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Risk & Return

When selecting a stock screening strategy, there are a number of factors to consider, including your time horizon and risk tolerance, as well as how closely you are able to monitor your stock portfolio. While historical performance is an important component of the selection process, the market can go through periods of extreme fluctuation. As a result, it is also useful to see how various strategies perform over different market conditions. One of the values of the AAII stock screens is that you can compare the performance and risk of a variety of strategies against broad market indexes and other strategies.

The risk and return data provided here allows you to evaluate the riskiness of the AAII stock screens relative to the overall market and their price performance, including on a risk-adjusted basis and over the latest bear and bull market periods.

Note: Click on the column headers to sort by specific year.
Data as of 5/30/2014

Value

| What is a Value Screen?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Cash Rich Firms 1.37 10.1 11.4 34.0 10.3 10.5 5.8 98.8 -45.6 17.6 -20.7 8.6 37.0 10.5 -32.8 14.4 56.9
Dogs of the Dow 1.22 2.3 3.0 12.0 13.9 18.8 2.9 192.5 -69.0 17.1 -23.4 3.8 28.0 9.6 10.7 19.4 8.1
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.3 15.0 16.9 19.7 0.2 240.8 -82.9 27.6 -34.8 1.7 34.0 15.7 13.1 17.3 -7.7
Fundamental Rule of Thumb 1.70 10.9 13.9 20.6 -3.2 6.2 9.3 99.0 -57.0 33.8 -19.2 -4.7 46.0 -6.9 -35.2 17.7 92.1
Graham--Defensive Investor (Non-Utility) 1.37 14.8 17.8 27.2 17.2 24.2 18.2 298.9 -52.1 25.8 -17.3 1.5 34.0 18.9 7.0 31.4 57.9
Graham--Defensive Investor (Utility) 0.90 8.4 8.2 9.4 7.5 10.4 8.4 69.7 -31.4 12.0 -13.4 10.1 10.0 1.2 8.6 4.6 7.9
Graham--Enterprising Investor 1.75 12.6 17.2 11.9 2.1 13.8 18.5 157.0 -50.3 33.1 -23.4 0.0 10.0 1.1 -1.1 43.5 48.5
Graham--Enterprising Investor Revised 1.74 15.1 21.5 12.3 0.4 19.9 26.0 289.2 -49.9 36.4 -22.4 15.1 2.0 -4.9 -4.1 32.9 168.4
Magic Formula 1.64 9.1 10.8 3.4 0.0 10.3 5.0 155.0 -51.6 30.7 -22.4 -2.9 28.0 7.9 -30.6 26.6 97.0
O'Shaughnessy: Value 1.34 6.2 6.3 20.7 10.6 13.7 4.0 161.6 -69.1 22.0 -23.8 2.9 30.0 20.3 -11.2 7.4 31.5
Piotroski: High F-Score 2.06 18.6 31.5 47.8 50.5 49.4 27.7 1,115.2 -53.6 43.1 -42.0 14.2 138.0 91.7 -36.4 138.8 34.6
Price-to-Free-Cash-Flow 1.77 14.9 21.4 71.2 22.6 39.0 18.8 779.4 -62.8 51.2 -31.7 11.7 98.0 1.1 -7.0 39.2 147.2
Schloss 1.91 8.0 9.3 -19.9 -8.7 -2.7 3.2 7.1 -37.6 27.1 -40.4 -24.9 17.0 13.1 -35.1 12.5 57.5
Weiss Blue Chip Div Yield 1.21 10.4 11.2 20.3 13.4 20.3 10.4 194.1 -43.1 16.0 -16.8 4.0 21.0 19.2 7.6 26.9 27.9

