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 | ||||
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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'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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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'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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
