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 4/30/2013
| 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 | 14.5 | 25.6 | 132.0 | 44.4 | 38.7 | 34.1 | 756.2 | -53.6 | 43.1 | -42.0 | 70.2 | 91.7 | -36.4 | 138.8 | 34.6 | -35.3 | Value |
| Est Rev: Top 30 Up | 1.84 | 15.4 | 25.1 | 15.8 | 18.4 | 25.2 | 29.5 | 348.1 | -37.8 | 36.4 | -26.7 | 12.7 | 21.9 | -2.3 | 47.6 | 110.0 | -31.1 | Earnings Estimates |
| Est Rev: Up 5% | 1.75 | 17.6 | 27.9 | 18.6 | 20.2 | 24.1 | 29.7 | 279.6 | -23.4 | 30.8 | -21.7 | 6.4 | 28.8 | 6.1 | 35.9 | 86.3 | -18.4 | Earnings Estimates |
| Driehaus | 2.26 | 7.5 | 11.8 | 24.7 | 17.4 | 21.6 | 19.6 | 353.6 | -53.4 | 51.3 | -25.7 | 19.0 | 16.7 | -14.1 | 65.7 | 106.0 | -42.7 | Growth With Price Momentum |
| Stock Market Winners | 1.47 | 14.7 | 19.8 | 22.4 | 39.4 | 20.9 | 21.0 | 365.2 | -51.3 | 22.0 | -23.4 | 22.5 | 13.6 | 21.2 | 124.6 | -9.0 | -34.7 | Growth & Value With Price Momentum |
| Rule #1 Investing | 1.77 | 7.3 | 9.9 | 4.0 | 10.7 | 18.5 | 10.0 | 289.7 | -54.0 | 27.0 | -26.8 | 12.9 | 11.3 | -1.0 | 40.0 | 99.8 | -43.2 | Growth & Value |
| Price-to-Free-Cash-Flow | 1.77 | 11.3 | 16.9 | 18.3 | 7.5 | 18.1 | 17.8 | 445.9 | -62.8 | 51.2 | -31.7 | 19.5 | 1.1 | -7.0 | 39.2 | 147.2 | -41.5 | Value |
| Graham--Enterprising Investor Revised | 1.74 | 14.3 | 21.9 | -9.4 | 2.2 | 18.1 | 25.8 | 329.1 | -49.9 | 36.4 | -22.4 | 0.1 | -4.9 | -4.1 | 32.9 | 168.4 | -22.6 | Value |
| MAGNET Simple | 2.93 | 9.9 | 21.3 | -18.6 | 11.2 | 16.5 | 21.7 | 619.5 | -75.9 | 52.1 | -30.0 | -14.5 | -12.4 | 19.5 | 56.1 | 339.5 | -70.2 | Growth & Value With Price Momentum |
| Lakonishok | 1.19 | 12.0 | 13.6 | 15.1 | 13.5 | 16.1 | 18.4 | 174.8 | -32.5 | 16.6 | -17.9 | 12.1 | 7.5 | -0.6 | 32.7 | 53.5 | -23.7 | Value With Price Momentum |
| Dreman With Est Revisions | 1.36 | 12.2 | 15.1 | 14.5 | 21.0 | 15.3 | 19.3 | 215.9 | -39.9 | 21.4 | -26.2 | 11.6 | 13.0 | 21.6 | 26.5 | 62.9 | -37.1 | Earnings Estimates |
| Neff | 1.63 | 12.6 | 18.1 | 11.4 | 11.7 | 14.1 | 16.1 | 263.3 | -52.8 | 32.6 | -21.7 | 13.6 | 15.0 | -4.2 | 35.0 | 52.5 | -33.6 | Growth & Value |