Value With Price Momentum

|What is a Value Screen With Price Momentum?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Lakonishok 1.20 13.0 14.3 18.5 8.3 19.6 15.3 193.8 -32.5 16.6 -17.9 0.4 27.0 7.5 -0.6 32.7 53.5
O'Shaughnessy: All Cap 1.37 10.1 11.4 6.6 4.4 13.4 10.5 120.2 -52.1 18.4 -21.5 -0.9 18.0 12.4 -5.0 29.4 23.3
O'Shaughnessy: Growth 1.51 13.5 17.1 15.8 12.4 21.5 12.4 196.7 -57.2 18.6 -17.9 1.2 39.0 28.8 -7.5 21.3 22.4
O'Shaughnessy: Growth Market Leaders 1.23 7.5 7.7 28.8 14.1 17.4 6.7 131.2 -50.5 13.6 -18.6 -1.6 48.0 15.8 -1.2 15.7 12.6
O'Shaughnessy: Small Cap Growth & Value 1.51 14.7 18.9 12.6 17.8 20.2 14.9 162.3 -50.6 18.5 -18.2 -6.3 47.0 30.3 -0.3 26.1 -3.3
O'Shaughnessy: Tiny Titans 1.92 17.0 26.7 45.8 21.4 23.5 11.9 278.2 -67.3 37.4 -21.0 23.4 54.0 20.0 -22.9 21.1 71.1

Growth

| What is a Growth Screen?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Dual Cash Flow 1.53 11.9 14.8 30.8 7.7 16.3 8.2 194.8 -61.0 34.7 -23.6 1.6 49.0 5.1 -21.6 31.0 76.0
IBD Stable 70 1.19 10.2 10.8 14.0 13.5 21.5 8.8 203.0 -50.6 18.4 -21.9 -7.3 34.0 24.6 3.7 21.2 56.0
Inve$tWare Quality Growth 1.26 6.8 6.8 14.8 8.2 16.9 7.4 144.3 -44.7 18.2 -22.0 -2.8 30.0 19.7 -9.4 17.3 39.6
Return on Equity 1.28 11.2 12.6 11.9 5.7 17.6 10.0 168.4 -47.2 14.6 -22.2 -8.1 34.0 10.1 -5.7 32.0 40.0

Growth With Price Momentum

| What is a Growth Screen With Price Momentum?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Driehaus 2.24 9.2 12.6 2.9 5.2 29.5 17.1 344.9 -53.4 51.3 -25.7 -14.2 48.0 16.7 -14.1 65.7 106.0
Foolish Small Cap 8 2.26 8.1 10.2 -1.0 -5.1 13.8 2.8 124.5 -67.7 38.8 -25.9 -25.6 33.0 16.9 -14.9 25.2 48.1
Kirkpatrick Growth 2.14 10.8 15.7 1.5 -7.8 9.6 16.1 90.8 -38.7 64.1 -23.1 -5.3 18.0 -9.8 -11.6 15.3 80.2
O'Neil's CAN SLIM 1.91 16.2 25.1 35.7 11.8 22.1 18.8 171.8 -10.1 69.6 -23.1 27.1 13.0 18.0 -10.2 -9.6 97.3
O'Neil's CAN SLIM Revised 3rd Edition 1.85 12.0 16.7 45.9 15.7 15.3 7.0 103.6 -27.8 52.7 -26.7 5.0 55.0 7.3 -30.1 42.7 16.8
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 12.1 8.9 21.8 7.3 177.5 -61.6 23.5 -35.5 -3.9 31.0 8.9 -3.9 20.6 36.9

