From: owner-canslim-digest@lists.xmission.com (canslim-digest) To: canslim-digest@lists.xmission.com Subject: canslim-digest V2 #2145 Reply-To: canslim Sender: owner-canslim-digest@lists.xmission.com Errors-To: owner-canslim-digest@lists.xmission.com Precedence: bulk Content-Transfer-Encoding: quoted-printable X-No-Archive: yes canslim-digest Tuesday, February 19 2002 Volume 02 : Number 2145 In this issue: Re: [CANSLIM] Average Daily Volume for NYSE and Nasdaq [CANSLIM] Stock Strategy Performance: The Winners and Losers in 2001 ---------------------------------------------------------------------- Date: Tue, 19 Feb 2002 21:46:10 -0600 From: "Katherine Malm" Subject: Re: [CANSLIM] Average Daily Volume for NYSE and Nasdaq This is a multi-part message in MIME format. - ------=_NextPart_000_00A8_01C1B98E.D8592520 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dan, I'm not aware of a site that has it, but you can easily export the data = from the MSN charts and set up a simple 50dMA calculation in the Excel = file: http://www.moneycentral.msn.com/investor/charts/charting.asp?Symbol=3D%24= COMPX http://www.moneycentral.msn.com/investor/charts/charting.asp?Symbol=3D%24= NYA%2eX Top of the charts you will see pull down menus. Go to File: Export Data. Katherine ----- Original Message -----=20 From: DanC=20 To: canslim@lists.xmission.com=20 Sent: Tuesday, February 19, 2002 9:18 PM Subject: [CANSLIM] Average Daily Volume for NYSE and Nasdaq Does anyone have a url for average daily volume for NYSE and NASDAQ? Dan - -To subscribe/unsubscribe, email "majordomo@xmission.com" -In the email body, write "subscribe canslim" or -"unsubscribe canslim". Do not use quotes in your email. - ------=_NextPart_000_00A8_01C1B98E.D8592520 Content-Type: text/html; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable
Dan,
 
I'm not aware of a site that has it, but you can easily export the = data=20 from the MSN charts and set up a simple 50dMA calculation in the Excel=20 file:
 
http://www.moneycentral.msn.com/investor/charts/charting.a= sp?Symbol=3D%24COMPX
http://www.moneycentral.msn.com/investor/charts/charting= .asp?Symbol=3D%24NYA%2eX
 
Top of the charts you will see pull down menus. Go to File: Export=20 Data.
 
Katherine
----- Original Message -----
From:=20 DanC
To: canslim@lists.xmission.com=
Sent: Tuesday, February 19, = 2002 9:18=20 PM
Subject: [CANSLIM] Average = Daily Volume=20 for NYSE and Nasdaq

Does anyone have a url for average daily volume for = NYSE and=20 NASDAQ?