| P/E Relative | 1.13 | 14.5 | 15.8 | 15.6 | 12.6 | 14.0 | 17.5 | 169.0 | -27.6 | 18.4 | -18.3 | 11.3 | 14.3 | -1.9 | 29.6 | 51.8 | -15.8 | Earnings Estimates |
| Templeton | 1.24 | 8.7 | 9.8 | 20.1 | 18.8 | 13.7 | 13.3 | 182.6 | -40.0 | 14.5 | -23.1 | 11.1 | 31.0 | 3.2 | 22.4 | 54.7 | -36.6 | Growth & Value |
| Graham--Defensive Investor (Non-Utility) | 1.37 | 13.4 | 16.8 | 14.8 | 14.8 | 13.5 | 18.8 | 250.1 | -52.1 | 25.8 | -17.3 | 5.7 | 18.9 | 7.0 | 31.4 | 57.9 | -32.0 | Value |
| O'Neil's CAN SLIM | 1.89 | 14.6 | 24.1 | 26.8 | 11.9 | 13.3 | 18.3 | 100.3 | -10.1 | 69.6 | -23.1 | 6.0 | 18.0 | -10.2 | -9.6 | 97.3 | -10.5 | Growth With Price Momentum |
| Buffett: Hagstrom | 1.11 | 12.7 | 13.7 | 10.0 | 17.6 | 11.5 | 14.9 | 176.5 | -39.8 | 13.2 | -19.0 | 14.8 | 13.0 | 8.2 | 27.7 | 30.0 | -25.8 | Growth & Value |
| IBD Stable 70 | 1.18 | 9.1 | 10.1 | 14.0 | 13.7 | 11.2 | 10.9 | 197.9 | -50.6 | 18.4 | -21.9 | 7.8 | 24.6 | 3.7 | 21.2 | 56.0 | -37.2 | Growth |
| Buffettology: Sustainable Growth | 1.28 | 8.9 | 10.3 | 13.4 | 8.9 | 11.0 | 12.5 | 177.0 | -41.9 | 16.5 | -20.4 | 12.7 | 8.8 | 0.7 | 18.4 | 68.0 | -28.9 | Growth & Value |
| Return on Equity | 1.28 | 10.3 | 12.0 | 2.6 | 9.2 | 9.7 | 12.3 | 144.5 | -47.2 | 14.6 | -22.2 | 6.1 | 10.1 | -5.7 | 32.0 | 40.0 | -33.8 | Growth |
| Weiss Blue Chip Div Yield | 1.22 | 9.2 | 10.4 | 10.8 | 15.2 | 9.6 | 12.0 | 156.7 | -43.1 | 16.0 | -16.8 | 2.4 | 19.2 | 7.6 | 26.9 | 27.9 | -26.2 | Value |
| Buffettology: EPS Growth | 1.22 | 8.6 | 9.7 | 13.9 | 13.6 | 9.4 | 11.8 | 194.1 | -48.4 | 15.1 | -20.8 | 11.8 | 17.4 | 3.8 | 20.5 | 57.5 | -36.9 | Growth & Value |
| S&P SmallCap 600 Growth (TR) | 1.31 | 7.0 | 8.0 | 15.9 | 14.8 | 9.4 | 12.3 | 182.9 | -51.1 | 17.0 | -21.7 | 11.3 | 14.9 | 4.1 | 28.0 | 30.7 | -32.2 | Indexes |
| T. Rowe Price | 1.67 | 7.0 | 9.0 | -7.1 | 25.3 | 9.1 | 12.8 | 322.0 | -62.5 | 33.5 | -20.0 | 9.3 | -15.0 | 117.4 | 11.9 | 40.1 | -47.8 | Growth & Value |
| S&P MidCap 400 Growth (TR) | 1.31 | 9.2 | 10.8 | 17.3 | 12.9 | 8.4 | 11.9 | 169.3 | -47.7 | 19.0 | -22.2 | 13.5 | 15.8 | -0.9 | 30.6 | 38.1 | -36.9 | Indexes |
