you look at the long-term returns as well as recent performance. Understand that the screen portfolios that we present are merely computer-generated lists, based on our own interpretation of popular investment approaches.

That being said, our screen tracking results are quite impressive. Complete performance statistics are presented in the table below. Note: Definitions of Price Change, Monthly Variability and Monthly Holdings are available by clicking here or on the column headers.


 Downloadable Excel Files:
  11-Year Annual Returns

  11-Year Month-by-Month Returns



Data as of 10/30/2009
   Value  |  What is a Value Screen?
Strategy Price Change
(%)
Monthly
Variability

(%)
Monthly
Holdings
YTD* 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std
Dev
High Low Avg % Turn-
over
Cash Rich Firms 40.4 -38.0 7.7 17.2 -2.5 18.6 64.0 -9.4 20.1 40.5 37.1 -3.8 320.5 6.6 17.6 -20.7 32 24.8
Dividend (High Relative Yield) 8.8 -21.4 -9.6 14.5 -1.0 19.1 27.9 0.4 24.1 23.3 -2.1 6.3 113.5 4.6 12.5 -14.2 42 20.0
Dividend Screen - DRPs 23.6 -24.2 -21.2 20.9 -1.5 17.4 28.3 -1.2 38.9 27.7 -1.1 -4.1 120.1 5.5 20.5 -18.2 30 26.4
Dividend Screen - Non-DRPs 23.8 -31.7 -7.6 17.1 7.1 22.8 40.5 28.6 54.7 16.5 -3.6 0.6 279.7 4.6 17.6 -15.3 30 29.3
Dogs of the Dow 0.6 -45.4 -1.8 26.8 -9.8 -1.3 20.4 -9.8 -1.2 4.1 5.7 9.8 -21.2 6.2 17.1 -23.4 10 7.1
Dogs of the Dow - Low Priced 5 -14.8 -58.7 -2.7 34.9 -11.8 6.1 17.6 -6.5 7.2 3.2 -2.0 24.6 -35.8 8.1 27.6 -34.8 5 15.9
Dreman 26.0 -34.9 -17.5 19.3 18.7 24.2 37.7 8.3 26.4 38.0 -3.0 -1.5 196.1 5.8 23.9 -22.2 20 32.5
Dreman With Est Revisions 48.5 -37.1 4.3 39.8 9.3 35.0 69.2 16.6 -29.9 38.7 6.7 10.7 355.3 6.4 15.2 -26.2 12 82.3
Fundamental Rule of Thumb 75.3 -41.5 4.1 31.0 5.0 49.6 83.3 4.7 42.3 28.7 11.7 -9.4 681.3 8.2 33.8 -19.2 50 21.6
Graham - Defensive Investor (Non-Utility) 43.9 -32.0 20.6 26.6 26.2 11.7 32.7 3.1 61.5 12.0 3.6 9.6 491.1 6.7 25.8 -17.3 20 20.8
Graham - Enterprising Investor 47.7 -40.7 28.1 72.3 21.3 18.9 25.9 43.5 55.3 24.2 -5.0 -7.3 755.3 8.7 33.1 -23.4 4 38.9
Lakonishok 42.8 -23.7 15.1 14.4 14 31.2 39.9 -5.2 -3.5 36.7 14.8 7.3 362.6 5.7 16.6 -17.9 28 90.2
Neff 38.9 -33.6 -13.9 13.9 7.7 29.5 85.1 15 65.2 37.3 17.4 9.3 682 7.9 32.6 -21.7 22 34.3
O'Shaughnessy - Value 24.3 -49.1 -4.2 24.4 2.2 20.2 47.2 -12.1 10.6 22.3 -3.9 7.2 67.2 6.4 22.0 -23.8 50 18.5
P/E Relative 33.5 -15.8 3.9 21.2 17.2 24.7 51.1 11.1 16.1 20.3 -6.0 26.5 477.3 5.2 14.9 -18.3 33 77.2
Piotroski 43.9 32.6 -1.3 -15.8 -8.5 82.2 154.6 -15.9 100.2 -0.9 27.1 17.9 1582.4 8.9 38.2 -17.2 5 35.0
Price-to-Free-Cash-Flow 114.2 -41.5 -21.2 26.6 10.6 30.9 61.7 13.6 63.8 17.8 10.0 2.6 624.1 8.6 51.2 -31.7 30 23.1
Schloss 40.3 -23.1 -8.1 30.1 20 -26.6 140.7 -0.1 20.5 14.9 18.8 18.8 433.4 8.8 27.1 -40.4 13 54.5
Weiss Blue Chip Div Yield 19.7 -26.2 4.5 14.2 6.4 13.6 48.9 -14.1 25.6 18.8 3.9 3.3 161.0 5.9 14.3 -16.8 13 25.4
   Growth & Value  |  What is a Growth & Value Screen?
Strategy Price Change
(%)
Monthly
Variability

