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 5/31/2013
| 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 | ||||
| Piotroski: High F-Score | 2.06 | 16.8 | 30.5 | 131.1 | 47.2 | 39.7 | 33.7 | 823.9 | -53.6 | 43.1 | -42.0 | 83.7 | 91.7 | -36.4 | 138.8 | 34.6 | -35.3 | Value |
| MAGNET Simple | 2.93 | 9.8 | 21.0 | 8.5 | 16.2 | 16.7 | 21.0 | 720.9 | -75.9 | 52.1 | -30.0 | -2.5 | -12.4 | 19.5 | 56.1 | 339.5 | -70.2 | Growth & Value With Price Momentum |
| Price-to-Free-Cash-Flow | 1.77 | 12.3 | 18.7 | 44.3 | 12.2 | 19.0 | 17.6 | 489.5 | -62.8 | 51.2 | -31.7 | 29.0 | 1.1 | -7.0 | 39.2 | 147.2 | -41.5 | Value |
| T. Rowe Price | 1.69 | 8.0 | 10.7 | 9.2 | 34.8 | 14.3 | 13.6 | 396.3 | -62.5 | 33.5 | -20.0 | 28.5 | -15.0 | 117.4 | 11.9 | 40.1 | -47.8 | Growth & Value |
| Stock Market Winners | 1.47 | 15.8 | 21.4 | 24.7 | 42.9 | 21.8 | 20.7 | 371.3 | -51.3 | 22.0 | -23.4 | 24.1 | 13.6 | 21.2 | 124.6 | -9.0 | -34.7 | Growth & Value With Price Momentum |
| Driehaus | 2.26 | 8.1 | 13.4 | 40.5 | 19.7 | 21.2 | 18.6 | 369.5 | -53.4 | 51.3 | -25.7 | 23.2 | 16.7 | -14.1 | 65.7 | 106.0 | -42.7 | Growth With Price Momentum |
| Est Rev: Top 30 Up | 1.84 | 16.0 | 26.1 | 30.5 | 23.1 | 22.0 | 27.2 | 362.9 | -37.8 | 36.4 | -26.7 | 16.4 | 21.9 | -2.3 | 47.6 | 110.0 | -31.1 | Earnings Estimates |
| Graham--Enterprising Investor Revised | 1.74 | 14.4 | 22.1 | 11.3 | 5.6 | 18.3 | 25.6 | 348.4 | -49.9 | 36.4 | -22.4 | 4.6 | -4.9 | -4.1 | 32.9 | 168.4 | -22.6 | Value |
| Rule #1 Investing | 1.77 | 8.1 | 11.3 | 30.7 | 17.8 | 18.3 | 10.0 | 325.7 | -54.0 | 27.0 | -26.8 | 23.3 | 11.3 | -1.0 | 40.0 | 99.8 | -43.2 | Growth & Value |
| Neff | 1.63 | 13.5 | 19.5 | 31.7 | 15.8 | 14.8 | 15.5 | 289.8 | -52.8 | 32.6 | -21.7 | 21.9 | 15.0 | -4.2 | 35.0 | 52.5 | -33.6 | Growth & Value |
| Est Rev: Up 5% | 1.75 | 17.9 | 28.4 | 29.0 | 23.7 | 20.9 | 27.9 | 284.1 | -23.4 | 30.8 | -21.7 | 7.7 | 28.8 | 6.1 | 35.9 | 86.3 | -18.4 | Earnings Estimates |
| Graham--Defensive Investor (Non-Utility) | 1.37 | 13.7 | 17.2 | 26.6 | 18.1 | 12.6 | 18.2 | 254.0 | -52.1 | 25.8 | -17.3 | 6.9 | 18.9 | 7.0 | 31.4 | 57.9 | -32.0 | Value |
