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 2/28/2013
| Strategy | Historical Annual Risk & Return |
Avg Ann'l Price Gain (%)  |
Price Gain (%) |
Category | ||||||||||||||
Index (X) |
Return (%) |
Inception |
1 Yr | 3 Yr | 5 Yr | 10 Yr | Best | Worst | YTD | 2012 | 2011 | 2010 | 2009 | 2008 | ||||
| S&P 500 Growth (TR) | 1.10 | 4.1 | 4.1 | 11.0 | 14.0 | 6.9 | 8.0 | 119.8 | -44.4 | 10.8 | -16.5 | 5.4 | 14.6 | 4.7 | 15.0 | 31.6 | -33.9 | Indexes |
| S&P 500 | 1.00 | 2.6 | 2.6 | 10.9 | 11.1 | 2.6 | 6.1 | 106.1 | -52.6 | 10.8 | -16.8 | 6.2 | 13.4 | 0.0 | 12.8 | 23.5 | -38.5 | Indexes |
| S&P 500 Value (TR) | 1.00 | 4.1 | 4.1 | 16.2 | 13.0 | 3.5 | 8.7 | 130.9 | -56.0 | 11.3 | -17.1 | 7.9 | 17.7 | -0.5 | 15.1 | 21.2 | -38.5 | Indexes |
| Dow Jones 30 | 0.97 | 3.4 | 3.4 | 8.5 | 10.8 | 2.8 | 5.9 | 99.0 | -49.3 | 11.8 | -15.1 | 7.3 | 7.3 | 5.5 | 11.0 | 18.8 | -33.8 | Indexes |
| Graham--Defensive Investor (Utility) | 0.89 | 8.0 | 7.5 | 9.4 | 9.2 | 3.6 | 9.6 | 55.1 | -31.4 | 12.0 | -13.4 | 7.2 | 1.2 | 8.6 | 4.6 | 7.9 | -18.4 | Value |
| Dividend (High Relative Yield) | 0.95 | 7.9 | 7.7 | 13.4 | 12.6 | 6.7 | 8.1 | 105.1 | -40.4 | 12.5 | -14.2 | 6.9 | 9.8 | 3.0 | 19.4 | 16.4 | -21.4 | Growth & Value |
| Value on the Move--PEG With Hist Growth | 1.03 | 12.7 | 13.0 | 2.6 | 12.2 | 5.2 | 12.8 | 119.0 | -50.1 | 12.7 | -19.1 | 6.4 | 4.3 | 1.0 | 31.7 | 23.9 | -38.3 | Growth & Value With Price Momentum |
| Buffett: Hagstrom | 1.11 | 12.9 | 13.9 | 5.4 | 18.4 | 10.5 | 15.0 | 155.6 | -39.8 | 13.2 | -19.0 | 6.1 | 13.0 | 8.2 | 27.7 | 30.0 | -25.8 | Growth & Value |
| O'Shaughnessy: Growth Market Leaders | 1.19 | 5.4 | 5.7 | 16.6 | 11.9 | -1.3 | 6.4 | 78.7 | -50.5 | 13.6 | -18.6 | 5.8 | 15.8 | -1.2 | 15.7 | 12.6 | -44.5 | Value With Price Momentum |
| Est Rev: Top 30 Up | 1.26 | 13.2 | 15.7 | 9.5 | 16.7 | 12.9 | 18.7 | 170.7 | -40.1 | 14.4 | -18.6 | 6.5 | 14.1 | 2.1 | 28.8 | 53.9 | -31.2 | Earnings Estimates |
| Templeton | 1.24 | 8.7 | 9.9 | 16.7 | 18.7 | 12.9 | 13.7 | 162.6 | -40.0 | 14.5 | -23.1 | 3.3 | 31.0 | 3.2 | 22.4 | 54.7 | -36.6 | Growth & Value |
