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 4/30/2015
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 2014 2013 2012 2011 2010
Muhlenkamp 1.59 -4.6 -0.5 -41.9 -27.7 -27.6 -12.6 -61.5 -49.0 21.0 -26.2 -2.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Complex 2.73 8.5 11.9 5.5 1.4 0.7 -4.1 -25.0 -55.9 63.0 -28.2 -9.2 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Kirkpatrick Value 2.20 8.2 10.2 1.7 3.7 -4.0 11.3 -13.7 -23.3 49.0 -25.3 4.9 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Schloss 1.94 8.4 10.2 22.9 0.5 0.8 4.8 33.1 -37.6 27.1 -40.4 -0.9 -5.9 16.7 13.1 -35.1 12.5 Value
Zweig 1.91 12.4 17.7 -13.8 7.2 1.5 2.3 46.0 -54.4 32.7 -24.2 10.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Graham--Defensive Investor (Utility) 0.96 6.9 6.9 -14.1 1.3 3.8 4.9 47.3 -31.4 12.0 -13.7 -17.6 16.0 10.0 1.2 8.6 4.6 Value
Insider Net Purchases 1.87 -6.5 -0.4 10.7 1.3 -5.1 -2.9 87.7 -65.5 27.8 -27.2 8.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Foolish Small Cap 8 Revised 2.13 9.8 13.5 -7.6 1.3 -7.1 5.4 89.6 -64.0 28.1 -31.1 -5.6 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Cash Rich Firms 1.38 9.6 10.7 3.4 14.1 1.9 5.8 96.3 -45.6 17.6 -20.7 4.5 2.5 36.6 10.5 -32.8 14.4 Value
Fisher (Philip) 2.22 4.0 5.4 21.6 15.7 -5.6 0.9 97.6 -58.2 32.8 -27.9 28.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Kirkpatrick Bargain 1.36 7.4 7.7 2.2 1.6 7.1 11.4 108.0 -43.2 21.1 -21.7 -5.3 5.9 7.3 14.9 3.6 9.4 Growth & Value
Kirkpatrick Growth 2.14 10.7 15.4 5.8 0.5 2.9 15.6 108.5 -38.7 64.1 -23.1 4.8 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Fundamental Rule of Thumb 1.70 10.6 13.5 1.6 5.6 -0.9 6.6 109.6 -57.0 33.8 -19.2 13.5 -11.6 46.1 -6.9 -35.2 17.7 Value
Est Rev: Down 5% 1.95 -5.1 0.6 -5.0 2.5 -0.1 2.0 129.6 -63.8 33.5 -30.5 5.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Lynch 1.25 10.9 12.0 -10.7 6.2 1.0 6.4 131.0 -47.5 18.9 -21.3 13.7 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Magic Formula 1.64 8.4 9.6 -12.6 -0.2 -1.6 5.9 132.4 -51.6 30.7 -22.4 6.0 -16.5 27.9 7.9 -30.6 26.6 Value
Dow Jones 30 0.97 4.9 4.8 7.6 10.5 10.1 5.8 134.5 -49.3 11.8 -15.1 0.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.9 7.0 6.3 17.5 11.1 6.1 136.8 -50.5 13.6 -18.6 -1.5 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Shaughnessy: All Cap 1.39 9.9 11.3 10.0 9.2 8.4 8.0 138.5 -52.1 18.4 -21.5 8.9 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
O'Shaughnessy: Value 1.34 5.1 5.5 -5.6 9.5 7.6 1.9 143.9 -69.1 22.0 -23.8 1.8 -5.8 29.6 20.3 -11.2 7.4 Value
Est Rev: Lowest 30 Down 2.33 -8.4 0.1 -10.4 1.1 -1.8 0.7 147.7 -71.0 43.0 -29.9 6.0 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Dreman 1.25 10.1 11.0 11.8 14.8 11.1 7.6 155.8 -55.0 23.9 -22.2 5.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Dividend (High Relative Yield) 0.97 9.1 9.0 -1.9 14.3 12.5 7.2 159.8 -40.4 12.5 -14.2 0.8 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P 500 1.00 4.5 4.5 10.7 14.2 11.9 6.1 161.4 -52.6 10.8 -16.8 1.3 11.4 29.6 13.4 0.0 12.8 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.0 3.5 18.2 15.2 13.5 172.3 -50.6 18.5 -18.2 -5.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