| Dogs of the Dow: Low Priced 5 | 1.59 | 0.1 | 1.6 | 25.8 | 24.0 | -3.4 | -0.5 | 243.2 | -82.9 | 27.6 | -34.8 | 18.9 | 15.7 | 13.1 | 17.3 | -7.7 | -58.7 | Value |
| Dreman With Est Revisions | 1.36 | 12.6 | 15.8 | 25.5 | 23.5 | 13.6 | 18.0 | 211.1 | -39.9 | 21.4 | -26.2 | 10.0 | 13.0 | 21.6 | 26.5 | 62.9 | -37.1 | Earnings Estimates |
| Buffettology: EPS Growth | 1.22 | 9.5 | 10.7 | 30.3 | 17.5 | 9.4 | 11.8 | 206.4 | -48.4 | 15.1 | -20.8 | 16.5 | 17.4 | 3.8 | 20.5 | 57.5 | -36.9 | Growth & Value |
| IBD Stable 70 | 1.18 | 9.6 | 10.6 | 20.5 | 16.9 | 11.0 | 10.5 | 201.8 | -50.6 | 18.4 | -21.9 | 9.2 | 24.6 | 3.7 | 21.2 | 56.0 | -37.2 | Growth |
| Templeton | 1.24 | 9.6 | 10.9 | 48.7 | 23.1 | 13.8 | 13.6 | 201.8 | -40.0 | 14.5 | -23.1 | 18.6 | 31.0 | 3.2 | 22.4 | 54.7 | -36.6 | Growth & Value |
| Oberweis Octagon | 1.92 | 9.2 | 13.9 | 37.1 | 13.9 | 1.0 | 13.6 | 199.8 | -70.6 | 24.6 | -23.2 | 15.9 | 32.6 | -14.7 | 78.4 | 2.1 | -56.8 | Growth & Value With Price Momentum |
| S&P SmallCap 600 Growth (TR) | 1.31 | 7.8 | 9.0 | 27.9 | 18.8 | 9.3 | 11.9 | 195.3 | -51.1 | 17.0 | -21.7 | 16.1 | 14.9 | 4.1 | 28.0 | 30.7 | -32.2 | Indexes |
| Est Rev: Lowest 30 Down | 2.34 | -4.8 | 0.2 | 18.9 | 1.0 | 1.9 | 3.4 | 194.8 | -71.0 | 43.0 | -29.9 | 11.7 | 9.3 | -34.1 | 37.8 | 106.2 | -57.3 | Earnings Estimates |
| Dogs of the Dow | 1.23 | 2.1 | 2.5 | 26.1 | 20.4 | 2.6 | 2.5 | 194.6 | -69.0 | 17.1 | -23.4 | 18.5 | 9.6 | 10.7 | 19.4 | 8.1 | -45.4 | Value |
| O'Shaughnessy: Tiny Titans | 1.93 | 15.2 | 25.6 | 51.5 | 5.9 | 6.3 | 16.7 | 194.5 | -67.3 | 37.4 | -21.0 | 30.8 | 20.0 | -22.9 | 21.1 | 71.1 | -56.4 | Value With Price Momentum |
| Buffettology: Sustainable Growth | 1.28 | 9.7 | 11.4 | 29.2 | 12.8 | 10.2 | 12.6 | 187.6 | -41.9 | 16.5 | -20.4 | 17.0 | 8.8 | 0.7 | 18.4 | 68.0 | -28.9 | Growth & Value |
| Price-to-Sales | 1.32 | 12.6 | 15.4 | 20.4 | 14.3 | 7.0 | 12.4 | 187.4 | -55.1 | 18.3 | -20.6 | 10.7 | 11.3 | -2.6 | 29.6 | 47.1 | -38.5 | Growth & Value |
| All Exchange-Listed Stocks | 1.38 | 8.4 | 10.1 | 25.0 | 10.9 | 6.5 | 10.6 | 185.1 | -58.6 | 23.9 | -22.1 | 15.5 | 14.8 | -12.3 | 26.2 | 65.8 | -46.3 | Indexes |
