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