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 2/28/2013
| 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 | ||||
| MAGNET Complex | 2.74 | 6.9 | 11.8 | -19.6 | -7.2 | -21.7 | -4.4 | -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 |
| Dogs of the Dow: Low Priced 5 | 1.59 | -1.7 | 0.4 | 21.5 | 19.3 | -7.2 | 0.6 | 214.6 | -82.9 | 27.6 | -34.8 | 9.0 | 15.7 | 13.1 | 17.3 | -7.7 | -58.7 | Value |
| Muhlenkamp | 1.34 | 4.8 | 5.1 | -12.9 | -19.0 | -9.0 | 1.5 | -2.7 | -49.0 | 21.0 | -17.6 | -2.1 | -3.0 | -45.9 | 2.7 | 45.2 | -24.5 | Growth & Value With Price Momentum |
| Insider Net Purchases | 1.81 | -6.0 | -1.6 | 4.4 | -5.9 | -5.9 | 2.1 | 81.5 | -65.5 | 27.8 | -27.2 | 7.7 | 11.5 | -31.4 | 7.4 | 59.0 | -51.7 | Specialty |
| Fisher (Philip) | 2.16 | 0.2 | 2.2 | -9.1 | -18.0 | -6.2 | 2.8 | 50.3 | -58.2 | 32.8 | -27.9 | 16.2 | -0.6 | -50.9 | 9.2 | 107.9 | -43.1 | Growth & Value |
| Dogs of the Dow | 1.23 | 0.8 | 1.4 | 14.7 | 15.8 | -0.2 | 3.2 | 168.6 | -69.0 | 17.1 | -23.4 | 8.1 | 9.6 | 10.7 | 19.4 | 8.1 | -45.4 | Value |
| Murphy Technology | 2.79 | -18.5 | -4.1 | 20.5 | 11.4 | 3.9 | 4.5 | 118.1 | -58.3 | 58.5 | -44.9 | 4.5 | 42.3 | -29.8 | 40.0 | 28.8 | -49.7 | Growth & Value |
| Dow Jones 30 | 0.97 | 3.4 | 3.4 | 8.5 | 10.8 | 2.8 | 5.9 | 99.0 | -49.3 | 11.8 | -15.1 | 7.3 | 7.3 | 5.5 | 11.0 | 18.8 | -33.8 | Indexes |
| S&P 500 | 1.00 | 2.6 | 2.6 | 10.9 | 11.1 | 2.6 | 6.1 | 106.1 | -52.6 | 10.8 | -16.8 | 6.2 | 13.4 | 0.0 | 12.8 | 23.5 | -38.5 | Indexes |
| O'Shaughnessy: Growth Market Leaders | 1.19 | 5.4 | 5.7 | 16.6 | 11.9 | -1.3 | 6.4 | 78.7 | -50.5 | 13.6 | -18.6 | 5.8 | 15.8 | -1.2 | 15.7 | 12.6 | -44.5 | Value With Price Momentum |
| O'Shaughnessy: Value | 1.35 | 4.6 | 4.8 | 10.4 | 9.0 | -2.5 | 6.4 | 136.4 | -69.1 | 22.0 | -23.8 | 7.1 | 20.3 | -11.2 | 7.4 | 31.5 | -49.1 | Value |
| Est Rev: Down 5% | 1.96 | -4.6 | -0.4 | -2.7 | 2.8 | 1.0 | 6.7 | 138.8 | -63.8 | 33.5 | -30.5 | 7.8 | 9.2 | -31.1 | 30.3 | 76.0 | -47.8 | Earnings Estimates |
| O'Neil's CAN SLIM Revised 3rd Edition | 1.85 | 9.7 | 14.5 | 9.5 | 10.2 | 3.4 | 7.2 | 36.9 | -27.8 | 52.7 | -26.7 | 9.5 | 7.3 | -30.1 | 42.7 | 16.8 | -26.3 | Growth With Price Momentum |
