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 |
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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'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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
