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 6/30/2015
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
Piotroski: High F-Score 2.07 16.5 27.2 -24.8 36.9 30.8 22.4 542.5 -53.6 43.1 -42.0 -13.3 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.7 35.0 22.2 16.6 509.4 -62.8 51.2 -31.7 4.1 12.4 97.8 1.1 -7.0 39.2 Value
Stock Market Winners 1.45 16.3 20.7 20.3 18.0 30.0 13.3 469.7 -51.3 22.0 -23.4 13.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Rule #1 Investing 1.81 10.4 13.6 -3.3 28.5 26.5 12.8 434.9 -54.0 27.0 -26.8 -0.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Est Rev: Top 30 Up 1.83 17.0 25.7 15.3 23.1 24.7 23.3 434.1 -37.8 36.4 -26.7 14.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.25 9.5 13.4 18.5 17.1 19.9 19.8 389.5 -53.4 51.3 -25.7 8.9 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Est Rev: Up 5% 1.76 18.2 27.1 16.9 19.9 23.7 24.1 338.3 -23.4 30.8 -21.7 18.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 16.7 20.2 24.3 26.7 22.7 14.4 276.6 -50.2 15.7 -23.1 18.4 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.3 21.9 30.3 16.0 11.8 23.7 271.5 -49.9 36.4 -22.4 5.6 41.9 2.1 -4.9 -4.1 32.9 Value
Dreman With Est Revisions 1.36 13.5 16.0 4.6 19.4 23.4 15.1 265.9 -39.9 21.4 -26.2 -0.8 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 22.8 8.5 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.3 19.2 50.8 39.0 31.6 12.6 250.0 -27.8 52.7 -26.7 31.4 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 16.7 13.3 15.7 6.6 249.0 -61.6 23.5 -35.5 10.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Foolish Small Cap 8 2.30 9.3 13.0 91.2 19.5 17.9 5.1 242.0 -67.7 38.8 -25.9 60.1 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Neil's CAN SLIM 1.91 16.0 24.7 18.4 32.5 17.6 17.6 229.5 -10.1 69.6 -23.1 6.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 9.6 19.0 19.6 10.2 221.3 -51.1 17.0 -21.7 7.5 3.9 42.6 14.9 4.1 28.0 Indexes
Buffettology: EPS Growth 1.22 10.1 10.9 4.4 17.0 16.6 10.9 220.5 -48.4 15.1 -20.8 2.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.0 24.7 -3.7 26.7 13.9 10.0 219.3 -67.3 37.4 -21.0 -4.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Neff 1.63 13.8 18.4 4.1 17.7 15.2 11.0 218.6 -52.8 32.6 -21.7 2.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
NASDAQ 100 1.80 7.8 8.9 14.2 18.9 20.4 11.4 214.1 -50.1 25.0 -27.5 3.8 17.9 35.0 16.8 2.7 19.2 Indexes
Lakonishok 1.20 13.2 14.6 16.4 18.4 18.9 14.4 211.3 -32.5 16.6 -17.9 7.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Oberweis Octagon 1.93 9.8 12.8 -8.6 12.7 11.9 7.6 208.5 -70.6 24.6 -23.2 -1.7 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Buffett: Hagstrom 1.12 13.7 14.6 9.3 14.1 19.1 11.7 201.4 -39.8 13.2 -19.0 1.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 6.7 18.8 18.5 10.5 200.0 -47.7 19.0 -22.2 6.6 7.6 32.8 15.8 -0.9 30.6 Indexes
Inve$tWare Quality Growth 1.26 7.9 8.3 28.7 19.6 17.5 8.6 196.5 -44.7 18.2 -22.0 8.8 21.6 30.4 19.7 -9.4 17.3 Growth