ADR Screen 1.48 8.3 9.1 5.0 16.2 11.3 8.3 174.5 -68.7 31.1 -29.7 4.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.78 12.2 16.7 15.4 -3.0 8.5 14.9 175.9 -50.3 33.1 -23.4 35.2 -20.6 9.6 1.1 -1.1 43.5 Value
Murphy Technology 2.76 -16.0 -1.6 -7.8 16.6 9.4 5.2 179.2 -58.3 58.5 -44.9 2.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Return on Equity 1.28 10.9 12.2 1.2 7.7 9.7 9.4 181.2 -47.2 14.6 -22.2 5.6 -8.8 34.2 10.1 -5.7 32.0 Growth
Foolish Small Cap 8 2.28 8.5 11.1 25.9 15.1 4.4 4.0 182.6 -67.7 38.8 -25.9 17.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dual Cash Flow 1.53 11.2 13.8 -3.7 11.2 4.8 7.1 186.0 -61.0 34.7 -23.6 1.8 -3.2 48.9 5.1 -21.6 31.0 Growth
Weiss Blue Chip Div Yield 1.22 9.8 10.5 1.0 10.4 13.2 9.6 190.2 -43.1 16.0 -16.8 -2.6 5.4 21.3 19.2 7.6 26.9 Value
S&P 500 Value (TR) 1.00 6.1 6.1 9.6 16.5 13.1 7.5 191.5 -56.0 11.3 -17.1 0.8 12.5 33.7 17.7 -0.5 15.1 Indexes
Wanger (Revised) 1.44 8.8 9.7 6.2 18.8 13.4 11.2 192.1 -51.3 22.8 -19.8 4.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: Growth 1.51 12.9 16.2 0.4 17.7 11.4 10.3 199.5 -57.2 18.6 -17.9 0.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Oberweis Octagon 1.93 9.7 12.7 -5.8 10.0 8.6 8.2 203.8 -70.6 24.6 -23.2 -5.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.5 6.5 16.3 17.0 15.6 9.3 203.9 -44.4 10.8 -16.5 3.0 14.9 35.5 14.6 4.7 15.0 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.87 12.9 18.5 50.3 32.8 22.2 12.4 205.8 -27.8 52.7 -26.7 14.8 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Dogs of the Dow 1.22 2.4 3.1 5.3 12.5 13.9 3.6 206.7 -69.0 17.1 -23.4 1.9 6.8 27.9 9.6 10.7 19.4 Value
S&P MidCap 400 1.19 8.6 9.1 10.6 14.9 12.8 9.2 206.8 -50.5 14.8 -21.8 3.3 8.2 31.6 16.1 -3.1 24.9 Indexes
P/E Relative 1.13 15.1 16.2 11.2 13.7 12.7 14.8 207.1 -27.6 18.4 -18.3 3.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 14.0 13.9 14.0 10.7 209.1 -50.1 12.7 -19.1 3.1 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.3 15.9 16.3 10.7 13.6 7.5 210.8 -61.6 23.5 -35.5 5.6 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.2 8.6 7.2 15.5 12.4 9.2 212.8 -51.0 18.4 -19.6 -0.5 7.5 35.6 17.8 -1.2 24.7 Indexes
Buffettology: Sustainable Growth 1.28 10.0 11.0 2.5 10.9 9.2 10.7 213.6 -41.9 16.5 -20.4 -3.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
NASDAQ 100 1.80 7.9 9.0 23.2 17.4 17.1 12.0 215.3 -50.1 25.0 -27.5 4.2 17.9 35.0 16.8 2.7 19.2 Indexes
S&P SmallCap 600 1.27 7.8 8.1 7.8 15.4 13.0 8.8 216.0 -52.2 17.3 -20.2 1.1 4.4 39.7 14.8 -0.2 25.0 Indexes
Inve$tWare Quality Growth 1.26 7.8 8.2 34.4 18.0 14.6 9.7 222.3 -44.7 18.2 -22.0 5.5 21.6 30.4 19.7 -9.4 17.3 Growth