| Est Rev: Lowest 30 Down | 1.60 | -0.7 | 1.1 | 8.7 | 10.5 | 6.0 | 7.5 | 166.8 | -59.9 | 25.0 | -25.3 | 10.3 | 13.6 | -15.2 | 26.8 | 57.6 | -42.6 | Earnings Estimates |
| Dividend Screen: DRPs | 1.10 | 7.4 | 7.8 | 10.2 | 12.4 | 6.9 | 7.5 | 151.8 | -50.4 | 20.5 | -18.2 | 5.8 | 10.9 | 1.9 | 19.8 | 29.4 | -24.2 | Growth & Value |
| S&P 500 Growth (TR) | 1.10 | 4.1 | 4.1 | 11.0 | 14.0 | 6.9 | 8.0 | 119.8 | -44.4 | 10.8 | -16.5 | 5.4 | 14.6 | 4.7 | 15.0 | 31.6 | -33.9 | Indexes |
| Dividend (High Relative Yield) | 0.95 | 7.9 | 7.7 | 13.4 | 12.6 | 6.7 | 8.1 | 105.1 | -40.4 | 12.5 | -14.2 | 6.9 | 9.8 | 3.0 | 19.4 | 16.4 | -21.4 | Growth & Value |
| Cash Rich Firms | 1.37 | 8.0 | 9.6 | 6.3 | -5.3 | -0.6 | 8.4 | 57.0 | -45.6 | 17.6 | -20.7 | 6.3 | 10.5 | -32.8 | 14.4 | 56.9 | -38.0 | Value |
| S&P 500 Value (TR) | 1.00 | 4.1 | 4.1 | 16.2 | 13.0 | 3.5 | 8.7 | 130.9 | -56.0 | 11.3 | -17.1 | 7.9 | 17.7 | -0.5 | 15.1 | 21.2 | -38.5 | Indexes |
| ADR Screen | 1.46 | 5.6 | 6.4 | -15.6 | -3.4 | -9.3 | 9.0 | 64.2 | -68.7 | 31.1 | -29.7 | -4.1 | 1.4 | -25.9 | 18.8 | 53.2 | -58.7 | Growth & Value With Price Momentum |
| Foolish Small Cap 8 | 2.21 | 7.2 | 11.2 | 8.3 | 3.7 | 3.0 | 9.2 | 136.0 | -67.7 | 38.8 | -22.5 | 0.0 | 16.9 | -14.9 | 25.2 | 48.1 | -53.5 | Growth With Price Momentum |
| Inve$tWare Quality Growth | 1.25 | 5.4 | 5.8 | 0.7 | 8.5 | 8.4 | 9.3 | 119.2 | -44.7 | 18.2 | -22.0 | 4.6 | 19.7 | -9.4 | 17.3 | 39.6 | -24.1 | Growth |
| Graham--Defensive Investor (Utility) | 0.89 | 8.0 | 7.5 | 9.4 | 9.2 | 3.6 | 9.6 | 55.1 | -31.4 | 12.0 | -13.4 | 7.2 | 1.2 | 8.6 | 4.6 | 7.9 | -18.4 | Value |
| Dreman | 1.25 | 8.8 | 10.0 | 7.5 | 10.2 | 4.3 | 9.7 | 128.1 | -55.0 | 23.9 | -22.2 | 4.1 | 20.6 | -11.7 | 22.7 | 37.2 | -34.9 | Growth & Value |
| Magic Formula | 1.65 | 7.7 | 10.1 | 0.3 | 0.1 | 4.9 | 10.2 | 140.3 | -51.6 | 30.7 | -22.4 | 8.4 | 7.9 | -30.6 | 26.6 | 97.0 | -36.3 | Value |
| O'Neil's CAN SLIM No Float | 1.39 | 12.5 | 15.8 | 7.3 | 16.4 | 0.6 | 10.2 | 135.9 | -61.6 | 23.5 | -35.5 | 6.8 | 8.9 | -3.9 | 20.6 | 36.9 | -49.7 | Growth With Price Momentum |