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 9.8 18.0 16.4 9.7 193.6 -50.1 12.7 -19.1 6.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.6 8.8 3.5 19.3 17.6 9.5 189.3 -49.4 15.7 -21.8 1.6 12.1 34.3 20.1 -2.4 22.8 Indexes
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.0 -8.8 11.7 14.3 15.8 188.3 -52.1 25.8 -17.3 6.2 -13.1 33.9 18.9 7.0 31.4 Value
Dogs of the Dow: Low Priced 5 1.57 0.2 2.5 3.5 12.3 18.4 0.0 181.4 -82.9 27.6 -34.8 4.0 3.0 34.5 15.7 13.1 17.3 Value
Templeton 1.26 9.8 10.7 1.1 19.3 18.1 10.2 180.3 -40.0 14.5 -23.1 -3.2 13.0 29.4 31.0 3.2 22.4 Growth & Value
S&P 500 Growth (TR) 1.10 6.4 6.4 10.1 17.8 18.6 9.0 180.1 -44.4 10.8 -16.5 2.8 14.9 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: Growth 1.51 12.8 16.0 -1.6 19.3 17.7 9.0 179.2 -57.2 18.6 -17.9 0.6 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Buffettology: Sustainable Growth 1.28 10.0 11.0 0.0 13.4 12.4 10.1 178.9 -41.9 16.5 -20.4 -0.8 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P SmallCap 600 1.27 7.8 8.2 5.3 17.3 17.0 8.0 175.6 -52.2 17.3 -20.2 3.5 4.4 39.7 14.8 -0.2 25.0 Indexes
All Exchange-Listed Stocks 1.37 9.4 10.5 -1.2 16.3 13.7 7.4 175.1 -58.6 23.9 -22.1 3.7 5.0 38.1 14.8 -12.3 26.2 Indexes
P/E Relative 1.13 14.9 15.9 5.5 13.9 15.1 13.8 172.1 -27.6 18.4 -18.3 2.2 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Foolish Small Cap 8 Revised 2.24 11.2 17.0 62.0 28.8 10.7 9.3 171.9 -64.0 42.9 -31.1 65.5 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Price-to-Sales 1.32 12.7 14.7 -4.1 12.1 14.6 9.0 169.4 -55.1 18.3 -20.6 4.7 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P MidCap 400 1.19 8.6 9.0 4.8 16.8 16.1 8.2 167.7 -50.5 14.8 -21.8 3.4 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.2 8.6 3.8 17.3 16.7 8.3 167.6 -51.0 18.4 -19.6 0.8 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 4.7 16.9 16.0 7.0 159.2 -56.0 11.3 -17.1 -0.5 12.5 33.7 17.7 -0.5 15.1 Indexes
MAGNET Simple 2.98 9.0 13.8 -25.3 -19.3 0.7 6.5 155.1 -75.9 52.1 -34.0 -15.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.0 3.5 20.4 21.3 11.8 154.7 -50.6 18.5 -18.2 -2.7 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Wanger (Revised) 1.44 8.6 9.5 -0.1 21.0 16.9 10.0 152.6 -51.3 22.8 -19.8 2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Dogs of the Dow 1.22 2.1 2.9 -0.9 10.1 14.9 3.1 150.8 -69.0 17.1 -23.4 -2.5 6.8 27.9 9.6 10.7 19.4 Value
Return on Equity 1.28 10.9 12.1 1.0 9.7 13.1 8.1 150.7 -47.2 14.6 -22.2 6.3 -8.8 34.2 10.1 -5.7 32.0 Growth
Weiss Blue Chip Div Yield 1.23 9.5 10.2 -7.2 9.9 15.8 9.0 149.1 -43.1 16.0 -16.8 -5.5 5.4 21.3 19.2 7.6 26.9 Value
S&P 500 1.00 4.4 4.4 5.2 14.8 14.9 5.6 136.4 -52.6 10.8 -16.8 0.2 11.4 29.6 13.4 0.0 12.8 Indexes