| Return on Equity | 1.28 | 10.4 | 12.1 | 0.2 | 13.0 | 9.1 | 13.5 | 144.0 | -47.2 | 14.6 | -22.2 | 5.9 | 10.1 | -5.7 | 32.0 | 40.0 | -33.8 | Growth |
| S&P MidCap 400 | 1.22 | 7.0 | 7.7 | 12.8 | 14.3 | 6.9 | 10.5 | 145.3 | -50.5 | 14.8 | -21.8 | 8.1 | 16.1 | -3.1 | 24.9 | 35.0 | -37.3 | Indexes |
| Buffettology: EPS Growth | 1.22 | 8.7 | 9.8 | 10.8 | 15.7 | 9.9 | 12.2 | 177.9 | -48.4 | 15.1 | -20.8 | 5.7 | 17.4 | 3.8 | 20.5 | 57.5 | -36.9 | Growth & Value |
| Value on the Move--PEG With Est Growth | 1.31 | 14.6 | 17.9 | 6.8 | 12.5 | 6.6 | 20.6 | 132.5 | -50.2 | 15.7 | -23.1 | 8.0 | 9.0 | -0.3 | 29.7 | 24.2 | -37.2 | Growth & Value With Price Momentum |
| S&P MidCap 400 Value (TR) | 1.11 | 6.9 | 7.2 | 18.6 | 15.4 | 8.8 | 11.7 | 159.1 | -49.4 | 15.7 | -21.8 | 9.2 | 20.1 | -2.4 | 22.8 | 33.7 | -33.4 | Indexes |
| Weiss Blue Chip Div Yield | 1.22 | 9.3 | 10.5 | 19.4 | 19.8 | 12.0 | 13.8 | 165.5 | -43.1 | 16.0 | -16.8 | 5.9 | 19.2 | 7.6 | 26.9 | 27.9 | -26.2 | Value |
| Buffettology: Sustainable Growth | 1.28 | 9.0 | 10.4 | 5.1 | 10.6 | 11.1 | 13.3 | 159.5 | -41.9 | 16.5 | -20.4 | 5.6 | 8.8 | 0.7 | 18.4 | 68.0 | -28.9 | Growth & Value |
| Lakonishok | 1.19 | 12.2 | 13.7 | 9.2 | 16.6 | 16.4 | 19.3 | 165.5 | -32.5 | 16.6 | -17.9 | 8.4 | 7.5 | -0.6 | 32.7 | 53.5 | -23.7 | Value With Price Momentum |
| S&P SmallCap 600 Growth (TR) | 1.31 | 7.1 | 8.0 | 14.2 | 18.2 | 9.7 | 12.9 | 172.8 | -51.1 | 17.0 | -21.7 | 7.3 | 14.9 | 4.1 | 28.0 | 30.7 | -32.2 | Indexes |
| Dogs of the Dow | 1.23 | 0.8 | 1.4 | 14.7 | 15.8 | -0.2 | 3.2 | 168.6 | -69.0 | 17.1 | -23.4 | 8.1 | 9.6 | 10.7 | 19.4 | 8.1 | -45.4 | Value |
| S&P SmallCap 600 | 1.27 | 6.0 | 6.6 | 13.2 | 15.1 | 7.0 | 10.8 | 147.8 | -52.2 | 17.3 | -20.2 | 7.1 | 14.8 | -0.2 | 25.0 | 23.8 | -32.0 | Indexes |
| Cash Rich Firms | 1.37 | 8.0 | 9.6 | 6.3 | -5.3 | -0.6 | 8.4 | 57.0 | -45.6 | 17.6 | -20.7 | 6.3 | 10.5 | -32.8 | 14.4 | 56.9 | -38.0 | Value |
| Dividend Screen: Non-DRPs | 0.91 | 13.3 | 12.5 | 16.3 | 16.8 | 7.4 | 10.9 | 144.1 | -48.1 | 17.6 | -15.3 | 4.9 | 18.1 | 4.3 | 25.3 | 25.4 | -31.7 | Growth & Value |
| Inve$tWare Quality Growth | 1.25 | 5.4 | 5.8 | 0.7 | 8.5 | 8.4 | 9.3 | 119.2 | -44.7 | 18.2 | -22.0 | 4.6 | 19.7 | -9.4 | 17.3 | 39.6 | -24.1 | Growth |