Dan


-
-To subscribe/unsubscribe, email = "majordomo@xmission.com"
-In= the=20 email body, write "subscribe canslim" or
-"unsubscribe = canslim".  Do=20 not use quotes in your email. - ------=_NextPart_000_00A8_01C1B98E.D8592520-- - - - -To subscribe/unsubscribe, email "majordomo@xmission.com" - -In the email body, write "subscribe canslim" or - -"unsubscribe canslim". Do not use quotes in your email. ------------------------------ Date: Tue, 19 Feb 2002 21:49:11 -0600 From: Gene Ricci Subject: [CANSLIM] Stock Strategy Performance: The Winners and Losers in 2001 This is a multi-part message in MIME format. - ------=_NextPart_000_04AE_01C1B98F.44479B90 Content-Type: multipart/alternative; boundary="----=_NextPart_001_04AF_01C1B98F.44479B90" - ------=_NextPart_001_04AF_01C1B98F.44479B90 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Don't know if this will go but it's worth a try, here's the AAII = article: Stock Strategy Performance: The Winners and Losers in 2001 By John Bajkowski The Joseph Piotroski screen seeking financially strong low = price-to-book-value stocks was the best-performing strategy in 2001, = while the David Dreman With Estimate Revisions screen was the weakest. = Both screens showed strong reversals from their 2000 performance, = highlighting the danger of blindly investing in the prior year's best = performer.=20 For the last four years we have presented and discussed a new monthly = stock screen on the Stock Screens segment of AAII.com, while = simultaneously tracking the success and updating the results of all the = previous screens. We now have 50 screens that cover the full spectrum of = investment approaches, ranging from small-cap growth to large-cap value. = Some of the approaches attempt to capture the investment philosophy of = famous investors such as Warren Buffett, while other screens explain and = implement basic investing approaches, such as investing in stocks with = low price-to-sales ratios.=20 At the beginning of each month, we run each screen using AAII's Stock = Investor and produce a table of passing companies for each screen, which = is posted on-line. We construct a fresh hypothetical portfolio for each = screen every month. Stocks are purchased in equal dollar amounts at the = start of the month and sold/rebalanced at the end of the month. A stock = is sold if it no longer meets the initial criteria, and new stocks are = added if they qualify. The price gains (dividends excluded) for these = portfolios are tracked. No additional screens are applied in = constructing the portfolios.=20 The performance reflects buying and selling each month at the month-end = closing. The impact of factors such as commissions, bid-ask spread, = dividends, and time-slippage (time between the initial decision to buy a = stock and the actual purchase) are ignored. While this makes the = reported performance unachievable, in a best-case scenario, all = approaches are subject to the same conditions and procedures. However, = higher turnover portfolios would typically benefit from our simplified = rules. The goal of tracking the performance of the screens is to help = gain an understanding of how each approach reacts in different market = conditions, and to gain a feel for their characteristics.=20 Even with over four years of performance tracking under our belt, it is = early to determine if any approach has special characteristics that will = make it a top performer over the long haul. But, we have had the = opportunity to observe the reaction of the screens during bull and bear = markets.=20 Winners and Losers As 2001 is drawing to a close, the S&P 500 may show back-to-back = calendar-year losses-the first such event since 1973 and 1974. As = revealed in Table 1, most of the indexes show negative returns through = December 14. Only the S&P SmallCap 600 index shows a positive rate of = return through December 14. Just as in 2000, small-cap stocks generally = outperformed large-cap issues. The technology-heavy Nasdaq 100 lost = almost a third of its value in 2001 after losing 36.8% in 2000.=20 "Cap" refers to market capitalization, which is determined by = multiplying the number of shares outstanding by the market price. The = S&P 500 is a popular benchmark for stock market performance, but it only = covers the largest companies traded on U.S. exchanges. The S&P MidCap = 400 measures mid-sized firms while the S&P SmallCap 600 tracks small-cap = companies.=20 The other matrix that is normally used to segment stocks is the growth = versus value style. Value approaches seek stocks that are priced cheaply = relative to tangible variables such as earnings, book value, or sales. = Growth approaches seek stocks with rapidly expanding earnings, with = little regard to the stock price.=20 The screening approaches listed in Table 1 are grouped by growth versus = value approach. The table shows the price change from January 1, 2000, = through December 14, 2001, along with the gains or losses during 2000, = 1999 and 1998. The Total Gain columns do not include dividends. Higher = yield large-cap value strategies such as the Dogs of the Dow would be = affected the most by excluding dividends.=20 The Joseph Piotroski screen seeking financially strong = low-price-to-book-value stocks was the best performing strategy in 2001, = with a gain of 87.3% after showing a 0.9% loss in 2000. The David Dreman = With Estimate Revisions screen was the weakest performer in 2001, with a = 35.0% loss after gaining 38.7% in 2000. The screen seeks out larger = stocks with low price-earnings ratios that have had recent upward = earnings revisions. Most of the losses for the screen came in September = and October, with very few passing stocks (one in September, three in = October). These strong reversals highlight the dangers of investing in = last year's best-performing market segment without first appraising its = ability to continue its strong performance. So far, the growth-oriented = screen that follows the William O'Neil CANSLIM approach has shown some = of the most consistently strong performance gains: 53.5%, 38.0%, 36.6%, = and 28.2% over the last four years. The Martin Zwieg screen is the other = long-term standout, with a four-year gain of 299.7%.