Growth & Value

| What is a Growth & Value Screen?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Buffett: Hagstrom 1.11 13.9 14.7 14.1 13.7 20.4 13.2 196.5 -39.8 13.2 -19.0 -1.7 35.0 13.0 8.2 27.7 30.0
Buffettology: EPS Growth 1.22 10.2 11.0 16.5 16.5 21.6 10.5 238.1 -48.4 15.1 -20.8 -1.9 38.0 17.4 3.8 20.5 57.5
Buffettology: Sustainable Growth 1.28 10.3 11.4 12.1 11.8 18.8 10.7 203.4 -41.9 16.5 -20.4 -3.4 36.0 8.8 0.7 18.4 68.0
Dividend (High Relative Yield) 0.96 9.8 9.7 30.7 17.1 18.8 7.9 166.4 -40.4 12.5 -14.2 5.4 41.0 9.8 3.0 19.4 16.4
Dividend Screen: DRPs 1.10 8.7 8.9 20.5 11.3 16.3 6.1 174.1 -50.4 20.5 -18.2 3.8 26.0 10.9 1.9 19.8 29.4
Dividend Screen: Non-DRPs 0.91 13.8 13.1 17.7 14.5 17.3 8.9 191.4 -48.1 17.6 -15.3 4.4 22.0 18.1 4.3 25.3 25.4
Dreman 1.25 10.1 10.9 12.8 11.2 15.5 8.2 130.8 -55.0 23.9 -22.2 2.3 28.0 20.6 -11.7 22.7 37.2
Fisher (Philip) 2.20 2.1 4.5 47.4 -3.6 -0.5 0.9 64.2 -58.2 32.8 -27.9 5.6 40.0 -0.6 -50.9 9.2 107.9
Foolish Small Cap 8 Revised 2.14 10.4 14.8 0.0 -6.6 10.4 4.7 105.1 -64.0 28.1 -31.1 0.0 0.0 41.8 -49.2 15.4 161.0
Kirkpatrick Bargain 1.37 7.7 8.1 -1.8 3.2 12.2 15.4 104.6 -43.2 21.1 -21.7 -1.4 7.0 14.9 3.6 9.4 22.2
Kirkpatrick Value 2.21 8.3 10.4 -4.5 -10.4 -5.6 13.7 -18.8 -23.3 49.0 -25.3 -16.3 22.0 19.4 -15.1 -25.5 -8.9
Lynch 1.23 12.1 13.4 39.2 3.1 14.9 12.1 157.8 -47.5 18.9 -21.3 17.7 24.0 0.7 -27.9 24.9 82.8
Murphy Technology 2.76 -13.9 -0.9 30.6 15.3 20.7 8.2 221.8 -58.3 58.5 -44.9 16.7 40.0 42.3 -29.8 40.0 28.8
Neff 1.63 14.4 19.3 17.2 9.8 22.5 11.7 303.6 -52.8 32.6 -21.7 2.4 40.0 15.0 -4.2 35.0 52.5
Price-to-Sales 1.31 13.5 15.7 21.4 9.5 20.1 10.8 216.5 -55.1 18.3 -20.6 -1.4 36.0 11.3 -2.6 29.6 47.1
Rule #1 Investing 1.81 11.0 14.6 79.6 32.2 36.8 14.8 575.8 -54.0 27.0 -26.8 50.6 47.0 11.3 -1.0 40.0 99.8
T. Rowe Price 1.67 8.6 10.0 0.0 12.4 24.3 11.4 330.5 -62.5 33.5 -20.0 0.0 28.0 -15.0 117.4 11.9 40.1
Templeton 1.24 10.1 11.0 12.3 22.1 20.8 10.9 202.3 -40.0 14.5 -23.1 3.0 29.0 31.0 3.2 22.4 54.7
Wanger (Revised) 1.43 8.9 10.0 33.5 18.3 19.0 11.4 176.9 -51.3 22.8 -19.8 0.4 51.0 23.5 -5.2 12.5 24.7
Zweig 1.83 13.7 19.6 24.9 8.7 6.3 6.3 63.1 -54.4 32.7 -24.2 5.5 26.0 6.4 -18.3 12.8 -13.3

Growth & Value With Price Momentum

| What is a Growth & Value Screen With Price Momentum?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
ADR Screen 1.48 8.4 9.4 68.0 7.5 13.6 9.2 163.9 -68.7 31.1 -29.7 27.7 33.0 1.4 -25.9 18.8 53.2
MAGNET Complex 2.71 8.6 12.3 22.9 -3.3 -6.6 -3.5 -29.0 -55.9 63.0 -28.2 -7.5 33.0 -19.6 6.9 -20.4 -31.1
MAGNET Simple 2.98 9.9 16.7 -33.6 -18.8 18.7 15.6 313.7 -75.9 52.1 -34.0 -5.9 -31.0 -12.4 19.5 56.1 339.5
Muhlenkamp 1.45 -0.7 1.5 -23.6 -25.2 -16.0 -7.2 -46.2 -49.0 21.0 -18.8 -30.0 -14.0 -3.0 -45.9 2.7 45.2
Oberweis Octagon 1.91 10.4 13.9 13.5 11.8 23.5 10.4 221.8 -70.6 24.6 -23.2 -5.3 39.0 32.6 -14.7 78.4 2.1
Stock Market Winners 1.46 16.4 20.9 13.8 22.6 32.7 16.2 396.4 -51.3 22.0 -23.4 4.8 35.0 13.6 21.2 124.6 -9.0
Value on the Move--PEG With Est Growth 1.33 16.4 19.6 32.7 14.4 22.7 15.6 217.2 -50.2 15.7 -23.1 -2.1 60.0 9.0 -0.3 29.7 24.2
Value on the Move--PEG With Hist Growth 1.05 14.0 14.4 25.6 10.1 20.3 11.3 177.1 -50.1 12.7 -19.1 -4.4 49.0 4.3 1.0 31.7 23.9

