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