| P/E Relative | 1.13 | 15.5 | 17.0 | 31.3 | 17.5 | 13.9 | 17.3 | 184.1 | -27.6 | 18.4 | -18.3 | 17.5 | 14.3 | -1.9 | 29.6 | 51.8 | -15.8 | Earnings Estimates |
| Buffett: Hagstrom | 1.11 | 13.7 | 14.8 | 17.4 | 21.0 | 10.2 | 14.8 | 181.2 | -39.8 | 13.2 | -19.0 | 16.7 | 13.0 | 8.2 | 27.7 | 30.0 | -25.8 | Growth & Value |
| S&P MidCap 400 Growth (TR) | 1.31 | 10.0 | 11.8 | 30.6 | 17.4 | 8.0 | 11.5 | 181.0 | -47.7 | 19.0 | -22.2 | 16.1 | 15.8 | -0.9 | 30.6 | 38.1 | -36.9 | Indexes |
| S&P MidCap 400 Value (TR) | 1.11 | 7.8 | 8.2 | 34.4 | 17.1 | 7.7 | 10.9 | 178.5 | -49.4 | 15.7 | -21.8 | 17.4 | 20.1 | -2.4 | 22.8 | 33.7 | -33.4 | Indexes |
| S&P SmallCap 600 Value (TR) | 1.22 | 7.5 | 8.2 | 33.5 | 16.4 | 7.7 | 10.6 | 172.3 | -51.0 | 18.4 | -19.6 | 16.6 | 17.8 | -1.2 | 24.7 | 20.6 | -28.9 | Indexes |
| O'Shaughnessy: Growth | 1.50 | 12.8 | 17.2 | 49.4 | 17.8 | 7.0 | 16.7 | 171.2 | -57.2 | 18.6 | -17.9 | 21.2 | 28.8 | -7.5 | 21.3 | 22.4 | -38.2 | Value With Price Momentum |
| S&P SmallCap 600 | 1.27 | 6.8 | 7.5 | 28.9 | 16.0 | 6.9 | 9.9 | 168.0 | -52.2 | 17.3 | -20.2 | 15.8 | 14.8 | -0.2 | 25.0 | 23.8 | -32.0 | Indexes |
| NASDAQ 100 | 1.82 | 5.9 | 7.4 | 18.1 | 17.2 | 8.0 | 9.5 | 166.9 | -50.1 | 25.0 | -27.5 | 12.1 | 16.8 | 2.7 | 19.2 | 53.5 | -41.9 | Indexes |
| Magic Formula | 1.65 | 8.4 | 11.3 | 16.0 | 1.7 | 6.1 | 8.5 | 166.2 | -51.6 | 30.7 | -22.4 | 20.1 | 7.9 | -30.6 | 26.6 | 97.0 | -36.3 | Value |
| Dual Cash Flow | 1.54 | 10.4 | 13.8 | 17.6 | 2.9 | 3.5 | 9.4 | 163.6 | -61.0 | 34.7 | -23.6 | 15.6 | 5.1 | -21.6 | 31.0 | 76.0 | -46.8 | Growth |
| S&P MidCap 400 | 1.20 | 7.8 | 8.6 | 27.9 | 15.8 | 6.1 | 9.6 | 163.5 | -50.5 | 14.8 | -21.8 | 16.1 | 16.1 | -3.1 | 24.9 | 35.0 | -37.3 | Indexes |
| Lakonishok | 1.20 | 12.4 | 14.0 | 19.3 | 14.7 | 13.7 | 16.4 | 163.0 | -32.5 | 16.6 | -17.9 | 7.3 | 7.5 | -0.6 | 32.7 | 53.5 | -23.7 | Value With Price Momentum |
| Weiss Blue Chip Div Yield | 1.22 | 9.5 | 10.7 | 18.3 | 19.9 | 9.3 | 11.7 | 162.9 | -43.1 | 16.0 | -16.8 | 4.9 | 19.2 | 7.6 | 26.9 | 27.9 | -26.2 | Value |