| Price-to-Sales | 1.32 | 12.2 | 14.9 | 8.0 | 14.2 | 7.3 | 14.0 | 176.1 | -55.1 | 18.3 | -20.6 | 6.3 | 11.3 | -2.6 | 29.6 | 47.1 | -38.5 | Growth & Value |
| P/E Relative | 1.13 | 14.6 | 16.0 | 13.2 | 15.3 | 15.8 | 18.7 | 162.0 | -27.6 | 18.4 | -18.3 | 8.4 | 14.3 | -1.9 | 29.6 | 51.8 | -15.8 | Earnings Estimates |
| S&P SmallCap 600 Value (TR) | 1.22 | 6.7 | 7.3 | 15.1 | 15.1 | 7.6 | 11.5 | 150.5 | -51.0 | 18.4 | -19.6 | 7.2 | 17.8 | -1.2 | 24.7 | 20.6 | -28.9 | Indexes |
| IBD Stable 70 | 1.18 | 9.2 | 10.2 | 16.1 | 16.6 | 11.9 | 11.9 | 186.9 | -50.6 | 18.4 | -21.9 | 3.9 | 24.6 | 3.7 | 21.2 | 56.0 | -37.2 | Growth |
| O'Shaughnessy: All Cap | 1.36 | 9.3 | 11.2 | -2.6 | 10.7 | 3.2 | 14.6 | 115.5 | -52.1 | 18.4 | -21.5 | 4.9 | 12.4 | -5.0 | 29.4 | 23.3 | -40.9 | Value With Price Momentum |
| O'Shaughnessy: Small Cap Growth & Value | 1.50 | 13.4 | 18.1 | 30.1 | 19.3 | 5.4 | 20.6 | 116.4 | -50.6 | 18.5 | -18.2 | 7.4 | 30.3 | -0.3 | 26.1 | -3.3 | -32.4 | Value With Price Momentum |
| O'Shaughnessy: Growth | 1.50 | 12.0 | 16.0 | 34.0 | 17.4 | 6.6 | 18.5 | 147.9 | -57.2 | 18.6 | -17.9 | 10.8 | 28.8 | -7.5 | 21.3 | 22.4 | -38.2 | Value With Price Momentum |
| Lynch | 1.21 | 10.4 | 11.8 | -9.9 | -2.1 | 2.1 | 14.7 | 101.2 | -47.5 | 18.9 | -21.3 | 5.6 | 0.7 | -27.9 | 24.9 | 82.8 | -37.3 | Growth & Value |
| S&P MidCap 400 Growth (TR) | 1.31 | 9.3 | 10.9 | 14.6 | 16.5 | 8.9 | 12.5 | 159.0 | -47.7 | 19.0 | -22.2 | 7.4 | 15.8 | -0.9 | 30.6 | 38.1 | -36.9 | Indexes |
| Dividend Screen: DRPs | 1.10 | 7.4 | 7.8 | 10.2 | 12.4 | 6.9 | 7.5 | 151.8 | -50.4 | 20.5 | -18.2 | 5.8 | 10.9 | 1.9 | 19.8 | 29.4 | -24.2 | Growth & Value |
| Muhlenkamp | 1.34 | 4.8 | 5.1 | -12.9 | -19.0 | -9.0 | 1.5 | -2.7 | -49.0 | 21.0 | -17.6 | -2.1 | -3.0 | -45.9 | 2.7 | 45.2 | -24.5 | Growth & Value With Price Momentum |
| Kirkpatrick Bargain | 1.37 | 7.2 | 8.4 | 7.5 | 14.1 | 8.4 | 15.9 | 112.5 | -43.2 | 21.1 | -21.7 | 6.3 | 14.9 | 3.6 | 9.4 | 22.2 | -25.3 | Growth & Value |
| Dreman With Est Revisions | 1.36 | 12.3 | 15.3 | 6.3 | 22.3 | 14.5 | 20.4 | 198.1 | -39.9 | 21.4 | -26.2 | 5.4 | 13.0 | 21.6 | 26.5 | 62.9 | -37.1 | Earnings Estimates |
