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 5/31/2016
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
Piotroski: High F-Score 2.07 14.8 23.7 -29.9 -6.1 13.8 14.7 991.3 -53.6 43.1 -42.0 7.9 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Free-Cash-Flow 1.78 13.8 19.5 6.4 23.8 15.4 15.1 951.0 -62.8 51.2 -31.7 9.5 12.4 97.8 1.1 -7.0 39.2 Value
Rule #1 Investing 1.89 7.2 7.9 -61.1 -8.2 -0.1 4.0 745.9 -54.0 27.0 -28.5 -20.1 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Est Rev: Top 30 Up 1.82 16.1 23.9 -4.1 13.0 13.2 18.9 595.7 -37.8 36.4 -26.7 3.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Graham--Enterprising Investor Revised 1.75 14.2 20.0 -11.9 9.5 3.4 18.5 568.7 -49.9 36.4 -22.4 -6.3 41.9 2.1 -4.9 -4.1 32.9 Value
Stock Market Winners 1.43 15.7 19.6 2.1 10.7 17.1 12.7 526.7 -51.3 22.0 -23.4 -4.4 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Driehaus 2.22 9.8 13.8 28.4 16.0 12.0 19.1 470.1 -53.4 51.3 -25.7 11.7 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.2 -4.2 9.9 12.2 19.3 432.5 -23.4 30.8 -21.7 10.9 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
T. Rowe Price 1.66 9.0 10.7 29.8 10.7 14.0 9.1 418.1 -62.5 33.5 -20.0 10.6 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Neff 1.63 11.9 15.4 -29.4 -3.8 0.2 5.6 392.4 -52.8 32.6 -21.7 -5.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
MAGNET Simple 2.96 9.1 14.3 9.6 -14.8 -13.0 -0.4 363.3 -75.9 52.1 -34.0 16.3 -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 15.1 18.1 -15.2 14.3 11.0 10.0 346.4 -50.2 15.7 -23.1 -1.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.1 15.4 3.9 13.7 13.5 13.3 340.7 -39.9 21.4 -26.2 -1.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
O'Shaughnessy: Tiny Titans 1.90 15.2 23.0 -7.2 10.8 10.8 5.7 331.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.5 3.2 13.4 12.4 14.6 1.5 329.9 -82.9 27.6 -34.8 9.1 3.0 34.5 15.7 13.1 17.3 Value
Graham--Defensive Investor (Non-Utility) 1.38 12.4 14.6 -9.8 2.0 6.1 11.1 317.2 -52.1 25.8 -17.3 5.0 -13.1 33.9 18.9 7.0 31.4 Value
S&P SmallCap 600 Growth (TR) 1.30 8.6 9.2 0.5 10.7 10.6 8.9 298.5 -51.1 17.0 -21.7 3.5 3.9 42.6 14.9 4.1 28.0 Indexes
Buffettology: EPS Growth 1.21 9.7 10.3 1.8 8.3 11.5 9.1 282.4 -48.4 15.1 -20.8 -0.1 4.4 38.4 17.4 3.8 20.5 Growth & Value
All Exchange-Listed Stocks 1.37 8.4 9.2 -12.8 4.7 4.8 4.5 275.0 -58.6 23.9 -22.1 3.4 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.4 11.5 0.4 10.0 10.7 9.2 272.4 -47.7 19.0 -22.2 5.3 7.6 32.8 15.8 -0.9 30.6 Indexes
Lakonishok 1.20 12.3 13.5 -3.6 10.7 7.8 11.7 269.8 -32.5 16.6 -17.9 4.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 -1.0 9.5 10.6 8.1 269.2 -49.4 15.7 -21.8 9.7 12.1 34.3 20.1 -2.4 22.8 Indexes
Templeton 1.26 9.0 9.6 -9.5 3.3 12.3 9.0 267.6 -40.0 14.5 -23.1 5.3 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffett: Hagstrom 1.10 13.2 13.9 1.2 9.5 11.1 11.0 264.7 -39.8 13.2 -19.0 3.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