=20 Risk When measuring performance, the risk of the strategy should be = considered. The Monthly Variability columns report the greatest monthly = gain and loss as an indication of the volatility that has occurred over = the last four years. For example, the most that the Martin Zwieg = approach gained in a single month was 32.7%, while the most that it lost = in a single month was 24.2%. By way of comparison, the most that the S&P = 500 index gained in a single month was 9.7%, while its largest single = monthly loss was 14.6%.=20 The Monthly Variability columns also report the monthly standard = deviation over the full study period. Standard deviation is a measure of = total risk, expressed as a monthly change. It indicates the degree of = variation in return experienced by a strategy relative to its average = over the test period. The higher the standard deviation, the greater the = total risk of the strategy. The Graham Defensive Investor (Utility) = screen has the lowest monthly standard deviation figure of 4.7%, while = the Richard Driehaus approach exhibited the highest monthly standard = deviation of 15.3% over the same four-year period.=20 Turnover Rates The Monthly Holdings columns provide data on portfolio holdings over = time-the average number of stocks that were in each portfolio over the = last four years along with the average holdover percentage from month to = month. The Dogs of the Dow Low Priced Five approach always has five = stocks in the portfolio, but the Geraldine Weiss Blue Chip Dividend = Yield approach averaged 11 passing stocks with as many as 25 stocks for = a given month, and no passing stocks at the end of November 2001. The % = Holdover column gives an indication of the turnover for a given = strategy. The higher the percentage holdover, the more often companies = stay in a portfolio from month to month. As a general rule, approaches = that focus on value tend to have less portfolio turnover than the pure = growth approaches, and they tend to be less volatile and outperform = other approaches during bear markets. However, value approaches can fall = behind other approaches, particularly in the strongest portion of a bull = market.=20 Portfolio Characteristics Table 2 presents the characteristics of the stocks that passed the = screens in each approach at the end of November.=20 The current price-earnings ratio (price divided by trailing 12-month = earnings per share) for this group of screens ranges from 3.8 for the = value-oriented Fundamental Rule of Thumb screen to 53.1 for the Richard = Driehaus approach.=20 Both the historical and estimated growth rates of earnings follow the = predictable script. The more growth-oriented approaches typically have = higher historical and expected earnings growth rates, while the value = approaches tend to have lower growth rates.=20 Market capitalization is provided as a gauge for the size of firms = passing each screen. Strategies such as the Dogs of the Dow and = O'Shaughnessy Value are clearly invested in the large-cap segment. = Fundamental Rule of Thumb, Graham Enterprising Investor, Low Price/Book, = Peter Lynch, Stock Market Winners, and the Shadow Stocks are at the = other end of the spectrum, with low market caps.=20 The relative strength index is calculated against the performance of the = S&P 500. Stocks with performance equal to the S&P 500 over the last 52 = weeks have a relative strength index of zero. Negative numbers indicate = underperformance, while positive numbers indicate outperformance.=20 For details on how the screens were constructed and to follow their = performance over time, go to the Stock Screens area of AAII.com.=20 Conclusion As you look at the performance of the screens, do not simply follow the = strategies that have the highest performance. Instead, try to understand = the forces that affect their performance. Here are some important = questions to ask that will help you evaluate any series of screens that = seek to capture an investment approach:=20 a.. How is the portfolio reacting relative to the current market = environment? If it is deviating substantially, what is the cause of that = deviation-is it the particular stock picks, or it is perhaps = overconcentration in a particular sector that is a result of the = particular set of screens you have chosen?=20 b.. Are the portfolio's characteristics more similar to a value-based = or growth-based approach? That may give you a better idea of how the = portfolio is likely to behave.=20 c.. Are the screens actually capturing the kinds of companies you want = to invest in based on your chosen investment approach? Also, are the = screens producing any unintentional biases?=20 d.. What is the proper benchmark to measure the performance of your = portfolio? It is important to look at the characteristics of your = portfolio (market capitalization, industry concentration, growth vs. = value) to properly select a benchmark.=20 e.. How frequently do your screens cause your portfolio to = substantially change?=20 Most importantly, remember that screening is just a first step in = investing. There are qualitative elements that cannot be captured = effectively by a quantitative screening process.=20 John Bajkowski is AAII's vice president of financial analysis and editor = of Computerized Investing.=20 More articles by John Bajkowski=20 =A9 AAII Journal January 2002, Volume XXIV, No. 1=20 Table 1. Performance of Stock Screens on AAII's Web Site=20 Strategy Value Total Gain (%) Monthly Variability (%) Monthly Holdings =20 2001* 2000 1999 1998 Cumulative Std. Dev. High Low Avg. % Holdover = Cash Rich 11.9 40.5 37.1 -3.8 107.4 8.0 17.6 -20.7 37 74%=20 David Dreman 21.6 38 -3.0 -1.5 60.2 5.6 12.6 -15.4 20 67%=20 David Dreman with Est Revisons -35.0 38.7 6.7 10.7 6.5 7.7 11.4 = - -25.8 7 21%=20 Dogs of the Dow -3.4 4.1 5.7 9.8 16.7 5.9 16.1 -13.1 10 92%=20 Dogs of the Dow (Low Priced 5) 4.9 3.2 -2.0 24.6 32.2 6.7 19.1 = - -14.0 5 82%=20 Low Price-to-Free-Cash-Flow 55.4 17.8 10 2.6 106.6 6.6 25.1 -14.4 = 30 75%=20 Fundamental Rule of Thumb 31.1 28.7 11.7 -9.4 70.7 8.6 33.8 -19.2 = 50 75%=20 Graham-Defensive Investor (Non-Utility) 52.7 12.0 3.6 9.6 94.0 6.6 = 15.7 -14.6 24 83%=20 Graham-Enterpising Investor 47.9 24.2 -5.0 -7.3 61.8 6.9 23.4 = - -18.7 8 68%=20 Josef Lakonishok -2.4 36.7 14.8 7.3 64.3 6.5 16.6 -13.7 16 9%=20 John Neff 57.8 37.3 17.4 9.3 178.1 8.2 26.8 -20.2 19 65%=20 O'Shaughnessy-Value 7.8 22.3 -3.9 7.2 35.8 6.3 15.5 -14.0 50 78%=20 Joseph Piotroski 87.3 -0.9 27.1 17.9 178.1 8.7 25.7 -17.2 8 79%=20 Low Price/Book 42.7 -22.7 31.1 -3.4 39.7 10.1 50.2 -18.4 nmf nmf=20 