| Kirkpatrick Growth | 2.16 | 9.6 | 16.1 | -8.5 | 1.4 | 8.3 | 19.5 | 96.5 | -38.7 | 64.1 | -23.1 | 10.3 | -9.8 | -11.6 | 15.3 | 80.2 | -34.0 | Growth With Price Momentum |
| NASDAQ 100 | 1.82 | 5.5 | 6.7 | 5.0 | 12.6 | 8.3 | 10.0 | 156.0 | -50.1 | 25.0 | -27.5 | 7.5 | 16.8 | 2.7 | 19.2 | 53.5 | -41.9 | Indexes |
| S&P MidCap 400 Value (TR) | 1.11 | 6.8 | 7.1 | 22.7 | 13.2 | 8.2 | 11.5 | 172.5 | -49.4 | 15.7 | -21.8 | 18.3 | 20.1 | -2.4 | 22.8 | 33.7 | -33.4 | Indexes |
| O'Shaughnessy: Small Cap Growth & Value | 1.50 | 13.2 | 17.8 | 36.9 | 18.9 | 8.0 | 20.3 | 138.5 | -50.6 | 18.5 | -18.2 | 18.3 | 30.3 | -0.3 | 26.1 | -3.3 | -32.4 | Value With Price Momentum |
| S&P SmallCap 600 Value (TR) | 1.22 | 6.6 | 7.2 | 18.8 | 11.4 | 7.7 | 11.0 | 161.0 | -51.0 | 18.4 | -19.6 | 11.7 | 17.8 | -1.2 | 24.7 | 20.6 | -28.9 | Indexes |
| Price-to-Sales | 1.32 | 12.1 | 14.7 | 10.0 | 10.5 | 7.6 | 13.6 | 185.4 | -55.1 | 18.3 | -20.6 | 9.9 | 11.3 | -2.6 | 29.6 | 47.1 | -38.5 | Growth & Value |
| Dividend Screen: Non-DRPs | 0.91 | 13.2 | 12.3 | 15.3 | 15.8 | 7.5 | 10.4 | 151.4 | -48.1 | 17.6 | -15.3 | 8.1 | 18.1 | 4.3 | 25.3 | 25.4 | -31.7 | Growth & Value |
| Kirkpatrick Bargain | 1.37 | 7.1 | 8.3 | 4.4 | 12.0 | 7.3 | 15.4 | 114.2 | -43.2 | 21.1 | -21.7 | 7.1 | 14.9 | 3.6 | 9.4 | 22.2 | -25.3 | Growth & Value |
| S&P 500 Growth (TR) | 1.10 | 4.1 | 4.1 | 14.0 | 13.6 | 7.0 | 7.7 | 132.8 | -44.4 | 10.8 | -16.5 | 11.6 | 14.6 | 4.7 | 15.0 | 31.6 | -33.9 | Indexes |
| O'Shaughnessy: Growth | 1.50 | 11.9 | 15.8 | 33.4 | 12.0 | 7.0 | 17.5 | 159.4 | -57.2 | 18.6 | -17.9 | 15.9 | 28.8 | -7.5 | 21.3 | 22.4 | -38.2 | Value With Price Momentum |
| S&P SmallCap 600 | 1.27 | 6.0 | 6.5 | 15.8 | 11.6 | 6.9 | 10.2 | 157.1 | -52.2 | 17.3 | -20.2 | 11.1 | 14.8 | -0.2 | 25.0 | 23.8 | -32.0 | Indexes |
| O'Shaughnessy: Tiny Titans | 1.93 | 14.1 | 23.6 | 38.4 | 2.4 | 6.8 | 18.0 | 193.3 | -67.3 | 37.4 | -21.0 | 30.2 | 20.0 | -22.9 | 21.1 | 71.1 | -56.4 | Value With Price Momentum |
| S&P MidCap 400 | 1.20 | 7.0 | 7.6 | 17.3 | 12.1 | 6.7 | 10.2 | 158.1 | -50.5 | 14.8 | -21.8 | 13.7 | 16.1 | -3.1 | 24.9 | 35.0 | -37.3 | Indexes |