Foolish Small Cap 8 2.37 8.6 11.4 -3.9 13.5 4.8 2.3 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Inve$tWare Quality Growth 1.27 7.2 7.4 -6.0 13.2 9.9 7.0 256.9 -44.7 18.2 -22.0 2.1 21.6 30.4 19.7 -9.4 17.3 Growth
Price-to-Sales 1.33 12.4 14.3 5.5 8.9 6.9 7.2 252.6 -55.1 18.3 -20.6 17.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P SmallCap 600 1.26 7.4 7.7 -1.1 8.5 9.2 6.5 246.1 -52.2 17.3 -20.2 5.0 4.4 39.7 14.8 -0.2 25.0 Indexes
P/E Relative 1.14 13.6 14.6 -9.6 3.1 6.1 10.1 244.4 -27.6 18.4 -18.3 6.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
S&P SmallCap 600 Value (TR) 1.22 7.9 8.2 0.4 8.0 10.1 6.6 241.7 -51.0 18.4 -19.6 7.9 7.5 35.6 17.8 -1.2 24.7 Indexes
Dogs of the Dow 1.21 2.7 3.4 9.2 8.2 10.8 4.1 241.7 -69.0 17.1 -23.4 11.4 6.8 27.9 9.6 10.7 19.4 Value
S&P MidCap 400 1.19 8.2 8.5 -2.1 8.0 8.3 6.9 239.2 -50.5 14.8 -21.8 6.8 8.2 31.6 16.1 -3.1 24.9 Indexes
Dual Cash Flow 1.55 9.9 11.7 -18.8 1.4 -0.1 2.2 238.4 -61.0 34.7 -23.6 1.1 -3.2 48.9 5.1 -21.6 31.0 Growth
Value on the Move--PEG With Hist Growth 1.05 13.2 13.5 -1.1 12.4 8.6 8.0 236.2 -50.1 12.7 -19.1 -1.9 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.3 6.3 2.6 12.9 12.7 9.2 233.5 -44.4 10.8 -16.5 1.9 14.9 35.5 14.6 4.7 15.0 Indexes
Buffettology: Sustainable Growth 1.27 9.9 10.8 9.8 8.2 9.5 9.8 231.9 -41.9 16.5 -20.4 2.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.7 -4.6 31.2 19.2 11.7 231.0 -27.8 52.7 -26.7 -8.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 14.5 21.9 -18.5 9.8 6.4 13.8 225.2 -10.1 69.6 -23.1 -3.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Oberweis Octagon 1.93 9.3 11.9 -1.2 2.3 5.7 3.6 224.5 -70.6 24.6 -23.2 17.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P 500 Value (TR) 1.00 5.8 5.8 0.4 9.0 10.5 5.8 222.6 -56.0 11.3 -17.1 5.3 12.5 33.7 17.7 -0.5 15.1 Indexes
NASDAQ 100 1.78 7.7 8.6 0.3 14.9 13.8 11.1 222.0 -50.1 25.0 -27.5 -1.5 17.9 35.0 16.8 2.7 19.2 Indexes
Wanger (Revised) 1.43 8.5 9.4 3.4 13.7 12.8 8.0 219.9 -51.3 22.8 -19.8 11.5 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: Growth 1.50 12.2 15.0 -3.9 4.2 6.8 5.6 219.5 -57.2 18.6 -17.9 2.9 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Dreman 1.25 9.2 9.9 -7.4 5.3 7.3 3.8 219.2 -55.0 23.9 -22.2 3.9 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.9 15.3 3.1 9.8 8.8 7.0 217.5 -61.6 23.5 -35.5 -0.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Weiss Blue Chip Div Yield 1.23 8.9 9.5 -6.9 3.8 6.3 7.6 215.7 -43.1 16.0 -16.8 7.0 5.4 21.3 19.2 7.6 26.9 Value
Foolish Small Cap 8 Revised 2.38 8.4 11.1 -41.2 -8.1 -8.7 -1.1 204.7 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Return on Equity 1.27 10.3 11.3 -2.1 5.0 4.1 6.4 200.3 -47.2 14.6 -22.2 4.0 -8.8 34.2 10.1 -5.7 32.0 Growth
Est Rev: Lowest 30 Down 2.33 -7.3 0.6 6.5 2.3 -2.2 -1.3 196.0 -71.0 43.0 -29.9 32.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
O'Shaughnessy: Small Cap Growth & Value 1.52 13.0 16.4 -9.0 2.8 9.5 8.2 194.0 -50.6 18.5 -18.2 -9.2 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