| Schloss | 1.85 | 7.8 | 11.1 | -0.3 | 0.6 | -0.5 | 10.4 | 44.1 | -37.6 | 27.1 | -40.4 | 2.8 | 13.1 | -35.1 | 12.5 | 57.5 | -23.1 | Value |
| S&P MidCap 400 | 1.22 | 7.0 | 7.7 | 12.8 | 14.3 | 6.9 | 10.5 | 145.3 | -50.5 | 14.8 | -21.8 | 8.1 | 16.1 | -3.1 | 24.9 | 35.0 | -37.3 | Indexes |
| NASDAQ 100 | 1.82 | 5.5 | 6.7 | 4.4 | 14.6 | 9.4 | 10.5 | 145.2 | -50.1 | 25.0 | -27.5 | 2.9 | 16.8 | 2.7 | 19.2 | 53.5 | -41.9 | Indexes |
| S&P SmallCap 600 | 1.27 | 6.0 | 6.6 | 13.2 | 15.1 | 7.0 | 10.8 | 147.8 | -52.2 | 17.3 | -20.2 | 7.1 | 14.8 | -0.2 | 25.0 | 23.8 | -32.0 | Indexes |
| Dividend Screen: Non-DRPs | 0.91 | 13.3 | 12.5 | 16.3 | 16.8 | 7.4 | 10.9 | 144.1 | -48.1 | 17.6 | -15.3 | 4.9 | 18.1 | 4.3 | 25.3 | 25.4 | -31.7 | Growth & Value |
| Rule #1 Investing | 1.77 | 7.4 | 10.0 | -4.5 | 11.3 | 15.3 | 11.0 | 262.1 | -54.0 | 27.0 | -26.8 | 4.9 | 11.3 | -1.0 | 40.0 | 99.8 | -43.2 | Growth & Value |
| Dual Cash Flow | 1.54 | 9.8 | 13.0 | 4.4 | 3.8 | 3.0 | 11.1 | 148.9 | -61.0 | 34.7 | -23.6 | 9.2 | 5.1 | -21.6 | 31.0 | 76.0 | -46.8 | Growth |
| S&P SmallCap 600 Value (TR) | 1.22 | 6.7 | 7.3 | 15.1 | 15.1 | 7.6 | 11.5 | 150.5 | -51.0 | 18.4 | -19.6 | 7.2 | 17.8 | -1.2 | 24.7 | 20.6 | -28.9 | Indexes |
| Foolish Small Cap 8 Revised | 2.17 | 9.6 | 16.1 | 42.3 | -8.5 | 1.8 | 11.5 | 130.8 | -64.0 | 28.1 | -31.1 | 0.4 | 41.8 | -49.2 | 15.4 | 161.0 | -60.6 | Growth & Value |
| S&P MidCap 400 Value (TR) | 1.11 | 6.9 | 7.2 | 18.6 | 15.4 | 8.8 | 11.7 | 159.1 | -49.4 | 15.7 | -21.8 | 9.2 | 20.1 | -2.4 | 22.8 | 33.7 | -33.4 | Indexes |
| Zweig | 1.79 | 12.4 | 19.1 | 6.3 | -2.1 | -8.4 | 11.8 | 25.8 | -54.4 | 32.7 | -24.2 | 2.7 | 6.4 | -18.3 | 12.8 | -13.3 | -33.9 | Growth & Value |
| IBD Stable 70 | 1.18 | 9.2 | 10.2 | 16.1 | 16.6 | 11.9 | 11.9 | 186.9 | -50.6 | 18.4 | -21.9 | 3.9 | 24.6 | 3.7 | 21.2 | 56.0 | -37.2 | Growth |
| Buffettology: EPS Growth | 1.22 | 8.7 | 9.8 | 10.8 | 15.7 | 9.9 | 12.2 | 177.9 | -48.4 | 15.1 | -20.8 | 5.7 | 17.4 | 3.8 | 20.5 | 57.5 | -36.9 | Growth & Value |
