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