ADR Screen 1.47 7.6 8.1 -4.1 17.2 3.5 3.9 190.8 -68.7 31.1 -29.7 3.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
S&P 500 1.00 4.3 4.3 -0.5 8.7 9.3 5.1 186.7 -52.6 10.8 -16.8 2.6 11.4 29.6 13.4 0.0 12.8 Indexes
Murphy Technology 2.73 -20.1 -3.2 -24.3 -6.2 -0.6 -0.3 183.7 -58.3 58.5 -44.9 -11.7 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Dividend (High Relative Yield) 0.98 8.3 8.3 -2.5 7.3 8.8 5.9 176.2 -40.4 12.5 -14.2 9.1 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Shaughnessy: Value 1.34 3.8 4.5 -9.3 0.1 2.4 -0.4 169.7 -69.1 22.0 -23.8 3.7 -5.8 29.6 20.3 -11.2 7.4 Value
Est Rev: Down 5% 1.95 -5.2 0.5 -2.5 1.3 -1.6 -0.8 165.2 -63.8 33.5 -30.5 16.4 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dow Jones 30 0.98 4.5 4.5 -1.2 5.6 7.2 4.8 155.0 -49.3 11.8 -15.1 2.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: All Cap 1.45 8.8 9.9 -7.2 0.9 1.9 3.4 149.8 -52.1 18.4 -21.5 19.4 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.5 6.5 0.1 9.2 8.5 3.7 148.9 -50.5 13.6 -18.6 0.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Lynch 1.27 9.0 9.7 -21.1 -1.0 -5.3 2.3 145.5 -47.5 18.9 -21.3 3.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Fundamental Rule of Thumb 1.69 9.6 11.7 -14.2 3.1 -3.8 1.9 144.9 -57.0 33.8 -19.2 -0.4 -11.6 46.1 -6.9 -35.2 17.7 Value
Magic Formula 1.63 7.5 8.1 -11.8 -6.8 -4.8 2.5 144.4 -51.6 30.7 -22.4 4.8 -16.5 27.9 7.9 -30.6 26.6 Value
Fisher (Philip) 2.21 0.9 4.0 -15.9 13.6 -2.3 0.3 125.2 -58.2 32.8 -27.9 -13.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Cash Rich Firms 1.38 8.5 9.2 -15.9 4.5 2.7 2.0 122.0 -45.6 17.6 -20.7 -2.1 2.5 36.6 10.5 -32.8 14.4 Value
Insider Net Purchases 1.91 -11.6 -3.0 -42.1 -12.2 -10.2 -8.6 114.5 -65.5 27.8 -27.2 -16.1 -11.9 21.5 11.5 -31.4 7.4 Specialty
Kirkpatrick Bargain 1.37 6.6 6.7 -7.7 -3.5 0.1 6.6 109.7 -43.2 21.1 -21.7 -6.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Kirkpatrick Growth 2.10 10.1 14.0 -3.2 0.9 -4.5 9.1 108.7 -38.7 64.1 -23.1 -2.2 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Zweig 1.91 11.4 15.8 -16.5 -0.5 0.3 -2.0 53.9 -54.4 32.7 -24.2 3.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Graham--Defensive Investor (Utility) 1.00 7.3 7.3 16.3 3.0 4.4 4.2 50.7 -31.4 12.0 -13.7 0.0 16.0 10.0 1.2 8.6 4.6 Value
Schloss 1.93 7.1 7.7 -24.8 -10.0 -7.1 -1.9 48.4 -37.6 27.1 -40.4 -9.0 -5.9 16.7 13.1 -35.1 12.5 Value
MAGNET Simple Revised 2.23 -2.7 2.4 12.3 7.1 -7.5 1.1 -12.6 -31.0 38.9 -27.1 11.0 -13.7 45.7 -25.0 -45.7 32.9
Kirkpatrick Value 2.18 7.2 8.0 -21.2 -7.8 -10.0 -0.8 -16.9 -23.3 49.0 -25.3 -13.5 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Complex 2.75 6.7 7.0 -50.5 -13.7 -13.9 -14.6 -21.6 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Muhlenkamp 1.57 -3.1 0.3 -5.5 -14.0 -19.0 -12.7 -47.5 -49.0 21.0 -26.2 1.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Complex Revised 2.20 -3.7 1.9 8.1 -13.2 -15.4 -6.2 -64.9 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7