| Dividend (High Relative Yield) | 0.95 | 7.8 | 7.6 | 12.8 | 10.9 | 6.5 | 7.7 | 109.8 | -40.4 | 12.5 | -14.2 | 9.3 | 9.8 | 3.0 | 19.4 | 16.4 | -21.4 | Growth & Value |
| All Exchange-Listed Stocks | 1.38 | 7.7 | 9.1 | 11.9 | 6.4 | 6.4 | 11.6 | 175.2 | -58.6 | 23.9 | -22.1 | 11.5 | 14.8 | -12.3 | 26.2 | 65.8 | -46.3 | Indexes |
| Magic Formula | 1.65 | 7.6 | 10.0 | 1.9 | -1.7 | 6.2 | 9.6 | 157.2 | -51.6 | 30.7 | -22.4 | 16.0 | 7.9 | -30.6 | 26.6 | 97.0 | -36.3 | Value |
| Inve$tWare Quality Growth | 1.25 | 5.4 | 5.7 | 4.5 | 7.9 | 6.0 | 8.2 | 122.8 | -44.7 | 18.2 | -22.0 | 6.3 | 19.7 | -9.4 | 17.3 | 39.6 | -24.1 | Growth |
| Value on the Move--PEG With Est Growth | 1.31 | 14.5 | 17.7 | 5.7 | 9.5 | 5.8 | 18.9 | 135.4 | -50.2 | 15.7 | -23.1 | 9.4 | 9.0 | -0.3 | 29.7 | 24.2 | -37.2 | Growth & Value With Price Momentum |
| Dreman | 1.25 | 8.7 | 9.8 | 19.6 | 10.1 | 5.7 | 9.5 | 150.2 | -55.0 | 23.9 | -22.2 | 14.2 | 20.6 | -11.7 | 22.7 | 37.2 | -34.9 | Growth & Value |
| Dividend Screen: DRPs | 1.10 | 7.4 | 7.7 | 11.0 | 9.8 | 5.5 | 6.7 | 153.9 | -50.4 | 20.5 | -18.2 | 6.7 | 10.9 | 1.9 | 19.8 | 29.4 | -24.2 | Growth & Value |
| Value on the Move--PEG With Hist Growth | 1.03 | 12.6 | 12.9 | 2.1 | 10.0 | 5.4 | 12.2 | 126.2 | -50.1 | 12.7 | -19.1 | 9.9 | 4.3 | 1.0 | 31.7 | 23.9 | -38.3 | Growth & Value With Price Momentum |
| Wanger (Revised) | 1.43 | 6.6 | 7.7 | 14.9 | 8.7 | 4.8 | 12.5 | 116.9 | -51.3 | 22.8 | -19.8 | 9.5 | 23.5 | -5.2 | 12.5 | 24.7 | -36.3 | Growth & Value |
| Murphy Technology | 2.78 | -18.4 | -4.0 | 32.2 | 9.3 | 4.7 | 2.9 | 145.9 | -58.3 | 58.5 | -44.9 | 17.8 | 42.3 | -29.8 | 40.0 | 28.8 | -49.7 | Growth & Value |
| Foolish Small Cap 8 Revised | 2.17 | 9.5 | 15.9 | 12.5 | -9.3 | 4.7 | 9.9 | 130.8 | -64.0 | 28.1 | -31.1 | 0.4 | 41.8 | -49.2 | 15.4 | 161.0 | -60.6 | Growth & Value |
| Graham--Defensive Investor (Utility) | 0.89 | 7.9 | 7.4 | 16.2 | 10.4 | 4.3 | 9.6 | 70.0 | -31.4 | 12.0 | -13.4 | 17.5 | 1.2 | 8.6 | 4.6 | 7.9 | -18.4 | Value |
| Graham--Enterprising Investor | 1.75 | 11.9 | 17.8 | -20.4 | 9.3 | 4.3 | 17.0 | 160.7 | -50.3 | 33.1 | -23.4 | 2.5 | 1.1 | -1.1 | 43.5 | 48.5 | -40.7 | Value |