(%)
Monthly
Holdings
YTD* 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. High Low Avg. %
Turn-
over
Buffett--Hagstrom 19.1 -25.8 14.4 11.3 11.4 27.6 35.2 -8.7 13.9 11.4 31.4 27.5 319.8 5.4 13.2 -19.0 30 21.2
Buffettology--EPS Growth 44.2 -36.9 5.8 8.8 11.9 13.2 32.8 -10.9 25.7 5.9 17.7 4.0 156.1 6.0 15.1 -20.8 46 11.6
Buffettology--Sustainable Growth 49.7 -28.9 3.9 8.7 9.5 17.5 37.6 -11.9 29.7 3.3 14.6 7.4 209.0 6.2 16.5 -20.4 33 13.4
Fisher (Philip) 94.8 -43.1 8.2 -1.2 -11.7 -3.9 78.1 -10.7 70.7 -16.7 5.4 2.6 146.1 10.4 32.8 -27.9 23 32.8
Foolish Small Cap 8 Revised 85.5 -60.6 13.5 44.6 15.3 -3.9 67.8 22.2 29.5 51.5 36.5 12.4 720.9 9.6 28.1 -24.2 7 30.6
Lynch 55.8 -37.3 11.7 15.6 7.8 59.8 59.0 -7.2 39.3 3.2 8.9 1.3 408.9 5.7 18.9 -21.3 25 22.7
Magic Formula 82.2 -36.3 -5.6 27.9 -9.2 6.5 66.6 6.3 76.1 1.0 9.3 -9.9 320.4 7.8 30.7 -22.4 30 24.7
MAGNET Complex -31.1 -33.7 40.2 -28.6 26.2 18.6 9.1 4.1 110.6 3.1 318.5 12.2 694.1 13.9 63.0 -27.3 2 68.0
MAGNET Simple 232.4 -70.2 -17.0 72.1 58.1 38.1 62.1 -6.7 -21.7 -26.7 168.1 25.1 797.2 13.9 52.1 -30.0 3 66.3
Muhlenkamp 31.1 -24.5 -20.8 2.0 23.6 31.0 41.2 5.9 43.5 22.2 12.8 -6.6 257.4 6.0 21.0 -17.6 21 23.8
Oberweis Octagon 21.4 -56.8 29.1 24.0 4.1 42.3 67.8 -17.5 20.2 18.4 33.4 15.6 278.3 8.9 23.3 -23.2 17 41.8
O'Shaughnessy--All Cap 12.8 -40.9 12.5 24.1 21.9 47.4 28.7 -11.8 63.7 6.3 -15.3 18.2 230.6 6.0 15.2 -21.5 25 34.4
O'Shaughnessy--Growth 8.9 -38.2 12.6 17.2 14.4 45.1 90.3 10.1 19.2 11.5 19.5 19.4 485.7 6.9 18.6 -17.9 50 37.6
O'Shaughnessy--Growth Market Leaders 0.2 -44.5 15.5 9.6 18.9 6.7 26.2 -8.9 5.7 -9.0 16.8 35.3 55.9 5.5 13.6 -18.6 10 41.9
O'Shaughnessy--Small Cap Growth & Value -14.4 -32.4 29.6 36.2 19.1 26.8 107.5 0.8 13.4 13.2 21.1 33.6 569.7 7.2 18.5 -18.2 25 48.0
O'Shaughnessy--Tiny Titans 48.9 -56.4 2.2 35.2 7.5 45.8 154.8 51.9 84.1 -6.6 53.8 38.1 1889 9.2 37.4 -21.0 25 42.4
Price-to-Sales 30.0 -38.5 2.4 16.6 16.9 11.1 69.8 1.3 43.3 23.3 21.1 13.2 416.2 6.3 18.3 -20.6 51 39.6
Rule #1 Investing 81.6 -43.2 -11.7 2.5 -6.7 13.5 48.0 -29.4 38.0 15.0 41.4 7.9 150.0 8.3 27.0 -26.8 15 26.4
Stock Market Winners -7.7 -34.7 13.0 -5.5 25.9 9.6 131.5 32.1 41.6 27.6 21.7 -12.0 425.5 7.2 22.0 -23.4 13 62.3
T. Rowe Price 30.3 -47.8 -7.1 -11.3 23.1 44.9 39.2 -15.1 8.4 35.2 -4.5 1.8 68.3 7.5 28.2 -20.0 11 30.9
Templeton 46.2 -36.6 4.6 5.3 4.7 22.2 46.8 -32.6 22.0 20.3 8.1 16.2 138.3 6.0 14.5 -23.1 25 27.7
Value on the Move--PEG With Est Growth 11.5 -37.2 29.5 18.3 23.1 54.1 87.0 7.9 34.8 22.9 11.0 2.1 672.0 6.4 15.7 -23.1 46 43.8
Value on the Move--PEG With Hist Growth 7.9 -38.3 20.7 9.1 17.2 32.5 50.1 12.1 22.4 19.4 18.0 1.5 300.8 5.0 12.7 -19.1 93 37.0
Wanger (Revised) 12.7 -36.3 15.9 16.5 14.5 22.5 53.2 -13.1 21.1 -2.8 3.2 -2.4 114.9 6.8 22.8 -19.8 31 27.7
Zweig -21.6 -33.9 20.7 18.6 27.8 49.5 88.8 16.9 57.9 46.2 17.1 54.5 1205.4 8.8 32.7 -24.2 14 42.5
   Growth  |  What is a Growth Screen?
Strategy Price Change
(%)
Monthly
Variability

