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 10/31/2016
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 2015 2014 2013 2012 2011
Price-to-Free-Cash-Flow 1.78 13.6 19.2 1.4 11.9 20.4 15.1 1,035.9 -62.8 51.2 -31.7 11.3 12.4 97.8 1.1 -7.0 39.2 Value
T. Rowe Price 1.69 9.6 11.8 38.1 19.2 13.1 11.2 740.2 -62.5 33.5 -20.0 38.1 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Piotroski: High F-Score 2.08 14.8 23.7 5.4 -10.8 21.0 15.4 735.6 -53.6 43.1 -42.0 17.9 -0.3 137.6 91.7 -36.4 138.8 Value
Driehaus 2.22 9.8 13.8 23.7 14.6 18.5 18.1 674.3 -53.4 51.3 -25.7 18.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Est Rev: Top 30 Up 1.82 16.2 24.1 15.8 14.0 18.6 20.1 651.5 -37.8 36.4 -26.7 16.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Stock Market Winners 1.43 15.9 19.9 8.2 12.8 16.5 14.1 627.4 -51.3 22.0 -23.4 8.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
MAGNET Simple 2.95 9.5 15.5 52.4 4.0 -7.7 4.0 551.5 -75.9 52.1 -34.0 49.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 13.9 19.4 -7.2 8.2 4.7 17.2 479.4 -49.9 36.4 -22.4 -7.8 41.9 2.1 -4.9 -4.1 32.9 Value
Est Rev: Up 5% 1.76 17.1 25.1 18.8 9.9 16.6 19.4 454.7 -23.4 30.8 -21.7 20.6 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Dogs of the Dow: Low Priced 5 1.55 1.4 3.2 8.2 9.8 15.8 -0.4 388.9 -82.9 27.6 -34.8 9.4 3.0 34.5 15.7 13.1 17.3 Value
Dreman With Est Revisions 1.35 13.0 15.4 -5.6 12.3 15.7 12.9 381.1 -39.9 21.4 -26.2 3.1 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
S&P SmallCap 600 Growth (TR) 1.31 8.5 9.1 3.7 6.2 13.3 9.0 308.6 -51.1 17.0 -21.7 5.6 3.9 42.6 14.9 4.1 28.0 Indexes
Buffettology: EPS Growth 1.20 9.7 10.3 2.1 5.3 12.5 9.4 306.0 -48.4 15.1 -20.8 4.2 4.4 38.4 17.4 3.8 20.5 Growth & Value
O'Shaughnessy: Tiny Titans 1.91 14.9 22.6 -3.6 7.6 16.2 5.2 305.5 -67.3 37.4 -21.0 0.0 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Price-to-Sales 1.33 12.3 14.2 18.1 5.9 11.0 7.3 287.8 -55.1 18.3 -20.6 22.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Dogs of the Dow 1.21 2.9 3.5 14.5 7.8 12.3 2.9 286.1 -69.0 17.1 -23.4 15.3 6.8 27.9 9.6 10.7 19.4 Value
S&P MidCap 400 Growth (TR) 1.29 10.2 11.3 6.3 6.1 13.6 9.3 285.1 -47.7 19.0 -22.2 6.0 7.6 32.8 15.8 -0.9 30.6 Indexes
Buffettology: Sustainable Growth 1.27 10.0 10.9 6.0 6.7 11.1 10.0 284.8 -41.9 16.5 -20.4 8.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 12.2 14.4 0.2 -4.6 6.8 10.3 282.0 -52.1 25.8 -17.3 6.6 -13.1 33.9 18.9 7.0 31.4 Value
Neff 1.63 12.0 15.5 -10.0 -5.1 5.5 5.8 278.5 -52.8 32.6 -21.7 3.1 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Buffett: Hagstrom 1.10 13.0 13.7 4.2 6.8 11.8 10.5 278.1 -39.8 13.2 -19.0 5.5 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 8.6 7.0 14.1 8.0 276.0 -49.4 15.7 -21.8 12.8 12.1 34.3 20.1 -2.4 22.8 Indexes
Value on the Move--PEG With Est Growth 1.34 14.7 17.6 -5.3 5.1 13.1 9.8 273.5 -50.2 15.7 -23.1 -2.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Lakonishok 1.20 12.3 13.4 5.3 9.1 11.6 11.9 273.2 -32.5 16.6 -17.9 9.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 7.9 8.2 9.4 4.9 13.1 6.3 257.0 -51.0 18.4 -19.6 12.3 7.5 35.6 17.8 -1.2 24.7 Indexes