| Murphy Technology | 2.78 | -14.5 | -2.6 | 53.1 | 17.6 | 5.3 | 5.6 | 160.7 | -58.3 | 58.5 | -44.9 | 24.8 | 42.3 | -29.8 | 40.0 | 28.8 | -49.7 | Growth & Value |
| Dividend Screen: DRPs | 1.10 | 7.9 | 8.2 | 18.6 | 12.5 | 6.3 | 6.2 | 158.7 | -50.4 | 20.5 | -18.2 | 8.7 | 10.9 | 1.9 | 19.8 | 29.4 | -24.2 | Growth & Value |
| Return on Equity | 1.28 | 10.8 | 12.6 | 18.2 | 13.9 | 9.1 | 11.9 | 154.0 | -47.2 | 14.6 | -22.2 | 10.2 | 10.1 | -5.7 | 32.0 | 40.0 | -33.8 | Growth |
| Dreman | 1.25 | 9.5 | 10.8 | 34.0 | 12.6 | 4.4 | 9.1 | 153.5 | -55.0 | 23.9 | -22.2 | 15.7 | 20.6 | -11.7 | 22.7 | 37.2 | -34.9 | Growth & Value |
| Value on the Move--PEG With Est Growth | 1.31 | 15.3 | 18.8 | 20.1 | 14.7 | 6.2 | 18.3 | 153.3 | -50.2 | 15.7 | -23.1 | 17.7 | 9.0 | -0.3 | 29.7 | 24.2 | -37.2 | Growth & Value With Price Momentum |
| Dividend Screen: Non-DRPs | 0.91 | 13.7 | 12.8 | 22.9 | 17.7 | 7.9 | 9.8 | 152.1 | -48.1 | 17.6 | -15.3 | 8.4 | 18.1 | 4.3 | 25.3 | 25.4 | -31.7 | Growth & Value |
| S&P 500 Value (TR) | 1.00 | 5.1 | 5.0 | 32.2 | 16.1 | 4.4 | 8.0 | 149.9 | -56.0 | 11.3 | -17.1 | 16.8 | 17.7 | -0.5 | 15.1 | 21.2 | -38.5 | Indexes |
| Graham--Enterprising Investor | 1.75 | 11.7 | 17.6 | -10.6 | 7.7 | 2.0 | 16.2 | 149.2 | -50.3 | 33.1 | -23.4 | -2.0 | 1.1 | -1.1 | 43.5 | 48.5 | -40.7 | Value |
| Est Rev: Down 5% | 1.96 | -3.1 | 0.4 | 14.4 | 2.0 | 0.8 | 3.8 | 148.8 | -63.8 | 33.5 | -30.5 | 12.4 | 9.2 | -31.1 | 30.3 | 76.0 | -47.8 | Earnings Estimates |
| O'Neil's CAN SLIM No Float | 1.39 | 12.9 | 16.4 | 13.7 | 15.4 | 2.2 | 9.2 | 147.5 | -61.6 | 23.5 | -35.5 | 12.1 | 8.9 | -3.9 | 20.6 | 36.9 | -49.7 | Growth With Price Momentum |
| O'Shaughnessy: Small Cap Growth & Value | 1.50 | 14.2 | 19.3 | 51.5 | 24.0 | 7.0 | 19.4 | 146.3 | -50.6 | 18.5 | -18.2 | 22.2 | 30.3 | -0.3 | 26.1 | -3.3 | -32.4 | Value With Price Momentum |
| O'Shaughnessy: Value | 1.34 | 5.0 | 5.4 | 31.1 | 12.6 | -1.6 | 4.7 | 143.6 | -69.1 | 22.0 | -23.8 | 10.4 | 20.3 | -11.2 | 7.4 | 31.5 | -49.1 | Value |
| S&P 500 Growth (TR) | 1.10 | 4.9 | 5.0 | 23.2 | 17.7 | 7.0 | 7.4 | 138.0 | -44.4 | 10.8 | -16.5 | 14.0 | 14.6 | 4.7 | 15.0 | 31.6 | -33.9 | Indexes |