(%)
Monthly
Holdings
YTD* 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. High Low Avg. %
Turn-
over
Driehaus 84.0 -42.7 28.9 41.4 4.3 -10.8 87.8 -42.6 -27.4 -8.3 107.4 nmf 166.2 11 51.3 -25.7 15 63.4
Foolish Small Cap 8 10.7 -53.5 -2.8 9.4 22.6 10.1 107.7 -19.4 -8.6 24.2 80.9 17.7 199.2 9.7 38.8 -22.5 21 36.1
IBD Stable 70 41.6 -37.2 -10.6 6.9 1.8 29.0 48.4 -11.0 9.5 23.9 3.6 21.9 152.5 5.7 18.4 -21.9 48 12.1
Inve$tware Quality Growth 27.0 -24.1 -10.9 0.9 14.9 18.0 33.3 -25.0 8.0 18.5 -3.0 14.5 67.3 5.9 18.2 -22.0 24.0 12.0
O'Neil's CAN SLIM 102.6 -10.5 30.4 29.5 24.1 -3.8 79.0 20.5 54.4 38.0 36.6 28.2 2840 8.9 69.6 -23.1 8.0 56.5
O'Neil's CAN SLIM Revised 3rd Edition 16.8 -26.3 31.4 -5.4 -1.0 -2.6 74.7 -10.3 33.4 96.3 59.0 7.8 626.5 8.6 52.7 -26.7 9.0 64.9
Return on Equity 27.4 -33.8 7.2 8.7 17.6 23.9 46.9 -3.8 18.1 31.4 1.0 18.8 276.8 6.0 13.0 -22.2 35 20.4
   Sector/Specialty  |  What is a Sector/Specialty Screen?
Strategy Price Change
(%)
Monthly
Variability

