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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 9/30/2014
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
O'Neil's CAN SLIM 1.91 16.2 25.1 34.7 25.5 7.7 19.1 178.2 -10.1 69.6 -23.1 37.5 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Kirkpatrick Value 2.21 8.1 10.1 -22.3 -0.1 -3.2 11.2 -14.3 -23.3 49.0 -25.3 -16.7 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Est Rev: Up 5% 1.76 18.2 27.1 8.1 27.8 20.2 24.8 315.7 -23.4 30.8 -21.7 -0.6 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
P/E Relative 1.13 15.1 16.2 4.3 20.9 16.1 14.8 186.0 -27.6 18.4 -18.3 0.8 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.7 18.1 45.1 28.8 16.6 10.1 132.1 -27.8 52.7 -26.7 34.2 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Graham--Defensive Investor (Utility) 0.93 7.7 7.7 4.3 7.4 6.9 7.0 76.7 -31.4 12.0 -13.4 4.0 10.0 1.2 8.6 4.6 7.9 Value
Lakonishok 1.20 12.8 14.1 12.7 17.6 14.0 14.3 205.2 -32.5 16.6 -17.9 2.4 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Schloss 1.91 7.9 9.1 -23.3 2.1 -4.1 3.2 9.3 -37.6 27.1 -40.4 -24.9 16.7 13.1 -35.1 12.5 57.5 Value
Est Rev: Top 30 Up 1.83 16.8 25.3 13.5 27.0 21.1 25.0 427.8 -37.8 36.4 -26.7 0.4 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Kirkpatrick Growth 2.15 10.6 15.2 -5.5 -3.8 3.1 15.0 108.9 -38.7 64.1 -23.1 -7.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Buffett: Hagstrom 1.11 13.7 14.5 8.8 18.8 17.2 12.6 208.3 -39.8 13.2 -19.0 0.0 35.4 13.0 8.2 27.7 30.0 Growth & Value
Dreman With Est Revisions 1.36 13.6 16.1 24.5 27.8 20.4 15.8 283.1 -39.9 21.4 -26.2 3.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Templeton 1.26 9.8 10.6 0.5 25.8 16.2 11.2 217.7 -40.0 14.5 -23.1 0.3 29.4 31.0 3.2 22.4 54.7 Growth & Value
Dividend (High Relative Yield) 0.97 9.3 9.2 14.7 21.6 14.8 7.0 174.4 -40.4 12.5 -14.2 1.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
Buffettology: Sustainable Growth 1.28 10.2 11.3 6.5 17.8 13.4 10.9 221.2 -41.9 16.5 -20.4 -1.4 35.8 8.8 0.7 18.4 68.0 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.2 11.0 12.3 20.0 16.9 10.6 203.3 -43.1 16.0 -16.8 4.6 21.3 19.2 7.6 26.9 27.9 Value
Kirkpatrick Bargain 1.37 7.5 7.9 0.0 8.4 6.9 14.0 111.6 -43.2 21.1 -21.7 -1.2 7.3 14.9 3.6 9.4 22.2 Growth & Value
S&P 500 Growth (TR) 1.10 6.2 6.2 21.6 22.6 16.6 8.7 175.6 -44.4 10.8 -16.5 9.4 35.5 14.6 4.7 15.0 31.6 Indexes
Inve$tWare Quality Growth 1.26 7.2 7.4 14.8 20.1 13.3 8.5 158.2 -44.7 18.2 -22.0 9.0 30.4 19.7 -9.4 17.3 39.6 Growth
Cash Rich Firms 1.38 9.9 11.2 13.5 22.1 6.7 5.9 113.2 -45.6 17.6 -20.7 9.1 36.6 10.5 -32.8 14.4 56.9 Value
Return on Equity 1.29 10.9 12.1 -4.7 13.1 11.7 9.5 180.1 -47.2 14.6 -22.2 -10.8 34.2 10.1 -5.7 32.0 40.0 Growth
Lynch 1.24 11.0 12.0 4.7 7.5 5.9 7.7 161.2 -47.5 18.9 -21.3 -0.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.6 11.8 5.8 22.9 16.3 10.7 220.6 -47.7 19.0 -22.2 1.6 32.8 15.8 -0.9 30.6 38.1 Indexes
Dividend Screen: Non-DRPs 0.92 13.2 12.7 7.1 17.5 13.9 7.7 199.5 -48.1 17.6 -15.3 1.8 22.2 18.1 4.3 25.3 25.4 Growth & Value