| O'Shaughnessy: Value | 1.35 | 4.6 | 4.8 | 10.4 | 9.0 | -2.5 | 6.4 | 136.4 | -69.1 | 22.0 | -23.8 | 7.1 | 20.3 | -11.2 | 7.4 | 31.5 | -49.1 | Value |
| Stock Market Winners | 1.47 | 14.9 | 20.1 | 16.7 | 41.2 | 17.0 | 20.7 | 316.3 | -51.3 | 22.0 | -23.4 | 9.6 | 13.6 | 21.2 | 124.6 | -9.0 | -34.7 | Growth & Value With Price Momentum |
| Wanger (Revised) | 1.43 | 6.7 | 7.8 | 16.7 | 13.3 | 5.8 | 13.7 | 114.0 | -51.3 | 22.8 | -19.8 | 8.0 | 23.5 | -5.2 | 12.5 | 24.7 | -36.3 | Growth & Value |
| O'Neil's CAN SLIM No Float | 1.39 | 12.5 | 15.8 | 7.3 | 16.4 | 0.6 | 10.2 | 135.9 | -61.6 | 23.5 | -35.5 | 6.8 | 8.9 | -3.9 | 20.6 | 36.9 | -49.7 | Growth With Price Momentum |
| All Exchange-Listed Stocks | 1.38 | 7.8 | 9.2 | 8.8 | 10.1 | 5.6 | 12.4 | 165.5 | -58.6 | 23.9 | -22.1 | 7.6 | 14.8 | -12.3 | 26.2 | 65.8 | -46.3 | Indexes |
| Dreman | 1.25 | 8.8 | 10.0 | 7.5 | 10.2 | 4.3 | 9.7 | 128.1 | -55.0 | 23.9 | -22.2 | 4.1 | 20.6 | -11.7 | 22.7 | 37.2 | -34.9 | Growth & Value |
| Oberweis Octagon | 1.92 | 8.7 | 13.0 | 45.4 | 18.9 | 3.3 | 14.9 | 204.3 | -70.6 | 24.6 | -23.2 | 17.7 | 32.6 | -14.7 | 78.4 | 2.1 | -56.8 | Growth & Value With Price Momentum |
| NASDAQ 100 | 1.82 | 5.5 | 6.7 | 4.4 | 14.6 | 9.4 | 10.5 | 145.2 | -50.1 | 25.0 | -27.5 | 2.9 | 16.8 | 2.7 | 19.2 | 53.5 | -41.9 | Indexes |
| Est Rev: Lowest 30 Down | 1.60 | -0.7 | 1.1 | 8.7 | 10.5 | 6.0 | 7.5 | 166.8 | -59.9 | 25.0 | -25.3 | 10.3 | 13.6 | -15.2 | 26.8 | 57.6 | -42.6 | Earnings Estimates |
| Graham--Defensive Investor (Non-Utility) | 1.37 | 13.5 | 17.0 | 9.7 | 19.8 | 14.1 | 20.0 | 243.1 | -52.1 | 25.8 | -17.3 | 3.6 | 18.9 | 7.0 | 31.4 | 57.9 | -32.0 | Value |
| Rule #1 Investing | 1.77 | 7.4 | 10.0 | -4.5 | 11.3 | 15.3 | 11.0 | 262.1 | -54.0 | 27.0 | -26.8 | 4.9 | 11.3 | -1.0 | 40.0 | 99.8 | -43.2 | Growth & Value |
| Schloss | 1.85 | 7.8 | 11.1 | -0.3 | 0.6 | -0.5 | 10.4 | 44.1 | -37.6 | 27.1 | -40.4 | 2.8 | 13.1 | -35.1 | 12.5 | 57.5 | -23.1 | Value |
| Dogs of the Dow: Low Priced 5 | 1.59 | -1.7 | 0.4 | 21.5 | 19.3 | -7.2 | 0.6 | 214.6 | -82.9 | 27.6 | -34.8 | 9.0 | 15.7 | 13.1 | 17.3 | -7.7 | -58.7 | Value |