P/E Relative 11.7 20.3 -6.0 26.5 59.8 5.0 13.3 -12.4 27 19%=20 Geraldine Weiss Blue Chip Div. Yield* 25.6 18.8 3.9 3.3 60.2 6.2 = 14.3 -13.1 11 72%=20 Growth & Value=20 Buffettology-EPS Growth 21.5 5.9 17.7 4.0 57.6 7.0 15.0 -20.4 39 = 88%=20 Buffettology-Sustainable Growth 24.0 3.3 14.6 7.4 57.6 7.4 16.5 = - -18.0 25 85%=20 Philip Fisher 61.7 -16.7 5.4 2.6 45.7 10.6 25.6 -26.7 42 69%=20 Peter Lynch 35.1 3.2 8.9 1.3 53.7 5.1 16.4 -17.4 28 77%=20 Oberweis Octagon 11.8 18.4 33.4 15.6 104.1 9.7 23.3 -23.2 23 59%=20 O'Shaughnessy-Growth 13.7 11.5 19.5 19.4 80.7 6.6 13.9 -17.9 50 = 61%=20 Low Price-to-Sales 37.3 23.3 21.1 13.2 132.1 6.4 14.8 -17.8 44 57% = T. Rowe Price 4.7 35.2 -4.5 1.8 37.7 7.0 13.3 -18.0 19 67%=20 John Templeton 12.8 20.3 8.1 16.2 70.6 6.7 14.3 -18.2 29 73%=20 Stock Market Winners 36.9 27.6 21.7 -12.0 87.1 6.7 17.5 -16.7 15 = 36%=20 Value on the Move (PEG with Est Growth) 28.4 22.9 11 2.1 78.9 6.8 = 15.7 -23.1 61 51%=20 Value on the Move (PEG With Hist Growth) 17.5 19.4 18 1.5 68 5.4 = 12.7 -19.1 131 63%=20 Ralph Wanger 12.7 -2.8 3.2 -2.4 10.3 7.9 22.8 -19.8 31 71%=20 Martin Zweig 51.2 46.2 17.1 54.5 299.7 10.1 32.7 -24.2 13 53%=20 Growth=20 Richard Driehaus -31.7 -8.3 107.4 0 29.7 15.3 51.3 -25.7 10 30%=20 Inve$tWare Quality Growth II 5.3 18.5 -3.0 14.5 38.7 6.7 18.2 = - -22.0 35 89%=20 William O'Neil's CANSLIM 53.5 38 36.6 28.2 271 8.3 23.6 -23.1 11 = 45%=20 Sector/Specialty=20 ADRs -7.1 9.9 4 2.3 8.6 7.5 31.1 -17.7 15 58%=20 DRPs 27.2 13.1 4.4 -4.3 43.7 6.2 18.4 -13.6 29 76%=20 Dual Cash Flow 19.9 5.7 114.3 0.9 174 8.8 34.7 -16.2 39 68%=20 Est Rev Down 20.8 -7.1 21.9 -15.0 16.2 8.2 17.6 -23.3 221 23%=20 Est Rev Down 5% 21.2 -4.2 27.8 -3.9 42.6 9.4 23.6 -23.2 70 11%=20 Est Rev Up -5.8 2.2 38.2 29.9 72.8 7.4 12.2 -18.6 155 18%=20 Est Rev Up 5% -13.1 3.6 107.1 43.3 167 11.1 30.8 -21.7 38 8%=20 Graham-Defensive Investor (Utility) 0.8 51.4 -8.4 14.6 60.2 4.7 12 = - -7.3 18 83%=20 Insider Net Purchases 16.4 -38.3 7.5 0 -22.7 10.7 26.7 -19.0 25 = 65%=20 Michael Murphy Technology 24.6 -52.1 139.7 29.7 85.5 15 44.7 -27.8 = 19 78%=20 Strong ROE 12.2 31.4 1 18.8 76.9 6.8 13 -22.2 34 82%=20 Short % Outstanding 4 -31.7 -26.9 0 -48.0 13.9 33.3 -24.1 25 82%=20 Short Interest Change 5.4 -51.8 111.1 0 7.2 14.7 34.1 -27.4 25 24% = Short Ratio 14 -40.9 2.2 0 -31.1 10 37.8 -24.5 25 53%=20 Shadow Stocks 25.2 -10.5 16.8 -4.3 25.1 6.4 22.2 -17.4 nmf nmf=20 Shadow Stocks-Growth Screen 68.5 -6.2 0.7 -8.8 45.2 6.9 18.6 -18.3 = 10 56%=20 Shadow Stocks-Value Screen 5.8 -13.5 4.8 -11.9 -15.5 6.9 23.4 = - -17.8 16 77%=20 Indexes=20 DJ 30 -9.0 -6.2 25.2 16.1 24.1 5.3 10.2 -15.1 =20 S&P 500 -14.9 -10.1 19.5 26.7 15.7 5.3 9.7 -14.6 =20 S&P/Barra 500 Growth (incl. dividends) -12.9** -22.1 28.3 42.1 = 23.8 6.3 9.2 -13.0 =20 S&P/Barra 500 Value (incl. divs.) -13.0** 6.1 12.7 14.7 19.3 5.2 = 10.4 -16.1 =20 S&P MidCap 400 -4.8 16.2 13.3 17.7 47.5 6.3 12.0 -18.7 =20 S&P SmallCap 600 1.4 11.0 11.5 -2.1 22.9 6.4 13.3 -19.4 =20 Nasdaq 100 -31.4 -36.8 102.0 85.5 62.2 13.0 25.0 -27.5 =20 Unless otherwise stated, figures do not include dividends or = transactions costs. *Through 12/14/2001 **Through 11/30/2001=20 Table 2. Portfolio Characteristics of Stock Screens=20 Strategy Value P/E Ratio (X) P/E to EPS Est. Growth (X) Hist. EPS Growth = (%) Estimated Long-Term EPS Growth (%) Market Cap. ($ Million) 52-Week = Relative Strength (%)=20 Cash Rich 17.9 1.3 19.9 20.0 280.3 10.0=20 David Dreman 11.6 1.3 8.7 9.4 2131.3 15.0=20 David Dreman with Est Revisons 10.6 0.7 15.3 13.9 3200.9 22.0=20 Dogs of the Dow 18.6 1.9 4.7 9.3 36532.0 14.0=20 Dogs of the Dow (Low Priced 5) 18.6 1.6 11.1 9.8 74421.2 -16.0=20 Low Price-to-Free-Cash-Flow 9.6 0.9 5.3 12.5 231.5 23.5=20 Fundamental Rule of Thumb 3.8 0.6 32.3 18.3 62.3 14.0=20 Graham-Defensive Investor (Non-Utility) 13.2 1.1 14.2 14.0 409.1 = 35.0=20 Graham-Enterpising Investor 5.4 na 16.4 na 39.0 32.5=20 Josef Lakonishok 30.1 1.5 14.8 11.1 2664.5 3.0=20 John Neff 7.8 0.6 17.6 14.0 796.3 5.0=20 O'Shaughnessy-Value 16.8 1.6 7.6 9.4 9243.1 17.0=20 Joseph Piotroski 8.2 0.7 2.1 15.8 101.0 5.0=20 Low Price/Book 10.1 0.8 -16.9 15.5 22.4 -29.0=20 P/E Relative 13.2 1.0 13.6 12.5 2555.3 26.5=20 Geraldine Weiss Blue Chip Div. Yield* 12.8 1.3 22.9 10.0 355.8 = 64.0=20 Growth & Value=20 Buffettology-EPS Growth 18.6 1.4 30.2 17.1 2072.5 30.0=20 Buffettology-Sustainable Growth 15.1 1.2 30.5 17.1 1447.7 14.0=20 Philip Fisher 8.8 0.5 36.2 20.0 129.0 5.0=20 Peter Lynch 7.1 0.7 30.6 15.3 36.6 15.5=20 Oberweis Octagon 14.7 0.8 19.9 19.7 204.9 91.0=20 O'Shaughnessy-Growth 19.1 1.1 1.9 17.0 313.7 269.0=20 Low Price-to-Sales 15.0 1.4 -3.3 14.5 185.0 39.5=20 Stock Market Winners 12.8 1.0 18.4 11.0 62.8 73.0=20 T. Rowe Price 9.2 0.6 39.8 15.1 685.5 54.0=20 John Templeton 10.5 0.8 24.3 14.6 1853.7 18.5=20 Value on the Move (PEG With Est Growth) 13.0 0.8 28.2 16.0 419.2 = 86.0=20 Value on the Move (PEG With Hist Growth) 12.7 1.0 21.6 15.4 141.9 = 71.5=20 Ralph Wanger 19.6 1.1 38.3 22.3 332.0 65.0=20 Martin Zweig 18.1 0.8 18.9 16.0 1364.8 113.5=20 Growth=20 Richard Driehaus 53.1 1.4 -20.0 32.9 541.8 6.0=20 Inve$tWare Quality Growth II 34.3 1.5 28.6 22.5 2901.2 42.0=20 William O'Neil's CANSLIM 11.6 1.1 36.7 19.7 305.2 99.0=20 Sector/Specialty=20 ADRs 15.4 1.7 31.2 12.5 6472.1 -4.0=20 DRPs 18.8 1.6 15.0 11.5 2606.0 11.0=20 Dual Cash Flow 17.2 1.3 2.3 16.4 130.8 37.0=20 Est Rev Down 18.3 1.4 11.4 14.3 1435.2 8.0=20 Est Rev Down 5% 21.1 1.3 5.8 16.7 785.1 -7.0=20 Est Rev Up 23.4 1.4 12.4 16.5 1426.7 41.5=20 Est Rev Up 5% 22.6 1.9 5.2 17.4 1346.3 86.0=20 Graham-Defensive Investor (Utility) 12.0 1.7 5.8 6.8 2122.0 5.0=20 Insider Net Purchases 14.7 0.8 -8.0 21.0 156.7 8.0=20 Michael Murphy Technology 10.2 2.4 32.2 24.3 281.0 -37.0=20 Strong ROE 21.0 1.1 32.0 18.8 869.7 60.0=20 Short % Outstanding 16.1 0.8 26.9 22.5 406.9 22.0=20 Short Interest Change 22.1 1.8 7.0 17.5 197.3 51.0=20 Short Ratio 16.9 0.6 -16.7 12.8 167.6 8.0=20 Shadow Stocks 19.1 1.0 13.8 20.5 71.1 18.0=20 Shadow Stocks-Growth Screen 18.0 0.5 43.3 26.8 280.0 39.5=20 Shadow Stocks-Value Screen 8.4 0.6 36.3 18.8 63.1 19.0=20 All Exchange-Listed Stocks 16.4 1.4 5.9 16.3 166.6 14.0=20 Data as of 11/30/2001. *Data as of 11/2/2001.=20 =A9 AAII Journal January 2002, Volume XXIV, No. 1=20 - ------=_NextPart_001_04AF_01C1B98F.44479B90 Content-Type: text/html; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable
Don't know if this will go but it's = worth a try,=20 here's the AAII article:
 

