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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 8/29/2014
Strategy Historical Annual
Risk & Return
Avg Ann'l Price Gain (%) Price Gain (%) Category
Risk
Index (X)
Risk Adj
Return (%)
Since
Inception
1 Yr 3 Yr 5 Yr 10 Yr
Bull Mkt
Bear Mkt
Best Worst YTD 2013 2012 2011 2010 2009
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 20.1 22.5 17.9 0.1 250.2 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
MAGNET Simple 2.98 9.7 16.0 -28.8 -19.5 5.3 13.2 291.1 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.32 -6.7 0.8 12.5 8.2 6.5 2.3 179.5 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Oberweis Octagon 1.91 10.5 14.1 20.8 23.4 19.5 10.5 244.2 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
O'Shaughnessy: Value 1.34 6.2 6.3 24.4 16.9 11.6 4.0 166.5 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Dogs of the Dow 1.22 2.4 3.2 16.7 18.1 16.9 3.0 201.3 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
ADR Screen 1.48 8.7 9.7 62.2 15.7 12.6 9.7 183.2 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.5 -13.8 -0.1 11.0 2.8 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.7 26.1 49.4 28.2 19.0 12.8 271.5 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Insider Net Purchases 1.87 -8.1 -1.3 -8.0 1.7 -2.7 -4.1 64.4 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
Foolish Small Cap 8 Revised 2.14 10.2 14.4 -2.1 -9.3 5.1 6.0 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Est Rev: Down 5% 1.95 -4.4 0.9 10.2 8.6 5.4 3.5 142.3 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Price-to-Free-Cash-Flow 1.77 14.7 21.1 46.7 31.7 28.1 19.5 784.7 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.9 11.2 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 7.1 12.3 14.7 8.1 186.1 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Dual Cash Flow 1.53 12.0 14.9 24.9 15.8 13.6 9.8 209.8 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
All Exchange-Listed Stocks 1.38 9.8 11.0 25.7 18.4 16.1 9.3 233.5 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
Murphy Technology 2.76 -12.2 -0.3 44.3 30.5 16.6 10.9 256.0 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Fisher (Philip) 2.20 3.0 4.9 24.6 9.8 -1.6 2.0 76.4 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
O'Shaughnessy: Growth 1.51 13.5 17.1 25.0 21.0 20.0 13.0 208.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Fundamental Rule of Thumb 1.71 10.6 13.6 14.1 4.1 2.2 9.4 96.0 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
S&P 500 Value (TR) 1.00 6.1 6.1 23.0 21.0 15.9 8.1 180.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
MAGNET Complex 2.71 8.5 11.9 20.1 -3.6 -6.5 -3.9 -30.5 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Price-to-Sales 1.32 13.4 15.7 18.5 15.8 17.4 11.7 224.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Dreman 1.25 10.2 11.1 17.0 19.5 15.0 8.4 142.3 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Zweig 1.85 13.4 19.3 29.6 15.7 6.6 6.3 64.1 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Rule #1 Investing 1.81 10.9 14.4 52.1 33.2 33.8 15.3 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Piotroski: High F-Score 2.06 18.2 30.6 34.4 54.1 40.4 27.4 1,056.0 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 Value
Driehaus 2.24 9.0 12.2 -7.9 10.7 19.0 18.8 327.9 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Neff 1.63 14.2 19.0 18.3 18.8 20.4 12.0 304.4 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
S&P 500 1.00 4.4 4.4 22.7 18.0 14.4 6.1 151.1 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
S&P SmallCap 600 1.27 7.8 8.2 17.5 19.2 17.4 9.3 202.1 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 16.1 20.1 20.8 18.3 302.4 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
O'Shaughnessy: All Cap 1.37 10.2 11.6 26.2 12.9 13.6 10.8 134.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Magic Formula 1.64 9.0 10.6 9.9 6.7 5.6 5.9 154.7 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Wanger (Revised) 1.43 8.9 10.0 29.9 24.4 18.8 12.1 184.6 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Stock Market Winners 1.46 15.9 20.2 5.1 15.2 32.3 15.0 372.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 8.9 9.6 16.2 19.7 19.5 11.2 234.3 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.4 8.8 17.1 20.5 17.3 9.7 203.0 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.52 14.5 18.8 14.0 23.1 19.2 15.6 169.8 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
