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 | ||||
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 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 |
| 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 |