| T. Rowe Price | 1.67 | 7.1 | 9.1 | -15.0 | 25.9 | 9.4 | 12.2 | 286.2 | -62.5 | 33.5 | -20.0 | 0.0 | -15.0 | 117.4 | 11.9 | 40.1 | -47.8 | Growth & Value |
| All Exchange-Listed Stocks | 1.38 | 7.8 | 9.2 | 8.8 | 10.1 | 5.6 | 12.4 | 165.5 | -58.6 | 23.9 | -22.1 | 7.6 | 14.8 | -12.3 | 26.2 | 65.8 | -46.3 | Indexes |
| S&P MidCap 400 Growth (TR) | 1.31 | 9.3 | 10.9 | 14.6 | 16.5 | 8.9 | 12.5 | 159.0 | -47.7 | 19.0 | -22.2 | 7.4 | 15.8 | -0.9 | 30.6 | 38.1 | -36.9 | Indexes |
| Value on the Move--PEG With Hist Growth | 1.03 | 12.7 | 13.0 | 2.6 | 12.2 | 5.2 | 12.8 | 119.0 | -50.1 | 12.7 | -19.1 | 6.4 | 4.3 | 1.0 | 31.7 | 23.9 | -38.3 | Growth & Value With Price Momentum |
| S&P SmallCap 600 Growth (TR) | 1.31 | 7.1 | 8.0 | 14.2 | 18.2 | 9.7 | 12.9 | 172.8 | -51.1 | 17.0 | -21.7 | 7.3 | 14.9 | 4.1 | 28.0 | 30.7 | -32.2 | Indexes |
| Buffettology: Sustainable Growth | 1.28 | 9.0 | 10.4 | 5.1 | 10.6 | 11.1 | 13.3 | 159.5 | -41.9 | 16.5 | -20.4 | 5.6 | 8.8 | 0.7 | 18.4 | 68.0 | -28.9 | Growth & Value |
| Return on Equity | 1.28 | 10.4 | 12.1 | 0.2 | 13.0 | 9.1 | 13.5 | 144.0 | -47.2 | 14.6 | -22.2 | 5.9 | 10.1 | -5.7 | 32.0 | 40.0 | -33.8 | Growth |
| Fundamental Rule of Thumb | 1.70 | 9.1 | 12.6 | -13.2 | -6.9 | -0.1 | 13.6 | 86.4 | -57.0 | 33.8 | -19.2 | 12.1 | -6.9 | -35.2 | 17.7 | 92.1 | -41.5 | Value |
| Wanger (Revised) | 1.43 | 6.7 | 7.8 | 16.7 | 13.3 | 5.8 | 13.7 | 114.0 | -51.3 | 22.8 | -19.8 | 8.0 | 23.5 | -5.2 | 12.5 | 24.7 | -36.3 | Growth & Value |
| Templeton | 1.24 | 8.7 | 9.9 | 16.7 | 18.7 | 12.9 | 13.7 | 162.6 | -40.0 | 14.5 | -23.1 | 3.3 | 31.0 | 3.2 | 22.4 | 54.7 | -36.6 | Growth & Value |
| Weiss Blue Chip Div Yield | 1.22 | 9.3 | 10.5 | 19.4 | 19.8 | 12.0 | 13.8 | 165.5 | -43.1 | 16.0 | -16.8 | 5.9 | 19.2 | 7.6 | 26.9 | 27.9 | -26.2 | Value |
| Price-to-Sales | 1.32 | 12.2 | 14.9 | 8.0 | 14.2 | 7.3 | 14.0 | 176.1 | -55.1 | 18.3 | -20.6 | 6.3 | 11.3 | -2.6 | 29.6 | 47.1 | -38.5 | Growth & Value |
| O'Shaughnessy: All Cap | 1.36 | 9.3 | 11.2 | -2.6 | 10.7 | 3.2 | 14.6 | 115.5 | -52.1 | 18.4 | -21.5 | 4.9 | 12.4 | -5.0 | 29.4 | 23.3 | -40.9 | Value With Price Momentum |