O'Neil's CAN SLIM 1.92 16.1 24.9 37.1 26.9 17.8 18.6 223.4 -10.1 69.6 -23.1 4.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Price-to-Sales 1.32 12.9 15.0 3.3 11.2 11.0 9.9 223.5 -55.1 18.3 -20.6 6.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 9.2 16.9 14.4 11.1 233.6 -47.7 19.0 -22.2 4.8 7.6 32.8 15.8 -0.9 30.6 Indexes
All Exchange-Listed Stocks 1.37 9.5 10.6 4.1 14.8 10.3 8.3 233.9 -58.6 23.9 -22.1 4.2 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 10.8 18.1 14.3 10.4 237.6 -49.4 15.7 -21.8 2.5 12.1 34.3 20.1 -2.4 22.8 Indexes
Templeton 1.26 10.2 11.1 17.4 17.3 17.7 11.2 238.6 -40.0 14.5 -23.1 2.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Lakonishok 1.20 13.2 14.6 17.3 15.3 14.3 14.9 245.2 -32.5 16.6 -17.9 4.3 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Buffett: Hagstrom 1.12 14.0 14.9 17.4 14.2 17.1 12.9 245.8 -39.8 13.2 -19.0 4.6 9.6 35.4 13.0 8.2 27.7 Growth & Value
Buffettology: EPS Growth 1.22 10.0 10.8 5.3 13.6 13.6 11.4 258.3 -48.4 15.1 -20.8 -0.4 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.7 11.3 16.9 15.8 10.8 260.7 -51.1 17.0 -21.7 3.6 3.9 42.6 14.9 4.1 28.0 Indexes
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 9.3 16.0 17.6 0.7 270.6 -82.9 27.6 -34.8 7.3 3.0 34.5 15.7 13.1 17.3 Value
O'Shaughnessy: Tiny Titans 1.92 16.1 25.0 1.8 25.8 9.1 11.2 271.8 -67.3 37.4 -21.0 -3.5 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.38 13.6 16.3 -6.4 11.3 12.7 16.8 272.7 -52.1 25.8 -17.3 9.1 -13.1 33.9 18.9 7.0 31.4 Value
MAGNET Simple 2.97 9.4 15.1 -5.5 -17.5 -1.1 11.8 276.0 -75.9 52.1 -34.0 0.8 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.6 20.0 31.3 23.3 18.4 15.4 294.3 -50.2 15.7 -23.1 11.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.8 16.3 13.3 17.7 20.3 16.7 314.3 -39.9 21.4 -26.2 2.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Neff 1.63 14.0 18.7 9.2 14.4 13.4 12.3 331.7 -52.8 32.6 -21.7 4.2 5.1 39.5 15.0 -4.2 35.0 Growth & Value
T. Rowe Price 1.66 8.5 9.8 4.4 4.5 19.3 8.3 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Est Rev: Up 5% 1.75 18.3 27.3 29.4 18.6 19.6 25.8 377.4 -23.4 30.8 -21.7 11.3 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Driehaus 2.25 9.5 13.2 22.4 17.2 15.9 21.2 439.7 -53.4 51.3 -25.7 4.8 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.7 22.6 43.6 13.9 11.8 25.1 441.8 -49.9 36.4 -22.4 12.9 41.9 2.1 -4.9 -4.1 32.9 Value
Stock Market Winners 1.45 16.2 20.6 15.6 17.3 29.0 13.4 467.5 -51.3 22.0 -23.4 9.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Est Rev: Top 30 Up 1.83 16.9 25.5 19.3 19.3 19.5 24.8 470.3 -37.8 36.4 -26.7 7.5 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Rule #1 Investing 1.81 10.9 14.5 21.3 31.1 24.1 14.9 647.5 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.4 20.6 12.3 32.4 19.5 17.9 834.1 -62.8 51.2 -31.7 5.6 12.4 97.8 1.1 -7.0 39.2 Value
Piotroski: High F-Score 2.07 17.1 28.5 -14.0 47.0 32.8 24.5 945.5 -53.6 43.1 -42.0 -1.5 -0.3 137.6 91.7 -36.4 138.8 Value