Buffettology: EPS Growth 1.22 10.1 10.8 7.2 21.1 16.1 10.8 253.3 -48.4 15.1 -20.8 -1.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
Muhlenkamp 1.55 -6.5 -1.8 -56.6 -29.1 -27.9 -13.4 -60.3 -49.0 21.0 -26.2 -60.0 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Dow Jones 30 0.97 4.7 4.7 12.6 16.0 11.9 5.4 121.1 -49.3 11.8 -15.1 2.8 26.5 7.3 5.5 11.0 18.8 Indexes
S&P MidCap 400 Value (TR) 1.12 8.5 8.7 13.5 25.1 16.4 10.2 223.4 -49.4 15.7 -21.8 4.9 34.3 20.1 -2.4 22.8 33.7 Indexes
Graham--Enterprising Investor Revised 1.75 15.0 21.4 14.6 10.7 11.4 24.4 289.1 -49.9 36.4 -22.4 21.3 2.1 -4.9 -4.1 32.9 168.4 Value
NASDAQ 100 1.80 7.8 8.8 25.8 23.7 18.7 11.1 175.0 -50.1 25.0 -27.5 12.7 35.0 16.8 2.7 19.2 53.5 Indexes
Value on the Move--PEG With Hist Growth 1.06 13.8 14.2 8.0 16.9 17.4 10.6 191.1 -50.1 12.7 -19.1 -2.9 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.2 19.5 11.4 24.9 18.0 14.9 236.0 -50.2 15.7 -23.1 2.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.75 12.4 16.8 0.0 3.3 9.4 15.2 166.0 -50.3 33.1 -23.4 -0.7 9.6 1.1 -1.1 43.5 48.5 Value
Dividend Screen: DRPs 1.10 8.5 8.7 13.1 17.1 12.5 5.8 180.7 -50.4 20.5 -18.2 3.1 26.1 10.9 1.9 19.8 29.4 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 7.3 7.4 15.3 23.2 14.7 7.1 137.3 -50.5 13.6 -18.6 -3.3 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P MidCap 400 1.20 8.4 8.8 10.2 20.6 14.7 8.7 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
IBD Stable 70 1.19 10.0 10.6 4.0 20.0 15.7 8.0 214.0 -50.6 18.4 -21.9 -7.2 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.4 0.7 27.0 16.8 14.4 169.6 -50.6 18.5 -18.2 -6.8 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.0 8.3 3.4 22.6 14.9 8.5 205.4 -51.0 18.4 -19.6 -2.6 35.6 17.8 -1.2 24.7 20.6 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.6 9.2 4.6 21.7 17.1 10.1 241.7 -51.1 17.0 -21.7 -4.9 42.6 14.9 4.1 28.0 30.7 Indexes
Wanger (Revised) 1.44 8.7 9.6 14.7 26.7 16.2 10.9 185.5 -51.3 22.8 -19.8 -2.0 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Stock Market Winners 1.46 15.9 20.3 3.3 17.1 32.9 14.0 390.2 -51.3 22.0 -23.4 1.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Magic Formula 1.65 8.6 9.9 -1.5 10.6 2.6 4.3 161.4 -51.6 30.7 -22.4 -11.3 27.9 7.9 -30.6 26.6 97.0 Value
O'Shaughnessy: All Cap 1.38 9.8 11.1 14.5 16.7 11.2 8.9 126.1 -52.1 18.4 -21.5 -1.8 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.1 16.9 1.9 21.5 17.6 17.2 297.8 -52.1 25.8 -17.3 -5.2 33.9 18.9 7.0 31.4 57.9 Value
S&P SmallCap 600 1.27 7.5 7.8 4.5 21.3 14.9 8.1 207.0 -52.2 17.3 -20.2 -4.6 39.7 14.8 -0.2 25.0 23.8 Indexes
S&P 500 1.00 4.3 4.3 17.3 20.3 13.3 5.9 145.7 -52.6 10.8 -16.8 6.7 29.6 13.4 0.0 12.8 23.5 Indexes
Neff 1.64 13.8 18.4 2.5 20.3 15.8 10.9 305.7 -52.8 32.6 -21.7 -4.9 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Driehaus 2.24 8.8 11.7 -16.3 13.7 14.8 16.9 373.4 -53.4 51.3 -25.7 -22.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Piotroski: High F-Score 2.06 17.8 29.9 11.8 56.3 34.4 26.6 1,122.5 -53.6 43.1 -42.0 2.1 137.6 91.7 -36.4 138.8 34.6 Value