Stock Strategy Performance: The = Winners and=20 Losers in 2001

By John=20 Bajkowski
 
The Joseph Piotroski screen seeking = financially strong=20 low price-to-book-value stocks was the best-performing strategy in 2001, = while=20 the David Dreman With Estimate Revisions screen was the weakest. Both = screens=20 showed strong reversals from their 2000 performance, highlighting the = danger of=20 blindly investing in the prior year=92s best performer. =

For the last four years we have presented = and=20 discussed a new monthly stock screen on the Stock Screens segment = of=20 AAII.com, while simultaneously tracking the success and updating the = results of=20 all the previous screens. We now have 50 screens that cover the full = spectrum of=20 investment approaches, ranging from small-cap growth to large-cap value. = Some of=20 the approaches attempt to capture the investment philosophy of famous = investors=20 such as Warren=20 Buffett, while other screens explain and implement basic investing=20 approaches, such as investing in stocks with low price-to-sales ratios.=20

At the beginning of each month, we run each screen using AAII=92s = Stock = Investor and=20 produce a table of passing companies for each screen, which is posted = on-line.=20 We construct a fresh hypothetical portfolio for each screen every month. = Stocks=20 are purchased in equal dollar amounts at the start of the month and=20 sold/rebalanced at the end of the month. A stock is sold if it no longer = meets=20 the initial criteria, and new stocks are added if they qualify. The = price gains=20 (dividends excluded) for these portfolios are tracked. No additional = screens are=20 applied in constructing the portfolios.=20

The performance reflects buying and selling each month at the = month-end=20 closing. The impact of factors such as commissions, bid-ask spread, = dividends,=20 and time-slippage (time between the initial decision to buy a stock and = the=20 actual purchase) are ignored. While this makes the reported performance=20 unachievable, in a best-case scenario, all approaches are subject to the = same=20 conditions and procedures. However, higher turnover portfolios would = typically=20 benefit from our simplified rules. The goal of tracking the performance = of the=20 screens is to help gain an understanding of how each approach reacts in=20 different market conditions, and to gain a feel for their = characteristics.=20

Even with over four years of performance tracking under our belt, it = is early=20 to determine if any approach has special characteristics that will make = it a top=20 performer over the long haul. But, we have had the opportunity to = observe the=20 reaction of the screens during bull and bear markets.

Winners and Losers

As 2001 is drawing to a close, the S&P 500 may show back-to-back=20 calendar-year losses=97the first such event since 1973 and 1974. As = revealed in Tabl= e 1,=20 most of the indexes show negative returns through December 14. Only the = S&P=20 SmallCap 600 index shows a positive rate of return through December 14. = Just as=20 in 2000, small-cap stocks generally outperformed large-cap issues. The=20 technology-heavy Nasdaq 100 lost almost a third of its value in 2001 = after=20 losing 36.8% in 2000.

=93Cap=94 refers to market capitalization, which is determined by = multiplying the=20 number of shares outstanding by the market price. The S&P 500 is a = popular=20 benchmark for stock market performance, but it only covers the largest = companies=20 traded on U.S. exchanges. The S&P MidCap 400 measures mid-sized = firms while=20 the S&P SmallCap 600 tracks small-cap companies.=20

The other matrix that is normally used to segment stocks is the = growth versus=20 value style. Value approaches seek stocks that are priced cheaply = relative to=20 tangible variables such as earnings, book value, or sales. Growth = approaches=20 seek stocks with rapidly expanding earnings, with little regard to the = stock=20 price.=20

The screening approaches listed in Tabl= e 1=20 are grouped by growth versus value approach. The table shows the price = change=20 from January 1, 2000, through December 14, 2001, along with the gains or = losses=20 during 2000, 1999 and 1998. The Total Gain columns do not include = dividends.=20 Higher yield large-cap value strategies such as the Dogs of the = Dow=20 would be affected the most by excluding dividends.=20

The Joseph= =20 Piotroski screen seeking financially strong low-price-to-book-value = stocks=20 was the best performing strategy in 2001, with a gain of 87.3% after = showing a=20 0.9% loss in 2000. The David = Dreman With=20 Estimate Revisions screen was the weakest performer in 2001, with a = 35.0%=20 loss after gaining 38.7% in 2000. The screen seeks out larger stocks = with low=20 price-earnings ratios that have had recent upward earnings revisions. = Most of=20 the losses for the screen came in September and October, with very few = passing=20 stocks (one in September, three in October). These strong reversals = highlight=20 the dangers of investing in last year=92s best-performing market segment = without=20 first appraising its ability to continue its strong performance. So far, = the=20 growth-oriented screen that follows the William = O=92Neil=20 CANSLIM approach has shown some of the most consistently strong = performance=20 gains: 53.5%, 38.0%, 36.6%, and 28.2% over the last four years. The Martin = Zwieg=20 screen is the other long-term standout, with a four-year gain of 299.7%. =

Risk

When=20 measuring performance, the risk of the strategy should be considered. = The=20 Monthly Variability columns report the greatest monthly gain and loss as = an=20 indication of the volatility that has occurred over the last four years. = For=20 example, the most that the Martin = Zwieg=20 approach gained in a single month was 32.7%, while the most that it lost = in a=20 single month was 24.2%. By way of comparison, the most that the S&P = 500=20 index gained in a single month was 9.7%, while its largest single = monthly loss=20 was 14.6%.

The Monthly Variability columns also report the monthly standard = deviation=20 over the full study period. Standard deviation is a measure of total = risk,=20 expressed as a monthly change. It indicates the degree of variation in = return=20 experienced by a strategy relative to its average over the test period. = The=20 higher the standard deviation, the greater the total risk of the = strategy. The=20 Graham=20 Defensive Investor (Utility) screen has the lowest monthly standard=20 deviation figure of 4.7%, while the Richar= d=20 Driehaus approach exhibited the highest monthly standard deviation = of 15.3%=20 over the same four-year period.

Turnover Rates

The Monthly Holdings columns provide data on portfolio holdings = over=20 time=97the average number of stocks that were in each portfolio over the = last four=20 years along with the average holdover percentage from month to month. = The Dogs of the = Dow Low=20 Priced Five approach always has five stocks in the portfolio, but = the Geraldine = Weiss=20 Blue Chip Dividend Yield approach averaged 11 passing stocks with as = many as=20 25 stocks for a given month, and no passing stocks at the end of = November 2001.=20 The % Holdover column gives an indication of the turnover for a given = strategy.=20 The higher the percentage holdover, the more often companies stay in a = portfolio=20 from month to month. As a general rule, approaches that focus on value = tend to=20 have less portfolio turnover than the pure growth approaches, and they = tend to=20 be less volatile and outperform other approaches during bear markets. = However,=20 value approaches can fall behind other approaches, particularly in the = strongest=20 portion of a bull market.
 

Portfolio Characteristics

Tabl= e=20 2 presents the characteristics of the stocks that passed the screens = in each=20 approach at the end of November.

The current price-earnings ratio (price divided by trailing 12-month = earnings=20 per share) for this group of screens ranges from 3.8 for the = value-oriented Funda= mental=20 Rule of Thumb screen to 53.1 for the Richar= d=20 Driehaus approach.=20

Both the historical and estimated growth rates of earnings follow the = predictable script. The more growth-oriented approaches typically have = higher=20 historical and expected earnings growth rates, while the value = approaches tend=20 to have lower growth rates.=20

Market capitalization is provided as a gauge for the size of firms = passing=20 each screen. Strategies such as the Dogs of the = Dow=20 and O=92Shaugh= nessy=20 Value are clearly invested in the large-cap segment. Funda= mental=20 Rule of Thumb, Graham=20 Enterprising Investor, Low=20 Price/Book, Peter = Lynch, Stock = Market=20 Winners, and the Shadow = Stocks=20 are at the other end of the spectrum, with low market caps.=20

The relative strength index is calculated against the performance of = the=20 S&P 500. Stocks with performance equal to the S&P 500 over the = last 52=20 weeks have a relative strength index of zero. Negative numbers indicate=20 underperformance, while positive numbers indicate outperformance.=20

For details on how the screens were constructed and to follow their=20 performance over time, go to the Stock Screens area of = AAII.com.

Conclusion

As you look at the performance of the screens, do not simply follow = the=20 strategies that have the highest performance. Instead, try to understand = the=20 forces that affect their performance. Here are some important questions = to ask=20 that will help you evaluate any series of screens that seek to capture = an=20 investment approach:

  • How is the portfolio reacting relative to the current market = environment?=20 If it is deviating substantially, what is the cause of that = deviation=97is it=20 the particular stock picks, or it is perhaps overconcentration in a = particular=20 sector that is a result of the particular set of screens you have = chosen?=20

  • Are the portfolio=92s characteristics more similar to a = value-based or=20 growth-based approach? That may give you a better idea of how the = portfolio is=20 likely to behave.=20

  • Are the screens actually capturing the kinds of companies you want = to=20 invest in based on your chosen investment approach? Also, are the = screens=20 producing any unintentional biases?=20

  • What is the proper benchmark to measure the performance of your = portfolio?=20 It is important to look at the characteristics of your portfolio = (market=20 capitalization, industry concentration, growth vs. value) to properly = select a=20 benchmark.=20

  • How frequently do your screens cause your portfolio to = substantially=20 change?

Most importantly, remember that screening is just a first step in = investing.=20 There are qualitative elements that cannot be captured effectively by a=20 quantitative screening process.=20


John Bajkowski is = AAII=92s vice=20 president of financial analysis and editor of Computerized = Investing.=20
More articles by John Bajkowski=20