IBD Stable 70 1.19 10.1 10.8 10.1 18.0 17.6 8.5 207.1 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 31.6 19.9 16.0 7.9 133.1 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P MidCap 400 1.20 8.7 9.2 21.5 18.0 17.1 9.6 194.1 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
Dividend Screen: DRPs 1.10 8.8 9.1 22.8 16.4 14.3 6.4 184.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Graham--Enterprising Investor 1.74 12.8 17.4 13.5 6.1 12.8 16.4 176.2 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
Value on the Move--PEG With Est Growth 1.33 16.6 20.0 25.5 23.0 22.1 16.3 251.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 14.1 14.5 18.3 14.8 19.6 11.6 190.7 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
NASDAQ 100 1.81 7.8 8.9 32.8 22.1 20.2 11.5 191.6 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
Graham--Enterprising Investor Revised 1.74 15.5 22.1 28.8 5.9 14.5 25.8 341.8 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
S&P MidCap 400 Value (TR) 1.11 8.8 9.1 25.5 22.6 18.9 11.1 225.7 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
Dow Jones 30 0.97 4.8 4.7 15.4 13.7 12.5 5.3 124.7 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
Muhlenkamp 1.54 -4.9 -0.9 -45.7 -28.7 -24.9 -11.4 -64.0 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Buffettology: EPS Growth 1.22 10.3 11.1 17.8 18.4 19.2 11.7 252.1 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Dividend Screen: Non-DRPs 0.91 13.7 13.1 18.3 17.6 15.2 8.5 197.7 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.8 12.2 18.8 20.7 19.0 11.7 216.0 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
Lynch 1.24 11.4 12.5 25.5 6.2 9.3 9.7 133.4 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Return on Equity 1.28 11.2 12.5 8.6 10.8 15.2 10.6 175.0 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Cash Rich Firms 1.37 10.4 11.8 32.9 19.7 10.1 7.3 116.4 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
Inve$tWare Quality Growth 1.26 7.3 7.5 21.7 17.0 15.4 8.8 176.5 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
S&P 500 Growth (TR) 1.10 6.3 6.3 27.5 20.3 17.9 8.9 184.0 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
Kirkpatrick Bargain 1.37 7.7 8.2 8.2 4.9 8.8 15.5 111.2 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.4 11.2 21.5 17.6 18.9 10.8 202.5 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Buffettology: Sustainable Growth 1.28 10.5 11.6 16.8 14.4 16.5 11.8 220.9 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Dividend (High Relative Yield) 0.97 9.7 9.6 25.8 20.2 16.7 7.6 166.6 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Templeton 1.26 10.0 10.9 6.9 23.5 18.3 11.8 207.3 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
Dreman With Est Revisions 1.36 13.8 16.4 31.4 26.4 22.1 17.0 277.3 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Buffett: Hagstrom 1.11 14.0 14.8 16.7 16.1 19.3 13.2 210.5 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
Kirkpatrick Growth 2.15 10.9 15.9 13.5 -7.9 4.4 17.1 101.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Est Rev: Top 30 Up 1.83 17.0 25.8 24.0 23.0 23.9 26.5 411.4 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Schloss 1.91 8.0 9.4 -18.7 1.5 -3.6 3.1 10.0 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
Lakonishok 1.20 13.1 14.4 23.4 15.4 16.7 15.3 209.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Graham--Defensive Investor (Utility) 0.92 8.2 8.1 13.4 8.6 8.5 7.8 70.6 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.8 48.0 23.1 17.3 9.7 145.6 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
P/E Relative 1.13 15.4 16.6 12.9 18.2 18.1 15.9 193.2 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Est Rev: Up 5% 1.76 18.4 27.3 16.3 22.7 22.1 26.0 310.2 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Kirkpatrick Value 2.21 8.5 10.8 -3.7 -6.4 -3.4 13.5 -11.0 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
O'Neil's CAN SLIM 1.91 16.2 25.0 37.8 19.2 8.5 19.0 183.7 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum