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 | ||||
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