(%)
Monthly
Holdings
YTD* 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. High Low Avg. %
Turn-
over
ADRs 44.2 -58.7 25.3 44.7 12.9 14.5 82.3 -4.4 -5.3 9.9 4.0 2.3 169.7 7.2 31.1 -29.7 26 43.0
Dual Cash Flow 60.2 -46.8 -7.3 20.4 10.4 24.7 66.9 -13.9 24.6 5.7 114.3 0.9 436.1 7.6 34.7 -23.6 67 31.0
Est Rev Down 44.4 -42.6 -20.0 12.9 -0.4 13.4 51.8 -43.8 26.7 -7.1 21.9 -15.0 -12.0 7.8 25.0 -25.3 215 78.6
Est Rev Down 5% 63.6 -47.8 -24.7 26.1 2.5 8.0 70.9 -61.5 28.3 -4.2 27.8 -3.9 -10.8 9.6 33.5 -30.5 81 88.6
Est Rev Up 38.0 -31.2 13.7 21.8 17.3 25.2 57.3 0.8 -3.5 2.2 38.2 29.9 442.1 6.0 12.2 -18.6 168 81.0
Est Rev Up 5% 64.5 -18.4 25.7 40.3 24.5 25.8 75.0 12.9 -8.1 3.6 107.1 43.3 1969.2 8.7 30.8 -21.7 43 91.7
Graham - Defensive Investor (Utility) -0.7 -18.4 1.8 29.4 18.5 16.2 16.6 -15.9 5.2 51.4 -8.4 14.6 140.7 4.4 12.0 -13.4 17 14.8
Insider Net Purchases 53.8 -51.7 -10.9 4.8 -14.6 33.5 86.8 -20.9 21.8 -38.3 7.5 nmf -5.6 8.9 27.8 -27.2 28 28.6
Murphy Technology 37.1 -49.7 -15.8 -1.9 34.1 107.9 -33.7 -79.6 26.7 -52.1 139.7 29.7 -59.6 14.1 58.5 -44.9 11 23.1
Indexes
Strategy Price Change
(%)
Monthly Variability
(%)
 
YTD* 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* Std. Dev. High Low
All Exchange Listed Stocks 52.8 -46.3 -4.5 17.2 4.5 22.8 81.1 -13.3 21.2 -14.2 35.1 5.9 175.3 6.8 23.9 -22.1  
Dow Jones 30 10.7 -33.8 6.4 16.3 -0.1 2.6 25.3 -16.8 -7.1 -6.2 25.2 16.1 22.8 4.7 11.8 -15.1  
Nasdaq 100 37.6 -41.9 18.7 6.8 1.5 10.4 49.1 -37.6 -32.7 -36.8 102 85.5 68.4 9.3 25.0 -27.5  
S&P 500 14.7 -38.5 3.5 13.6 3.0 9.0 26.4 -23.4 -13.0 -10.1 19.5 26.7 6.8 4.8 9.7 -16.8  
S&P/Barra 500 Growth (incl dividends) 21.8 -33.9 9.1 11 1.1 7.0 27.1 -28.1 -16.1 -19.1 37.4 38.2 24.2 5.4 10.8 -16.5  
S&P/Barra 500 Value (incl dividends) 12.1 -38.5 2.0 15.3 8.7 15 30.4 -16.6 -8.2 -0.5 4.9 18.9 25.5 4.7 11.0 -17.1  
S&P MidCap 400 22.5 -37.3 6.7 9.0 11.3 15.2 34.0 -15.4 -1.6 16.2 13.3 17.7 97.7 5.7 14.8 -21.8  
S&P MidCap Growth (incl dividends) 26.3 -36.9 13.5 5.8 14.4 15.8 37.6 -19.7 -2.6 15.8 36.1 37.2 195.2 6.4 19.0 -22.2  
S&P MidCap Value (incl dividends) 19.6 -33.4 2.7 13.4 10.8 17.2 33.8 -9.4 1.4 19.5 -2.6 3.7 78.5 5.2 15.7 -21.8  
S&P SmallCap 600 11.3 -32.0 -1.2 14.1 6.7 21.4 37.8 -15.3 5.7 11.0 11.5 -2.1 65.1 6.1 17.3 -20.2  
S&P SmallCap Growth (incl dividends) 17.3 -32.2 5.6 10.6 7.3 24.3 38.5 -16.6 3.0 7.6 19.7 -0.1 89.5 6.3 17.0 -21.7  
S&P SmallCap Value (incl dividends) 8.2 -28.9 -5.5 19.6 8.5 21.1 39.2 -12.9 9.5 15.8 4.9 -2.6 79.3 5.7 18.4 -19.6  
Unless otherwise stated, figures do not include dividends or transactions costs.
* Through 10/31/2009
   
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