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