| Insider Net Purchases | 1.81 | -6.0 | -1.6 | 4.4 | -5.9 | -5.9 | 2.1 | 81.5 | -65.5 | 27.8 | -27.2 | 7.7 | 11.5 | -31.4 | 7.4 | 59.0 | -51.7 | Specialty |
| Foolish Small Cap 8 Revised | 2.17 | 9.6 | 16.1 | 42.3 | -8.5 | 1.8 | 11.5 | 130.8 | -64.0 | 28.1 | -31.1 | 0.4 | 41.8 | -49.2 | 15.4 | 161.0 | -60.6 | Growth & Value |
| Magic Formula | 1.65 | 7.7 | 10.1 | 0.3 | 0.1 | 4.9 | 10.2 | 140.3 | -51.6 | 30.7 | -22.4 | 8.4 | 7.9 | -30.6 | 26.6 | 97.0 | -36.3 | Value |
| Est Rev: Up 5% | 1.75 | 17.8 | 28.3 | 20.0 | 23.8 | 24.5 | 30.6 | 270.4 | -23.4 | 30.8 | -21.7 | 3.9 | 28.8 | 6.1 | 35.9 | 86.3 | -18.4 | Earnings Estimates |
| ADR Screen | 1.46 | 5.6 | 6.4 | -15.6 | -3.4 | -9.3 | 9.0 | 64.2 | -68.7 | 31.1 | -29.7 | -4.1 | 1.4 | -25.9 | 18.8 | 53.2 | -58.7 | Growth & Value With Price Momentum |
| Neff | 1.63 | 12.8 | 18.3 | 2.1 | 13.5 | 12.7 | 15.9 | 228.6 | -52.8 | 32.6 | -21.7 | 2.8 | 15.0 | -4.2 | 35.0 | 52.5 | -33.6 | Growth & Value |
| Zweig | 1.79 | 12.4 | 19.1 | 6.3 | -2.1 | -8.4 | 11.8 | 25.8 | -54.4 | 32.7 | -24.2 | 2.7 | 6.4 | -18.3 | 12.8 | -13.3 | -33.9 | Growth & Value |
| Fisher (Philip) | 2.16 | 0.2 | 2.2 | -9.1 | -18.0 | -6.2 | 2.8 | 50.3 | -58.2 | 32.8 | -27.9 | 16.2 | -0.6 | -50.9 | 9.2 | 107.9 | -43.1 | Growth & Value |
| Graham--Enterprising Investor | 1.75 | 12.0 | 18.0 | -25.3 | 12.5 | 3.6 | 16.9 | 142.6 | -50.3 | 33.1 | -23.4 | -4.6 | 1.1 | -1.1 | 43.5 | 48.5 | -40.7 | Value |
| Est Rev: Down 5% | 1.96 | -4.6 | -0.4 | -2.7 | 2.8 | 1.0 | 6.7 | 138.8 | -63.8 | 33.5 | -30.5 | 7.8 | 9.2 | -31.1 | 30.3 | 76.0 | -47.8 | Earnings Estimates |
| T. Rowe Price | 1.67 | 7.1 | 9.1 | -15.0 | 25.9 | 9.4 | 12.2 | 286.2 | -62.5 | 33.5 | -20.0 | 0.0 | -15.0 | 117.4 | 11.9 | 40.1 | -47.8 | Growth & Value |
| Fundamental Rule of Thumb | 1.70 | 9.1 | 12.6 | -13.2 | -6.9 | -0.1 | 13.6 | 86.4 | -57.0 | 33.8 | -19.2 | 12.1 | -6.9 | -35.2 | 17.7 | 92.1 | -41.5 | Value |
| Dual Cash Flow | 1.54 | 9.8 | 13.0 | 4.4 | 3.8 | 3.0 | 11.1 | 148.9 | -61.0 | 34.7 | -23.6 | 9.2 | 5.1 | -21.6 | 31.0 | 76.0 | -46.8 | Growth |
| Graham--Enterprising Investor Revised | 1.74 | 14.4 | 22.2 | -9.1 | 7.4 | 21.2 | 28.4 | 358.7 | -49.9 | 36.4 | -22.4 | 7.0 | -4.9 | -4.1 | 32.9 | 168.4 | -22.6 | Value |
