Zweig was completely divested during bear markets and fully vested in bull markets. We do not think the Zweig screen works very well as a predictor in pre-bottom bear markets, rather it is suited to bull phases. The effectiveness of the AAI screen over the last 10 years catered for this divesting in bear phases (hence the portfolios "sideways" movement during the bears) and therefore you are ill advised to use Zweig as a stock picker now. It has to be used in conjunction with the "overall market condition" assessment that forms the other part of the Zweig methodology.
At PowerStocks, we have failed to find strong correlation between EPS growth indicators at the bottom of the last bear and subsequent 5 year growth on the JSE. We only found a strong correlation for a small subset of shares showing EPS growth of 100% and more. We are still scratching our heads on this one, but since Zweig itself is heavily weighted to EPS growth we can only assume it also will have low correlation. (Note this does not mean high growth EPS stocks don't show big appreciations, it merely states that the high EPS growth is not a statistically good indicator of future growth.)
We have also backtested ROE, ROA, PEG and Price:Sales and they too showed to be poor predictors of strong share growth out of a bear market. So for now, until our ongoing research yields otherwise, we have found PE, Price-to-book and Piotroski to be the best statistical predictors of growth, espcially when combined together through PriceFinder (PE+Price:Book) and ValueFinder (PriceFinder + Piotroski)
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