Earnings Estimates

| What is an Earnings Estimates Screen?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Dreman With Est Revisions 1.35 13.9 16.6 29.8 18.5 25.0 17.6 272.3 -39.9 21.4 -26.2 5.1 36.0 13.0 21.6 26.5 62.9
Est Rev: Lowest 30 Down 2.32 -6.6 0.8 10.6 -2.6 11.5 1.1 179.6 -71.0 43.0 -29.9 -4.8 30.0 9.3 -34.1 37.8 106.2
Est Rev: Down 5% 1.95 -4.2 1.0 11.3 -0.4 10.7 2.3 145.3 -63.8 33.5 -30.5 -2.5 28.0 9.2 -31.1 30.3 76.0
Est Rev: Top 30 Up 1.83 17.0 25.7 19.7 15.5 28.2 26.0 380.6 -37.8 36.4 -26.7 -1.9 42.0 21.9 -2.3 47.6 110.0
Est Rev: Up 5% 1.75 18.3 27.2 10.6 14.0 24.5 25.1 279.6 -23.4 30.8 -21.7 -6.7 28.0 28.8 6.1 35.9 86.3
P/E Relative 1.13 15.3 16.5 9.0 10.1 19.5 15.3 177.5 -27.6 18.4 -18.3 -1.1 30.0 14.3 -1.9 29.6 51.8

Specialty

| What is a Specialty Screen?
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
Insider Net Purchases 1.84 -7.7 -1.2 -5.4 -6.5 2.1 -5.3 66.6 -65.5 27.8 -27.2 -15.0 22.0 11.5 -31.4 7.4 59.0

Indexes

Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%)
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Monthly Variability
YTD 2013 2012 2011 2010 2009
Best Worst
S&P 500 1.00 4.3 4.3 18.0 12.6 15.9 5.6 141.1 -52.6 10.8 -16.8 4.1 30.0 13.4 0.0 12.8 23.5
S&P 500 Growth (TR) 1.10 6.0 6.1 22.4 15.7 18.9 8.0 170.0 -44.4 10.8 -16.5 5.1 36.0 14.6 4.7 15.0 31.6
S&P 500 Value (TR) 1.00 5.9 5.9 18.4 14.6 17.9 7.7 169.4 -56.0 11.3 -17.1 4.8 34.0 17.7 -0.5 15.1 21.2
S&P MidCap 400 1.19 8.6 9.0 16.4 11.3 19.1 8.8 181.8 -50.5 14.8 -21.8 2.6 32.0 16.1 -3.1 24.9 35.0
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 19.8 14.4 21.0 10.8 206.2 -47.7 19.0 -22.2 1.1 33.0 15.8 -0.9 30.6 38.1
S&P MidCap 400 Value (TR) 1.11 8.7 8.9 20.6 15.0 21.3 10.4 210.0 -49.4 15.7 -21.8 5.5 34.0 20.1 -2.4 22.8 33.7
S&P SmallCap 600 1.26 7.8 8.1 18.3 12.9 19.8 8.8 193.6 -52.2 17.3 -20.2 -1.9 40.0 14.8 -0.2 25.0 23.8
S&P SmallCap 600 Growth (TR) 1.31 8.8 9.5 18.5 13.1 22.0 10.7 223.6 -51.1 17.0 -21.7 -3.5 43.0 14.9 4.1 28.0 30.7
S&P SmallCap 600 Value (TR) 1.22 8.3 8.7 16.9 14.5 19.8 9.3 193.9 -51.0 18.4 -19.6 0.5 36.0 17.8 -1.2 24.7 20.6
Dow Jones 30 0.97 4.7 4.7 10.6 10.0 14.5 5.1 119.7 -49.3 11.8 -15.1 0.8 26.0 7.3 5.5 11.0 18.8
NASDAQ 100 1.81 7.6 8.4 25.3 16.3 21.1 9.8 166.9 -50.1 25.0 -27.5 4.0 35.0 16.8 2.7 19.2 53.5
All Exchange-Listed Stocks 1.37 9.7 11.0 25.8 11.5 19.2 8.3 221.3 -58.6 23.9 -22.1 5.3 38.0 14.8 -12.3 26.2 65.8