| O'Shaughnessy: Tiny Titans | 1.92 | 14.3 | 23.8 | 23.4 | 5.1 | 1.8 | 17.9 | 146.4 | -67.3 | 37.4 | -21.0 | 9.4 | 20.0 | -22.9 | 21.1 | 71.1 | -56.4 | Value With Price Momentum |
| Foolish Small Cap 8 | 2.21 | 7.2 | 11.2 | 8.3 | 3.7 | 3.0 | 9.2 | 136.0 | -67.7 | 38.8 | -22.5 | 0.0 | 16.9 | -14.9 | 25.2 | 48.1 | -53.5 | Growth With Price Momentum |
| Piotroski: High F-Score | 2.06 | 14.6 | 25.9 | 104.5 | 45.3 | 33.5 | 33.3 | 636.2 | -53.6 | 43.1 | -42.0 | 46.4 | 91.7 | -36.4 | 138.8 | 34.6 | -35.3 | Value |
| Kirkpatrick Value | 2.21 | 7.2 | 11.1 | 17.8 | -3.5 | -8.4 | 16.7 | -13.9 | -23.3 | 49.0 | -25.3 | 10.2 | 19.4 | -15.1 | -25.5 | -8.9 | -3.7 | Growth & Value |
| Price-to-Free-Cash-Flow | 1.77 | 11.4 | 17.1 | -2.7 | 9.8 | 15.1 | 17.4 | 388.4 | -62.8 | 51.2 | -31.7 | 6.9 | 1.1 | -7.0 | 39.2 | 147.2 | -41.5 | Value |
| Driehaus | 2.26 | 7.5 | 11.9 | 17.6 | 21.4 | 21.3 | 21.0 | 325.5 | -53.4 | 51.3 | -25.7 | 11.6 | 16.7 | -14.1 | 65.7 | 106.0 | -42.7 | Growth With Price Momentum |
| MAGNET Simple | 2.91 | 10.0 | 21.6 | -0.6 | 22.6 | 22.2 | 29.0 | 825.1 | -75.9 | 52.1 | -30.0 | 9.9 | -12.4 | 19.5 | 56.1 | 339.5 | -70.2 | Growth & Value With Price Momentum |
| O'Neil's CAN SLIM Revised 3rd Edition | 1.85 | 9.7 | 14.5 | 9.5 | 10.2 | 3.4 | 7.2 | 36.9 | -27.8 | 52.7 | -26.7 | 9.5 | 7.3 | -30.1 | 42.7 | 16.8 | -26.3 | Growth With Price Momentum |
| Murphy Technology | 2.79 | -18.5 | -4.1 | 20.5 | 11.4 | 3.9 | 4.5 | 118.1 | -58.3 | 58.5 | -44.9 | 4.5 | 42.3 | -29.8 | 40.0 | 28.8 | -49.7 | Growth & Value |
| MAGNET Complex | 2.74 | 6.9 | 11.8 | -19.6 | -7.2 | -21.7 | -4.4 | -39.6 | -55.9 | 63.0 | -28.2 | 0.0 | -19.6 | 6.9 | -20.4 | -31.1 | -33.7 | Growth & Value With Price Momentum |
| Kirkpatrick Growth | 2.17 | 9.7 | 16.3 | -5.4 | 2.5 | 6.2 | 20.9 | 90.5 | -38.7 | 64.1 | -23.1 | 6.9 | -9.8 | -11.6 | 15.3 | 80.2 | -34.0 | Growth With Price Momentum |
| O'Neil's CAN SLIM | 1.89 | 14.8 | 24.4 | 20.5 | 14.0 | 14.3 | 20.4 | 111.8 | -10.1 | 69.6 | -23.1 | 12.1 | 18.0 | -10.2 | -9.6 | 97.3 | -10.5 | Growth With Price Momentum |