Rule #1 Investing 1.81 10.8 14.3 51.4 39.1 30.5 14.9 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Zweig 1.87 12.7 18.1 0.6 14.4 2.0 3.5 62.4 -54.4 32.7 -24.2 -8.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Dreman 1.25 9.9 10.7 8.0 22.7 12.9 7.4 138.9 -55.0 23.9 -22.2 2.4 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Price-to-Sales 1.33 13.0 15.2 6.4 18.6 14.5 10.2 232.5 -55.1 18.3 -20.6 -4.8 36.3 11.3 -2.6 29.6 47.1 Growth & Value
MAGNET Complex 2.71 8.5 12.0 22.1 -3.0 -3.5 -5.3 -29.0 -55.9 63.0 -28.2 -8.1 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
S&P 500 Value (TR) 1.00 5.9 5.9 18.0 23.5 14.8 7.7 174.9 -56.0 11.3 -17.1 7.4 33.7 17.7 -0.5 15.1 21.2 Indexes
Fundamental Rule of Thumb 1.71 10.4 13.2 0.8 6.5 -0.3 8.0 114.2 -57.0 33.8 -19.2 -10.8 46.1 -6.9 -35.2 17.7 92.1 Value
O'Shaughnessy: Growth 1.51 13.3 16.7 15.8 26.5 17.7 11.5 204.7 -57.2 18.6 -17.9 1.2 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Fisher (Philip) 2.20 2.8 4.8 14.9 17.9 -3.4 1.1 73.3 -58.2 32.8 -27.9 12.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Murphy Technology 2.77 -14.2 -1.0 18.7 33.9 14.4 8.0 247.8 -58.3 58.5 -44.9 14.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.6 12.9 20.9 13.3 8.2 236.3 -58.6 23.9 -22.1 3.7 38.1 14.8 -12.3 26.2 65.8 Indexes
Dual Cash Flow 1.54 11.5 14.1 8.3 16.1 9.9 8.1 214.7 -61.0 34.7 -23.6 -3.0 48.9 5.1 -21.6 31.0 76.0 Growth
O'Neil's CAN SLIM No Float 1.39 13.2 15.9 -2.1 13.7 11.4 7.7 178.4 -61.6 23.5 -35.5 -2.5 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
T. Rowe Price 1.67 8.7 10.1 4.4 4.5 23.0 10.6 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.3 20.4 22.8 34.1 23.9 18.4 780.1 -62.8 51.2 -31.7 4.1 97.8 1.1 -7.0 39.2 147.2 Value
Est Rev: Down 5% 1.95 -5.6 0.3 -5.0 10.0 2.1 1.9 158.4 -63.8 33.5 -30.5 -12.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Foolish Small Cap 8 Revised 2.14 10.2 14.3 -2.1 2.7 1.3 6.6 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Insider Net Purchases 1.87 -8.2 -1.4 -17.4 7.0 -5.0 -4.9 92.2 -65.5 27.8 -27.2 -17.3 21.5 11.5 -31.4 7.4 59.0 Specialty
O'Shaughnessy: Tiny Titans 1.92 16.6 26.0 40.3 36.5 17.0 11.6 282.2 -67.3 37.4 -21.0 20.6 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.4 -16.0 5.4 6.9 2.2 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
ADR Screen 1.48 8.4 9.3 37.1 19.9 9.6 8.5 177.4 -68.7 31.1 -29.7 29.2 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dogs of the Dow 1.22 2.4 3.1 14.9 19.3 16.5 3.2 196.2 -69.0 17.1 -23.4 6.5 27.9 9.6 10.7 19.4 8.1 Value
O'Shaughnessy: Value 1.34 5.8 6.0 13.6 19.5 9.5 3.4 165.9 -69.1 22.0 -23.8 0.1 29.6 20.3 -11.2 7.4 31.5 Value
Oberweis Octagon 1.92 10.3 13.7 5.1 29.8 16.8 8.9 243.7 -70.6 24.6 -23.2 -3.5 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.33 -8.7 0.0 -9.1 5.9 2.0 0.1 198.9 -71.0 43.0 -29.9 -17.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
MAGNET Simple 2.99 9.5 15.4 -45.6 -13.9 1.7 11.7 324.4 -75.9 52.1 -34.0 -17.6 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 18.1 23.3 18.3 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 -7.7 Value