Dividend (High Relative Yield) 0.97 8.8 8.8 -7.6 13.7 14.4 6.3 131.4 -40.4 12.5 -14.2 -1.7 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dual Cash Flow 1.53 11.0 13.5 -11.4 13.0 7.8 5.8 126.9 -61.0 34.7 -23.6 -0.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Dreman 1.25 9.8 10.6 3.1 16.6 12.6 6.6 124.5 -55.0 23.9 -22.2 1.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Graham--Enterprising Investor 1.78 11.8 16.0 -4.0 -2.6 6.8 14.0 123.9 -50.3 33.1 -23.4 25.2 -20.6 9.6 1.1 -1.1 43.5 Value
ADR Screen 1.48 8.1 8.9 -3.1 21.9 9.8 7.9 123.2 -68.7 31.1 -29.7 2.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.8 -2.3 17.9 15.3 5.1 123.1 -50.5 13.6 -18.6 -3.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Dow Jones 30 0.97 4.7 4.7 4.7 11.0 12.5 5.5 115.7 -49.3 11.8 -15.1 -1.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: All Cap 1.39 9.6 10.8 0.1 9.0 10.5 6.8 96.4 -52.1 18.4 -21.5 3.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Lynch 1.25 10.5 11.5 -16.1 8.5 1.3 5.6 94.7 -47.5 18.9 -21.3 7.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
O'Shaughnessy: Value 1.34 4.7 5.2 -11.9 10.1 9.2 1.4 92.0 -69.1 22.0 -23.8 -2.2 -5.8 29.6 20.3 -11.2 7.4 Value
Murphy Technology 2.77 -19.7 -2.9 -36.7 9.2 9.4 1.9 88.8 -58.3 58.5 -44.9 -19.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Kirkpatrick Bargain 1.37 7.6 7.9 2.8 6.1 13.0 10.8 87.9 -43.2 21.1 -21.7 -0.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Cash Rich Firms 1.38 9.7 10.9 -3.8 17.2 6.6 4.9 79.5 -45.6 17.6 -20.7 9.2 2.5 36.6 10.5 -32.8 14.4 Value
Fundamental Rule of Thumb 1.70 10.6 13.5 0.1 10.4 2.9 6.3 76.4 -57.0 33.8 -19.2 16.1 -11.6 46.1 -6.9 -35.2 17.7 Value
Est Rev: Lowest 30 Down 2.33 -8.3 0.1 -16.5 4.3 2.5 -0.3 74.6 -71.0 43.0 -29.9 6.9 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -5.0 0.6 -10.2 5.6 4.1 1.0 73.8 -63.8 33.5 -30.5 6.7 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Kirkpatrick Growth 2.14 10.5 15.1 -3.3 5.6 5.4 14.5 72.9 -38.7 64.1 -23.1 1.6 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Magic Formula 1.64 8.0 9.0 -17.1 -0.9 -0.2 5.5 65.9 -51.6 30.7 -22.4 -1.1 -16.5 27.9 7.9 -30.6 26.6 Value
Fisher (Philip) 2.22 4.1 5.4 15.8 21.0 -1.2 0.9 51.1 -58.2 32.8 -27.9 30.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Insider Net Purchases 1.88 -6.7 -0.5 -3.5 2.2 -1.4 -3.8 45.1 -65.5 27.8 -27.2 7.3 -11.9 21.5 11.5 -31.4 7.4 Specialty
Graham--Defensive Investor (Utility) 0.97 6.3 6.3 -23.1 -2.1 3.7 3.2 32.8 -31.4 12.0 -13.7 -23.9 16.0 10.0 1.2 8.6 4.6 Value
Zweig 1.91 12.3 17.6 -8.7 9.9 5.3 1.0 14.8 -54.4 32.7 -24.2 12.4 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Schloss 1.94 8.2 9.7 14.7 -1.7 1.7 4.0 5.5 -37.6 27.1 -40.4 -6.7 -5.9 16.7 13.1 -35.1 12.5 Value
MAGNET Complex 2.73 8.6 12.2 12.8 15.8 5.4 -2.4 -19.9 -55.9 63.0 -28.2 -2.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Kirkpatrick Value 2.20 8.1 10.0 -1.4 3.1 3.9 10.2 -20.4 -23.3 49.0 -25.3 2.6 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Muhlenkamp 1.58 -2.5 0.8 21.5 -20.3 -21.3 -11.4 -60.2 -49.0 21.0 -26.2 21.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum