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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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: 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