Oberweis Octagon 1.94 9.4 12.2 24.1 1.3 12.6 4.9 252.1 -70.6 24.6 -23.2 28.8 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P SmallCap 600 1.27 7.4 7.6 4.8 4.7 12.1 6.4 250.8 -52.2 17.3 -20.2 7.6 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.3 2.7 10.2 14.0 8.4 249.7 -44.4 10.8 -16.5 4.1 14.9 35.5 14.6 4.7 15.0 Indexes
NASDAQ 100 1.78 7.8 8.7 3.3 12.4 15.3 10.9 242.9 -50.1 25.0 -27.5 4.5 17.9 35.0 16.8 2.7 19.2 Indexes
Wanger (Revised) 1.44 8.5 9.4 11.8 7.7 14.8 8.1 242.2 -51.3 22.8 -19.8 15.3 1.3 51.1 23.5 -5.2 12.5 Growth & Value
All Exchange-Listed Stocks 1.37 8.5 9.2 1.2 2.0 8.9 4.5 240.5 -58.6 23.9 -22.1 7.7 5.0 38.1 14.8 -12.3 26.2 Indexes
Rule #1 Investing 1.90 7.2 7.9 -30.3 -13.9 0.6 4.2 239.4 -54.0 27.0 -28.5 -17.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
S&P MidCap 400 1.19 8.1 8.3 4.5 5.4 11.2 6.8 235.9 -50.5 14.8 -21.8 7.9 8.2 31.6 16.1 -3.1 24.9 Indexes
Templeton 1.26 8.8 9.4 -0.2 1.1 12.3 8.3 232.2 -40.0 14.5 -23.1 5.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
S&P 500 Value (TR) 1.00 5.8 5.8 6.4 7.3 13.1 5.2 231.5 -56.0 11.3 -17.1 7.7 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: Growth 1.50 12.2 15.0 5.3 3.8 13.2 7.0 229.4 -57.2 18.6 -17.9 10.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 12.8 13.1 -1.7 5.2 10.3 8.0 228.7 -50.1 12.7 -19.1 -3.0 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
ADR Screen 1.47 8.1 8.8 16.3 14.0 12.6 4.0 228.1 -68.7 31.1 -29.7 21.5 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
P/E Relative 1.14 13.5 14.5 10.3 2.0 9.1 10.2 225.8 -27.6 18.4 -18.3 11.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Neil's CAN SLIM No Float 1.38 12.4 14.6 -4.7 2.6 9.6 6.0 213.4 -61.6 23.5 -35.5 -4.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Est Rev: Lowest 30 Down 2.33 -7.4 0.5 27.5 -0.7 3.0 -2.7 213.1 -71.0 43.0 -29.9 31.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Inve$tWare Quality Growth 1.27 6.8 6.8 -15.7 5.4 10.8 5.7 211.0 -44.7 18.2 -22.0 -5.4 21.6 30.4 19.7 -9.4 17.3 Growth
Foolish Small Cap 8 2.38 8.1 10.4 -20.8 7.0 6.7 1.3 204.2 -67.7 38.8 -25.9 3.3 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Return on Equity 1.27 10.2 11.3 2.4 0.2 7.1 6.2 203.5 -47.2 14.6 -22.2 7.4 -8.8 34.2 10.1 -5.7 32.0 Growth
Weiss Blue Chip Div Yield 1.25 8.9 9.4 -3.9 1.1 7.2 6.8 201.3 -43.1 16.0 -16.8 9.7 5.4 21.3 19.2 7.6 26.9 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.1 16.9 -14.8 15.5 18.2 11.2 198.4 -27.8 52.7 -26.7 -13.2 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Dreman 1.25 9.1 9.7 1.1 3.6 9.9 3.0 198.1 -55.0 23.9 -22.2 4.7 7.7 27.6 20.6 -11.7 22.7 Growth & Value
S&P 500 1.00 4.3 4.3 2.3 6.6 11.1 4.4 189.2 -52.6 10.8 -16.8 4.0 11.4 29.6 13.4 0.0 12.8 Indexes
Dual Cash Flow 1.55 9.8 11.7 -0.4 -2.9 4.4 2.0 187.3 -61.0 34.7 -23.6 5.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Dividend (High Relative Yield) 0.98 8.5 8.5 12.0 4.5 11.2 5.7 187.2 -40.4 12.5 -14.2 16.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.53 13.0 16.4 -9.1 0.3 13.8 7.9 183.3 -50.6 18.5 -18.2 -3.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Shaughnessy: Value 1.34 4.2 4.8 6.4 -0.9 6.4 -0.8 161.3 -69.1 22.0 -23.8 10.8 -5.8 29.6 20.3 -11.2 7.4 Value
O'Neil's CAN SLIM 1.92 14.2 21.3 -5.8 1.7 11.8 13.8 159.8 -10.1 69.6 -23.1 -5.8 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Dow Jones 30 0.98 4.6 4.5 2.7 5.1 8.7 4.2 156.9 -49.3 11.8 -15.1 4.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.24 6.2 6.2 -1.8 1.9 10.9 3.2 143.0 -50.5 13.6 -18.6 -2.5 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Shaughnessy: All Cap 1.46 8.8 9.9 20.5 2.6 6.4 3.3 142.1 -52.1 18.4 -21.5 24.7 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Est Rev: Down 5% 1.96 -6.0 0.1 4.1 -3.1 1.7 -2.4 141.6 -63.8 33.5 -30.5 8.8 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Fundamental Rule of Thumb 1.70 9.9 12.3 11.2 2.3 4.7 2.9 141.4 -57.0 33.8 -19.2 14.4 -11.6 46.1 -6.9 -35.2 17.7 Value
Kirkpatrick Growth 2.10 10.3 14.4 13.7 3.6 -0.2 10.9 129.4 -38.7 64.1 -23.1 11.1 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Magic Formula 1.63 7.4 8.0 -1.1 -6.8 0.6 2.4 120.5 -51.6 30.7 -22.4 7.2 -16.5 27.9 7.9 -30.6 26.6 Value
Murphy Technology 2.73 -20.4 -3.3 -7.1 -9.8 4.4 -1.0 107.5 -58.3 58.5 -44.9 -14.8 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 24.9 7.4 7.4 4.4 103.6 -31.4 12.2 -13.7 16.2 16.0 10.0 1.2 8.6 4.6 Value
Kirkpatrick Bargain 1.36 6.7 6.7 -7.4 -0.3 3.3 6.6 101.7 -43.2 21.1 -21.7 -3.1 5.9 7.3 14.9 3.6 9.4 Growth & Value
Lynch 1.27 9.0 9.7 -7.0 -5.9 -0.7 2.8 100.3 -47.5 18.9 -21.3 7.3 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Cash Rich Firms 1.38 8.3 9.0 -8.1 -1.2 7.0 1.8 89.0 -45.6 17.6 -20.7 -0.9 2.5 36.6 10.5 -32.8 14.4 Value
Fisher (Philip) 2.26 0.0 3.6 -1.6 -1.9 4.3 0.3 80.4 -58.2 32.8 -27.9 -17.5 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Foolish Small Cap 8 Revised 2.37 8.3 10.9 -43.4 -8.1 1.7 0.2 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Insider Net Purchases 1.92 -10.2 -2.2 1.2 -9.6 -0.7 -6.9 41.2 -65.5 27.8 -27.2 -4.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Zweig 1.91 10.9 14.9 -16.4 -6.4 1.6 -3.6 17.8 -54.4 32.7 -24.2 -5.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Schloss 1.95 6.9 7.3 -20.3 -13.6 -3.4 -2.6 6.2 -37.6 27.1 -40.4 -13.4 -5.9 16.7 13.1 -35.1 12.5 Value
Kirkpatrick Value 2.19 7.9 9.6 18.1 -3.4 2.3 4.5 -10.8 -23.3 49.0 -25.3 17.9 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple Revised 2.30 -6.2 1.0 -5.0 -1.8 -3.3 -1.6 -23.8 -31.0 38.9 -35.9 -13.8 -13.7 45.7 -25.0 -45.7 32.9
Muhlenkamp 1.57 -3.3 0.2 -4.7 -16.4 -14.4 -13.0 -51.6 -49.0 21.0 -26.2 -0.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Complex 2.74 6.6 6.9 -37.3 -15.8 -13.6 -10.1 -61.1 -55.9 63.0 -28.2 -20.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
MAGNET Complex Revised 2.20 -3.8 1.8 -3.3 -7.1 -11.6 -6.6 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7