| Oberweis Octagon | 1.92 | 8.6 | 12.9 | 29.3 | 13.6 | 4.2 | 16.0 | 211.9 | -70.6 | 24.6 | -23.2 | 20.6 | 32.6 | -14.7 | 78.4 | 2.1 | -56.8 | Growth & Value With Price Momentum |
| S&P 500 Value (TR) | 1.00 | 4.0 | 4.0 | 20.3 | 12.1 | 3.9 | 8.4 | 143.8 | -56.0 | 11.3 | -17.1 | 14.0 | 17.7 | -0.5 | 15.1 | 21.2 | -38.5 | Indexes |
| O'Shaughnessy: All Cap | 1.36 | 9.2 | 11.1 | 7.4 | 7.2 | 3.6 | 13.7 | 115.1 | -52.1 | 18.4 | -21.5 | 4.8 | 12.4 | -5.0 | 29.4 | 23.3 | -40.9 | Value With Price Momentum |
| Dual Cash Flow | 1.54 | 9.7 | 12.8 | 5.1 | -1.2 | 3.2 | 10.1 | 155.4 | -61.0 | 34.7 | -23.6 | 12.1 | 5.1 | -21.6 | 31.0 | 76.0 | -46.8 | Growth |
| Dow Jones 30 | 0.97 | 3.4 | 3.3 | 12.3 | 10.5 | 3.0 | 5.8 | 110.1 | -49.3 | 11.8 | -15.1 | 13.2 | 7.3 | 5.5 | 11.0 | 18.8 | -33.8 | Indexes |
| S&P 500 | 1.00 | 2.5 | 2.5 | 14.3 | 10.4 | 2.9 | 5.7 | 117.3 | -52.6 | 10.8 | -16.8 | 12.0 | 13.4 | 0.0 | 12.8 | 23.5 | -38.5 | Indexes |
| Lynch | 1.21 | 10.3 | 11.6 | -2.9 | -5.2 | 2.6 | 14.1 | 102.4 | -47.5 | 18.9 | -21.3 | 6.3 | 0.7 | -27.9 | 24.9 | 82.8 | -37.3 | Growth & Value |
| O'Neil's CAN SLIM No Float | 1.39 | 12.3 | 15.6 | 6.8 | 14.2 | 2.4 | 9.4 | 144.5 | -61.6 | 23.5 | -35.5 | 10.7 | 8.9 | -3.9 | 20.6 | 36.9 | -49.7 | Growth With Price Momentum |
| Foolish Small Cap 8 | 2.21 | 7.2 | 11.0 | 22.3 | -0.1 | 2.1 | 6.4 | 136.0 | -67.7 | 38.8 | -22.5 | 0.0 | 16.9 | -14.9 | 25.2 | 48.1 | -53.5 | Growth With Price Momentum |
| Dogs of the Dow | 1.23 | 0.7 | 1.3 | 21.1 | 17.6 | 1.2 | 3.3 | 193.8 | -69.0 | 17.1 | -23.4 | 18.2 | 9.6 | 10.7 | 19.4 | 8.1 | -45.4 | Value |
| Fundamental Rule of Thumb | 1.70 | 9.0 | 12.5 | -10.6 | -10.1 | 0.4 | 11.7 | 84.9 | -57.0 | 33.8 | -19.2 | 11.2 | -6.9 | -35.2 | 17.7 | 92.1 | -41.5 | Value |
| Est Rev: Down 5% | 1.96 | -4.6 | -0.4 | 0.5 | -2.3 | 0.4 | 4.9 | 142.0 | -63.8 | 33.5 | -30.5 | 9.3 | 9.2 | -31.1 | 30.3 | 76.0 | -47.8 | Earnings Estimates |
| Est Rev: Lowest 30 Down | 2.34 | -6.5 | -0.5 | 3.4 | -3.0 | 0.3 | 5.4 | 189.0 | -71.0 | 43.0 | -29.9 | 9.5 | 9.3 | -34.1 | 37.8 | 106.2 | -57.3 | Earnings Estimates |