=A9 AAII Journal January 2002, = Volume XXIV, No.=20 1

Table 1. = Performance=20 of Stock Screens on AAII=92s Web Site
Strategy
Value		 Total Gain = (%) Monthly Variability (%)=20 Monthly Holdings =
2001* 2000 1999 1998 Cumulative Std. Dev. High Low Avg. % Holdover
Cash=20 Rich 11.9 40.5 37.1 =963.8 107.4 8.0 17.6 =9620.7 37 74%
David=20 Dreman 21.6 38 =963.0 =961.5 60.2 5.6 12.6 =9615.4 20 67%
David=20 Dreman with Est Revisons =9635.0 38.7 6.7 10.7 6.5 7.7 11.4 =9625.8 7 21%
Dogs = of the=20 Dow =963.4 4.1 5.7 9.8 16.7 5.9 16.1 =9613.1 10 92%
Dogs = of the Dow=20 (Low Priced 5) 4.9 3.2 =962.0 24.6 32.2 6.7 19.1 =9614.0 5 82%
Low=20 Price-to-Free-Cash-Flow 55.4 17.8 10 2.6 106.6 6.6 25.1 =9614.4 30 75%
Funda= mental=20 Rule of Thumb 31.1 28.7 11.7 =969.4 70.7 8.6 33.8 =9619.2 50 75%
Graham=97= Defensive=20 Investor (Non-Utility) 52.7 12.0 3.6 9.6 94.0 6.6 15.7 =9614.6 24 83%
Graham=97= Enterpising=20 Investor 47.9 24.2 =965.0 =967.3 61.8 6.9 23.4 =9618.7 8 68%
Josef= =20 Lakonishok =962.4 36.7 14.8 7.3 64.3 6.5 16.6 =9613.7 16 9%
John = Neff 57.8 37.3 17.4 9.3 178.1 8.2 26.8 =9620.2 19 65%
O=92Shaugh= nessy=97Value 7.8 22.3 =963.9 7.2 35.8 6.3 15.5 =9614.0 50 78%
Joseph= =20 Piotroski 87.3 =960.9 27.1 17.9 178.1 8.7 25.7 =9617.2 8 79%
Low=20 Price/Book 42.7 =9622.7 31.1 =963.4 39.7 10.1 50.2 =9618.4 nmf nmf
P/E=20 Relative 11.7 20.3 =966.0 26.5 59.8 5.0 13.3 =9612.4 27 19%
Geraldine = Weiss Blue Chip Div. Yield* 25.6 18.8 3.9 3.3 60.2 6.2 14.3 =9613.1 11 72%
Growth &=20 Value
Buffettol= ogy=97EPS=20 Growth 21.5 5.9 17.7 4.0 57.6 7.0 15.0 =9620.4 39 88%
Buffettol= ogy=97Sustainable=20 Growth 24.0 3.3 14.6 7.4 57.6 7.4 16.5 =9618.0 25 85%
Philip=20 Fisher 61.7 =9616.7 5.4 2.6 45.7 10.6 25.6 =9626.7 42 69%
Peter=20 Lynch 35.1 3.2 8.9 1.3 53.7 5.1 16.4 =9617.4 28 77%
Oberwei= s=20 Octagon 11.8 18.4 33.4 15.6 104.1 9.7 23.3 =9623.2 23 59%
O=92Shaugh= nessy=97Growth 13.7 11.5 19.5 19.4 80.7 6.6 13.9 =9617.9 50 61%
Low= =20 Price-to-Sales 37.3 23.3 21.1 13.2 132.1 6.4 14.8 =9617.8 44 57%
T. = Rowe=20 Price 4.7 35.2 =964.5 1.8 37.7 7.0 13.3 =9618.0 19 67%
John=20 Templeton 12.8 20.3 8.1 16.2 70.6 6.7 14.3 =9618.2 29 73%
Stock=20 Market Winners 36.9 27.6 21.7 =9612.0 87.1 6.7 17.5 =9616.7 15 36%
Value on = the=20 Move (PEG with Est Growth) 28.4 22.9 11 2.1 78.9 6.8 15.7 =9623.1 61 51%
Value on = the=20 Move (PEG With Hist Growth) 17.5 19.4 18 1.5 68 5.4 12.7 =9619.1 131 63%
Ralph=20 Wanger 12.7 =962.8 3.2 =962.4 10.3 7.9 22.8 =9619.8 31 71%
Martin=20 Zweig 51.2 46.2 17.1 54.5 299.7 10.1 32.7 =9624.2 13 53%
Growth
Richar= d=20 Driehaus =9631.7 =968.3 107.4 0 29.7 15.3 51.3 =9625.7 10 30%
Inve$tWare = Quality Growth II 5.3 18.5 =963.0 14.5 38.7 6.7 18.2 =9622.0 35 89%
William = O=92Neil=92s CANSLIM 53.5 38 36.6 28.2 271 8.3 23.6 =9623.1 11 45%
Sector/Specialty
ADRs =967.1 9.9 4 2.3 8.6 7.5 31.1 =9617.7 15 58%
DRPs 27.2 13.1 4.4 =964.3 43.7 6.2 18.4 =9613.6 29 76%
Dual = Cash=20 Flow 19.9 5.7 114.3 0.9 174 8.8 34.7 =9616.2 39 68%
Est = Rev=20 Down 20.8 =967.1 21.9 =9615.0 16.2 8.2 17.6 =9623.3 221 23%
Est = Rev=20 Down 5% 21.2 =964.2 27.8 =963.9 42.6 9.4 23.6 =9623.2 70 11%
Est = Rev=20 Up =965.8 2.2 38.2 29.9 72.8 7.4 12.2 =9618.6 155 18%
Est = Rev Up=20 5% =9613.1 3.6 107.1 43.3 167 11.1 30.8 =9621.7 38 8%
Graham=97= Defensive=20 Investor (Utility) 0.8 51.4 =968.4 14.6 60.2 4.7 12 =967.3 18 83%
Inside= r=20 Net Purchases 16.4 =9638.3 7.5 0 =9622.7 10.7 26.7 =9619.0 25 65%
Michael=20 Murphy Technology 24.6 =9652.1 139.7 29.7 85.5 15 44.7 =9627.8 19 78%
Strong=20 ROE 12.2 31.4 1 18.8 76.9 6.8 13 =9622.2 34 82%
Short %=20 Outstanding 4 =9631.7 =9626.9 0 =9648.0 13.9 33.3 =9624.1 25 82%
Short=20 Interest Change 5.4 =9651.8 111.1 0 7.2 14.7 34.1 =9627.4 25 24%
Short=20 Ratio 14 =9640.9 2.2 0 =9631.1 10 37.8 =9624.5 25 53%
Shadow=20 Stocks 25.2 =9610.5 16.8 =964.3 25.1 6.4 22.2 =9617.4 nmf nmf
Shadow=20 Stocks=97Growth Screen 68.5 =966.2 0.7 =968.8 45.2 6.9 18.6 =9618.3 10 56%
Shadow=20 Stocks=97Value Screen 5.8 =9613.5 4.8 =9611.9 =9615.5 6.9 23.4 =9617.8 16 77%
Indexes
DJ 30 =969.0 =966.2 25.2 16.1 24.1 5.3 10.2 =9615.1    
S&P 500 =9614.9 =9610.1 19.5 26.7 15.7 5.3 9.7 =9614.6    
S&P/Barra 500 Growth (incl. dividends) =9612.9** =9622.1 28.3 42.1 23.8 6.3 9.2 =9613.0    
S&P/Barra 500 Value (incl. divs.) =9613.0** 6.1 12.7 14.7 19.3 5.2 10.4 =9616.1    
S&P MidCap 400 =964.8 16.2 13.3 17.7 47.5 6.3 12.0 =9618.7    
S&P SmallCap 600 1.4 11.0 11.5 =962.1 22.9 6.4 13.3 =9619.4    
Nasdaq 100 =9631.4 =9636.8 102.0 85.5 62.2 13.0 25.0 =9627.5    
Unless otherwise stated, = figures do not=20 include dividends or transactions costs.
*Through=20 12/14/2001
**Through 11/30/2001
 
