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 | ||||
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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'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--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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 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 |
| 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 | 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