| O'Neil's CAN SLIM Revised 3rd Edition | 1.84 | 9.6 | 14.3 | 4.0 | 6.5 | 0.2 | 6.1 | 35.7 | -27.8 | 52.7 | -26.7 | 8.6 | 7.3 | -30.1 | 42.7 | 16.8 | -26.3 | Growth With Price Momentum |
| O'Shaughnessy: Growth Market Leaders | 1.20 | 5.4 | 5.6 | 25.1 | 9.2 | -0.2 | 6.3 | 94.6 | -50.5 | 13.6 | -18.6 | 15.2 | 15.8 | -1.2 | 15.7 | 12.6 | -44.5 | Value With Price Momentum |
| Schloss | 1.85 | 7.8 | 11.0 | -3.4 | -0.2 | -0.2 | 9.9 | 45.3 | -37.6 | 27.1 | -40.4 | 3.7 | 13.1 | -35.1 | 12.5 | 57.5 | -23.1 | Value |
| Cash Rich Firms | 1.37 | 8.0 | 9.4 | 10.2 | -6.6 | -1.0 | 7.3 | 60.2 | -45.6 | 17.6 | -20.7 | 8.5 | 10.5 | -32.8 | 14.4 | 56.9 | -38.0 | Value |
| O'Shaughnessy: Value | 1.34 | 4.5 | 4.7 | 16.3 | 8.6 | -2.2 | 5.6 | 143.0 | -69.1 | 22.0 | -23.8 | 10.2 | 20.3 | -11.2 | 7.4 | 31.5 | -49.1 | Value |
| Insider Net Purchases | 1.82 | -6.0 | -1.5 | -4.3 | -10.9 | -5.6 | 1.0 | 80.5 | -65.5 | 27.8 | -27.2 | 7.2 | 11.5 | -31.4 | 7.4 | 59.0 | -51.7 | Specialty |
| Dogs of the Dow: Low Priced 5 | 1.59 | -1.7 | 0.4 | 23.0 | 21.1 | -6.0 | 0.3 | 238.5 | -82.9 | 27.6 | -34.8 | 17.2 | 15.7 | 13.1 | 17.3 | -7.7 | -58.7 | Value |
| Kirkpatrick Value | 2.21 | 7.2 | 11.0 | 13.9 | -5.9 | -6.5 | 16.7 | -13.3 | -23.3 | 49.0 | -25.3 | 11.0 | 19.4 | -15.1 | -25.5 | -8.9 | -3.7 | Growth & Value |
| Zweig | 1.79 | 12.3 | 18.9 | 7.2 | -2.2 | -9.2 | 10.4 | 27.1 | -54.4 | 32.7 | -24.2 | 3.8 | 6.4 | -18.3 | 12.8 | -13.3 | -33.9 | Growth & Value |
| ADR Screen | 1.46 | 5.6 | 6.3 | -13.5 | -2.1 | -9.4 | 7.2 | 66.7 | -68.7 | 31.1 | -29.7 | -2.7 | 1.4 | -25.9 | 18.8 | 53.2 | -58.7 | Growth & Value With Price Momentum |
| Fisher (Philip) | 2.17 | 0.1 | 2.2 | -9.4 | -24.0 | -9.7 | 0.4 | 34.3 | -58.2 | 32.8 | -27.9 | 3.7 | -0.6 | -50.9 | 9.2 | 107.9 | -43.1 | Growth & Value |
| Muhlenkamp | 1.36 | 4.8 | 5.1 | -31.4 | -28.7 | -13.1 | -2.1 | -22.4 | -49.0 | 21.0 | -17.6 | -21.9 | -3.0 | -45.9 | 2.7 | 45.2 | -24.5 | Growth & Value With Price Momentum |
| MAGNET Complex | 2.73 | 6.8 | 11.7 | -19.6 | -7.2 | -21.7 | -6.1 | -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 |