Table 2. = Portfolio=20 Characteristics of Stock Screens
Strategy
Value 		P/E Ratio (X) P/E to EPS Est. Growth = (X) Hist. EPS Growth (%) Estimated Long-Term EPS Growth=20 (%) Market Cap. ($ Million) 52-Week Relative Strength = (%)
Cash=20 Rich 17.9 1.3 19.9 20.0 280.3 10.0
David=20 Dreman 11.6 1.3 8.7 9.4 2131.3 15.0
David=20 Dreman with Est Revisons 10.6 0.7 15.3 13.9 3200.9 22.0
Dogs = of the=20 Dow 18.6 1.9 4.7 9.3 36532.0 14.0
Dogs = of the Dow=20 (Low Priced 5) 18.6 1.6 11.1 9.8 74421.2 =9616.0
Low=20 Price-to-Free-Cash-Flow 9.6 0.9 5.3 12.5 231.5 23.5
Funda= mental=20 Rule of Thumb 3.8 0.6 32.3 18.3 62.3 14.0
Graham=97= Defensive=20 Investor (Non-Utility) 13.2 1.1 14.2 14.0 409.1 35.0
Graham=97= Enterpising=20 Investor 5.4 na 16.4 na 39.0 32.5
Josef= =20 Lakonishok 30.1 1.5 14.8 11.1 2664.5 3.0
John = Neff 7.8 0.6 17.6 14.0 796.3 5.0
O=92Shaugh= nessy=97Value 16.8 1.6 7.6 9.4 9243.1 17.0
Joseph= =20 Piotroski 8.2 0.7 2.1 15.8 101.0 5.0
Low=20 Price/Book 10.1 0.8 =9616.9 15.5 22.4 =9629.0
P/E=20 Relative 13.2 1.0 13.6 12.5 2555.3 26.5
Geraldine = Weiss Blue Chip Div. Yield* 12.8 1.3 22.9 10.0 355.8 64.0
Growth = &=20 Value
Buffettol= ogy=97EPS=20 Growth 18.6 1.4 30.2 17.1 2072.5 30.0
Buffettol= ogy=97Sustainable=20 Growth 15.1 1.2 30.5 17.1 1447.7 14.0
Philip=20 Fisher 8.8 0.5 36.2 20.0 129.0 5.0
Peter=20 Lynch 7.1 0.7 30.6 15.3 36.6 15.5
Oberwei= s=20 Octagon 14.7 0.8 19.9 19.7 204.9 91.0
O=92Shaugh= nessy=97Growth 19.1 1.1 1.9 17.0 313.7 269.0
Low= =20 Price-to-Sales 15.0 1.4 =963.3 14.5 185.0 39.5
Stock=20 Market Winners 12.8 1.0 18.4 11.0 62.8 73.0
T. = Rowe=20 Price 9.2 0.6 39.8 15.1 685.5 54.0
John=20 Templeton 10.5 0.8 24.3 14.6 1853.7 18.5
Value on = the=20 Move (PEG With Est Growth) 13.0 0.8 28.2 16.0 419.2 86.0
Value on = the=20 Move (PEG With Hist Growth) 12.7 1.0 21.6 15.4 141.9 71.5
Ralph=20 Wanger 19.6 1.1 38.3 22.3 332.0 65.0
Martin=20 Zweig 18.1 0.8 18.9 16.0 1364.8 113.5
Growth
Richar= d=20 Driehaus 53.1 1.4 =9620.0 32.9 541.8 6.0
Inve$tWare = Quality Growth II 34.3 1.5 28.6 22.5 2901.2 42.0
William = O=92Neil=92s CANSLIM 11.6 1.1 36.7 19.7 305.2 99.0
Sector/Specialty
ADRs 15.4 1.7 31.2 12.5 6472.1 =964.0
DRPs 18.8 1.6 15.0 11.5 2606.0 11.0
Dual = Cash=20 Flow 17.2 1.3 2.3 16.4 130.8 37.0
Est = Rev=20 Down 18.3 1.4 11.4 14.3 1435.2 8.0
Est = Rev=20 Down 5% 21.1 1.3 5.8 16.7 785.1 =967.0
Est = Rev=20 Up 23.4 1.4 12.4 16.5 1426.7 41.5
Est = Rev Up=20 5% 22.6 1.9 5.2 17.4 1346.3 86.0
Graham=97= Defensive=20 Investor (Utility) 12.0 1.7 5.8 6.8 2122.0 5.0
Inside= r=20 Net Purchases 14.7 0.8 =968.0 21.0 156.7 8.0
Michael=20 Murphy Technology 10.2 2.4 32.2 24.3 281.0 =9637.0
Strong=20 ROE 21.0 1.1 32.0 18.8 869.7 60.0
Short %=20 Outstanding 16.1 0.8 26.9 22.5 406.9 22.0
Short=20 Interest Change 22.1 1.8 7.0 17.5 197.3 51.0
Short=20 Ratio 16.9 0.6 =9616.7 12.8 167.6 8.0
Shadow=20 Stocks 19.1 1.0 13.8 20.5 71.1 18.0
Shadow=20 Stocks=97Growth Screen 18.0 0.5 43.3 26.8 280.0 39.5
Shadow=20 Stocks=97Value Screen 8.4 0.6 36.3 18.8 63.1 19.0
All Exchange-Listed=20 Stocks 16.4 1.4 5.9 16.3 166.6 14.0
Data as of 11/30/2001. *Data as = of=20 11/2/2001.

=A9 AAII Journal January 2002, Volume = XXIV, No.=20 1

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