| Lynch | 1.21 | 10.4 | 11.8 | -9.9 | -2.1 | 2.1 | 14.7 | 101.2 | -47.5 | 18.9 | -21.3 | 5.6 | 0.7 | -27.9 | 24.9 | 82.8 | -37.3 | Growth & Value |
| Oberweis Octagon | 1.92 | 8.7 | 13.0 | 45.4 | 18.9 | 3.3 | 14.9 | 204.3 | -70.6 | 24.6 | -23.2 | 17.7 | 32.6 | -14.7 | 78.4 | 2.1 | -56.8 | Growth & Value With Price Momentum |
| Buffett: Hagstrom | 1.11 | 12.9 | 13.9 | 5.4 | 18.4 | 10.5 | 15.0 | 155.6 | -39.8 | 13.2 | -19.0 | 6.1 | 13.0 | 8.2 | 27.7 | 30.0 | -25.8 | Growth & Value |
| Kirkpatrick Bargain | 1.37 | 7.2 | 8.4 | 7.5 | 14.1 | 8.4 | 15.9 | 112.5 | -43.2 | 21.1 | -21.7 | 6.3 | 14.9 | 3.6 | 9.4 | 22.2 | -25.3 | Growth & Value |
| Neff | 1.63 | 12.8 | 18.3 | 2.1 | 13.5 | 12.7 | 15.9 | 228.6 | -52.8 | 32.6 | -21.7 | 2.8 | 15.0 | -4.2 | 35.0 | 52.5 | -33.6 | Growth & Value |
| Kirkpatrick Value | 2.21 | 7.2 | 11.1 | 17.8 | -3.5 | -8.4 | 16.7 | -13.9 | -23.3 | 49.0 | -25.3 | 10.2 | 19.4 | -15.1 | -25.5 | -8.9 | -3.7 | Growth & Value |
| Graham--Enterprising Investor | 1.75 | 12.0 | 18.0 | -25.3 | 12.5 | 3.6 | 16.9 | 142.6 | -50.3 | 33.1 | -23.4 | -4.6 | 1.1 | -1.1 | 43.5 | 48.5 | -40.7 | Value |
| Price-to-Free-Cash-Flow | 1.77 | 11.4 | 17.1 | -2.7 | 9.8 | 15.1 | 17.4 | 388.4 | -62.8 | 51.2 | -31.7 | 6.9 | 1.1 | -7.0 | 39.2 | 147.2 | -41.5 | Value |
| O'Shaughnessy: Tiny Titans | 1.92 | 14.3 | 23.8 | 23.4 | 5.1 | 1.8 | 17.9 | 146.4 | -67.3 | 37.4 | -21.0 | 9.4 | 20.0 | -22.9 | 21.1 | 71.1 | -56.4 | Value With Price Momentum |
| O'Shaughnessy: Growth | 1.50 | 12.0 | 16.0 | 34.0 | 17.4 | 6.6 | 18.5 | 147.9 | -57.2 | 18.6 | -17.9 | 10.8 | 28.8 | -7.5 | 21.3 | 22.4 | -38.2 | Value With Price Momentum |
| Est Rev: Top 30 Up | 1.26 | 13.2 | 15.7 | 9.5 | 16.7 | 12.9 | 18.7 | 170.7 | -40.1 | 14.4 | -18.6 | 6.5 | 14.1 | 2.1 | 28.8 | 53.9 | -31.2 | Earnings Estimates |
| P/E Relative | 1.13 | 14.6 | 16.0 | 13.2 | 15.3 | 15.8 | 18.7 | 162.0 | -27.6 | 18.4 | -18.3 | 8.4 | 14.3 | -1.9 | 29.6 | 51.8 | -15.8 | Earnings Estimates |
| Lakonishok | 1.19 | 12.2 | 13.7 | 9.2 | 16.6 | 16.4 | 19.3 | 165.5 | -32.5 | 16.6 | -17.9 | 8.4 | 7.5 | -0.6 | 32.7 | 53.5 | -23.7 | Value With Price Momentum |
| Graham--Defensive Investor (Non-Utility) | 1.37 | 13.5 | 17.0 | 9.7 | 19.8 | 14.1 | 20.0 | 243.1 | -52.1 | 25.8 | -17.3 | 3.6 | 18.9 | 7.0 | 31.4 | 57.9 | -32.0 | Value |
| Dreman With Est Revisions | 1.36 | 12.3 | 15.3 | 6.3 | 22.3 | 14.5 | 20.4 | 198.1 | -39.9 | 21.4 | -26.2 | 5.4 | 13.0 | 21.6 | 26.5 | 62.9 | -37.1 | Earnings Estimates |
| O'Neil's CAN SLIM | 1.89 | 14.8 | 24.4 | 20.5 | 14.0 | 14.3 | 20.4 | 111.8 | -10.1 | 69.6 | -23.1 | 12.1 | 18.0 | -10.2 | -9.6 | 97.3 | -10.5 | Growth With Price Momentum |
| Value on the Move--PEG With Est Growth | 1.31 | 14.6 | 17.9 | 6.8 | 12.5 | 6.6 | 20.6 | 132.5 | -50.2 | 15.7 | -23.1 | 8.0 | 9.0 | -0.3 | 29.7 | 24.2 | -37.2 | Growth & Value With Price Momentum |
| O'Shaughnessy: Small Cap Growth & Value | 1.50 | 13.4 | 18.1 | 30.1 | 19.3 | 5.4 | 20.6 | 116.4 | -50.6 | 18.5 | -18.2 | 7.4 | 30.3 | -0.3 | 26.1 | -3.3 | -32.4 | Value With Price Momentum |
| Stock Market Winners | 1.47 | 14.9 | 20.1 | 16.7 | 41.2 | 17.0 | 20.7 | 316.3 | -51.3 | 22.0 | -23.4 | 9.6 | 13.6 | 21.2 | 124.6 | -9.0 | -34.7 | Growth & Value With Price Momentum |
| Kirkpatrick Growth | 2.17 | 9.7 | 16.3 | -5.4 | 2.5 | 6.2 | 20.9 | 90.5 | -38.7 | 64.1 | -23.1 | 6.9 | -9.8 | -11.6 | 15.3 | 80.2 | -34.0 | Growth With Price Momentum |
| Driehaus | 2.26 | 7.5 | 11.9 | 17.6 | 21.4 | 21.3 | 21.0 | 325.5 | -53.4 | 51.3 | -25.7 | 11.6 | 16.7 | -14.1 | 65.7 | 106.0 | -42.7 | Growth With Price Momentum |
| Graham--Enterprising Investor Revised | 1.74 | 14.4 | 22.2 | -9.1 | 7.4 | 21.2 | 28.4 | 358.7 | -49.9 | 36.4 | -22.4 | 7.0 | -4.9 | -4.1 | 32.9 | 168.4 | -22.6 | Value |
| MAGNET Simple | 2.91 | 10.0 | 21.6 | -0.6 | 22.6 | 22.2 | 29.0 | 825.1 | -75.9 | 52.1 | -30.0 | 9.9 | -12.4 | 19.5 | 56.1 | 339.5 | -70.2 | Growth & Value With Price Momentum |
| Est Rev: Up 5% | 1.75 | 17.8 | 28.3 | 20.0 | 23.8 | 24.5 | 30.6 | 270.4 | -23.4 | 30.8 | -21.7 | 3.9 | 28.8 | 6.1 | 35.9 | 86.3 | -18.4 | Earnings Estimates |
| Piotroski: High F-Score | 2.06 | 14.6 | 25.9 | 104.5 | 45.3 | 33.5 | 33.3 | 636.2 | -53.6 | 43.1 | -42.0 | 46.4 | 91.7 | -36.4 | 138.8 | 34.6 | -35.3 | Value |