| Foolish Small Cap 8 | 2.20 | 7.2 | 11.0 | 34.0 | 7.3 | 0.0 | 5.5 | 136.0 | -67.7 | 38.8 | -22.5 | 0.0 | 16.9 | -14.9 | 25.2 | 48.1 | -53.5 | Growth With Price Momentum |
| Value on the Move--PEG With Hist Growth | 1.03 | 13.4 | 13.7 | 14.2 | 12.5 | 5.2 | 12.0 | 133.9 | -50.1 | 12.7 | -19.1 | 13.6 | 4.3 | 1.0 | 31.7 | 23.9 | -38.3 | Growth & Value With Price Momentum |
| Inve$tWare Quality Growth | 1.25 | 5.9 | 6.3 | 14.8 | 12.2 | 5.8 | 8.4 | 131.4 | -44.7 | 18.2 | -22.0 | 10.4 | 19.7 | -9.4 | 17.3 | 39.6 | -24.1 | Growth |
| Foolish Small Cap 8 Revised | 2.17 | 9.5 | 15.8 | 25.5 | -5.2 | 2.5 | 10.0 | 130.8 | -64.0 | 28.1 | -31.1 | 0.4 | 41.8 | -49.2 | 15.4 | 161.0 | -60.6 | Growth & Value |
| O'Shaughnessy: All Cap | 1.36 | 9.6 | 11.7 | 21.5 | 12.5 | 4.2 | 13.4 | 125.9 | -52.1 | 18.4 | -21.5 | 10.0 | 12.4 | -5.0 | 29.4 | 23.3 | -40.9 | Value With Price Momentum |
| Wanger (Revised) | 1.43 | 7.2 | 8.6 | 31.8 | 14.5 | 4.7 | 12.0 | 125.1 | -51.3 | 22.8 | -19.8 | 13.7 | 23.5 | -5.2 | 12.5 | 24.7 | -36.3 | Growth & Value |
| S&P 500 | 1.00 | 3.4 | 3.4 | 24.5 | 14.4 | 3.1 | 5.4 | 121.8 | -52.6 | 10.8 | -16.8 | 14.3 | 13.4 | 0.0 | 12.8 | 23.5 | -38.5 | Indexes |
| Dividend (High Relative Yield) | 0.95 | 8.7 | 8.5 | 21.9 | 14.8 | 7.2 | 7.4 | 117.7 | -40.4 | 12.5 | -14.2 | 13.5 | 9.8 | 3.0 | 19.4 | 16.4 | -21.4 | Growth & Value |
| Kirkpatrick Bargain | 1.37 | 7.5 | 8.8 | 18.7 | 15.5 | 6.8 | 17.5 | 115.6 | -43.2 | 21.1 | -21.7 | 7.8 | 14.9 | 3.6 | 9.4 | 22.2 | -25.3 | Growth & Value |
| Dow Jones 30 | 0.97 | 4.3 | 4.3 | 22.0 | 14.2 | 3.6 | 5.5 | 114.0 | -49.3 | 11.8 | -15.1 | 15.3 | 7.3 | 5.5 | 11.0 | 18.8 | -33.8 | Indexes |
| O'Neil's CAN SLIM | 1.89 | 14.8 | 24.4 | 30.3 | 11.9 | 14.3 | 17.9 | 100.3 | -10.1 | 69.6 | -23.1 | 6.0 | 18.0 | -10.2 | -9.6 | 97.3 | -10.5 | Growth With Price Momentum |
| Lynch | 1.21 | 10.5 | 11.9 | 5.7 | -3.9 | 0.9 | 12.0 | 100.0 | -47.5 | 18.9 | -21.3 | 5.0 | 0.7 | -27.9 | 24.9 | 82.8 | -37.3 | Growth & Value |
| Kirkpatrick Growth | 2.16 | 9.9 | 16.7 | 7.7 | 1.4 | 7.0 | 17.8 | 96.3 | -38.7 | 64.1 | -23.1 | 10.2 | -9.8 | -11.6 | 15.3 | 80.2 | -34.0 | Growth With Price Momentum |
