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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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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: 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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