| Fundamental Rule of Thumb | 1.70 | 9.6 | 13.5 | 3.1 | -5.8 | 0.2 | 10.5 | 92.0 | -57.0 | 33.8 | -19.2 | 15.4 | -6.9 | -35.2 | 17.7 | 92.1 | -41.5 | Value |
| O'Shaughnessy: Growth Market Leaders | 1.20 | 6.1 | 6.5 | 35.8 | 12.3 | -1.9 | 5.2 | 91.6 | -50.5 | 13.6 | -18.6 | 13.5 | 15.8 | -1.2 | 15.7 | 12.6 | -44.5 | Value With Price Momentum |
| Insider Net Purchases | 1.81 | -4.9 | -0.9 | 4.9 | -7.7 | -5.8 | -0.7 | 83.8 | -65.5 | 27.8 | -27.2 | 9.1 | 11.5 | -31.4 | 7.4 | 59.0 | -51.7 | Specialty |
| ADR Screen | 1.46 | 5.6 | 6.4 | 2.7 | -1.2 | -9.1 | 6.8 | 73.3 | -68.7 | 31.1 | -29.7 | 1.2 | 1.4 | -25.9 | 18.8 | 53.2 | -58.7 | Growth & Value With Price Momentum |
| Cash Rich Firms | 1.37 | 8.5 | 10.1 | 19.2 | -2.5 | -1.6 | 6.6 | 63.4 | -45.6 | 17.6 | -20.7 | 10.6 | 10.5 | -32.8 | 14.4 | 56.9 | -38.0 | Value |
| Graham--Defensive Investor (Utility) | 0.90 | 8.6 | 8.1 | 11.2 | 10.8 | 2.2 | 8.0 | 60.1 | -31.4 | 12.0 | -13.4 | 10.7 | 1.2 | 8.6 | 4.6 | 7.9 | -18.4 | Value |
| Schloss | 1.85 | 8.1 | 11.6 | 5.2 | 4.4 | 0.8 | 8.4 | 53.2 | -37.6 | 27.1 | -40.4 | 9.3 | 13.1 | -35.1 | 12.5 | 57.5 | -23.1 | Value |
| O'Neil's CAN SLIM Revised 3rd Edition | 1.84 | 10.0 | 15.0 | 5.9 | 12.2 | 0.0 | 5.4 | 39.6 | -27.8 | 52.7 | -26.7 | 11.7 | 7.3 | -30.1 | 42.7 | 16.8 | -26.3 | Growth With Price Momentum |
| Zweig | 1.79 | 12.5 | 19.2 | 16.8 | 2.1 | -9.7 | 9.4 | 30.5 | -54.4 | 32.7 | -24.2 | 6.6 | 6.4 | -18.3 | 12.8 | -13.3 | -33.9 | Growth & Value |
| Fisher (Philip) | 2.17 | 0.1 | 2.2 | -1.0 | -21.9 | -12.3 | -1.5 | 29.3 | -58.2 | 32.8 | -27.9 | -0.1 | -0.6 | -50.9 | 9.2 | 107.9 | -43.1 | Growth & Value |
| Kirkpatrick Value | 2.21 | 7.4 | 11.4 | 15.3 | -0.7 | -7.0 | 14.0 | -16.5 | -23.3 | 49.0 | -25.3 | 6.9 | 19.4 | -15.1 | -25.5 | -8.9 | -3.7 | Growth & Value |
| Muhlenkamp | 1.36 | 3.2 | 3.4 | -25.9 | -24.7 | -13.7 | -2.5 | -22.0 | -49.0 | 21.0 | -17.6 | -21.5 | -3.0 | -45.9 | 2.7 | 45.2 | -24.5 | Growth & Value With Price Momentum |
| MAGNET Complex | 2.73 | 6.8 | 11.6 | 12.0 | -7.2 | -21.7 | -5.8 | -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 |
