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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 11/28/2014
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
Est Rev: Up 5% 1.76 18.2 27.1 5.8 20.7 21.6 23.3 322.4 -23.4 30.8 -21.7 3.8 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Est Rev: Top 30 Up 1.84 16.9 25.5 11.8 23.9 24.0 23.5 421.9 -37.8 36.4 -26.7 6.5 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Est Rev: Down 5% 1.96 -6.1 0.0 -14.3 5.2 2.6 0.0 110.1 -63.8 33.5 -30.5 -16.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Est Rev: Lowest 30 Down 2.34 -9.9 -0.5 -21.1 2.1 1.1 -2.1 122.8 -71.0 43.0 -29.9 -24.1 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Dreman With Est Revisions 1.36 13.7 16.3 17.2 20.6 22.4 15.4 288.7 -39.9 21.4 -26.2 9.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
P/E Relative 1.13 15.3 16.5 7.7 16.5 16.6 14.4 199.0 -27.6 18.4 -18.3 6.6 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Return on Equity 1.29 10.9 12.2 -7.8 10.4 12.4 8.7 168.3 -47.2 14.6 -22.2 -8.1 34.2 10.1 -5.7 32.0 40.0 Growth
Dual Cash Flow 1.54 11.4 14.0 1.3 14.2 10.8 6.7 182.4 -61.0 34.7 -23.6 -2.6 48.9 5.1 -21.6 31.0 76.0 Growth
Inve$tWare Quality Growth 1.26 7.7 8.0 20.9 22.3 16.4 8.9 203.8 -44.7 18.2 -22.0 20.9 30.4 19.7 -9.4 17.3 39.6 Growth
Foolish Small Cap 8 2.26 7.8 9.3 -26.5 -2.3 5.0 0.5 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Kirkpatrick Growth 2.15 10.7 15.5 -2.8 -0.6 2.2 14.5 97.5 -38.7 64.1 -23.1 -1.9 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 16.3 25.3 43.6 28.3 9.7 20.1 213.1 -10.1 69.6 -23.1 46.4 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.9 18.4 48.9 29.8 19.0 10.2 179.2 -27.8 52.7 -26.7 44.0 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.40 13.3 16.0 5.2 14.4 12.1 8.0 196.6 -61.6 23.5 -35.5 2.7 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Driehaus 2.27 9.4 13.1 3.1 17.9 20.0 18.8 401.5 -53.4 51.3 -25.7 -3.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Buffettology: EPS Growth 1.22 10.3 11.1 5.4 19.3 17.6 11.1 258.7 -48.4 15.1 -20.8 4.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Zweig 1.89 12.3 17.5 -12.2 6.9 3.9 2.2 33.4 -54.4 32.7 -24.2 -13.7 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Buffett: Hagstrom 1.12 14.0 14.9 11.0 18.0 19.3 12.5 227.3 -39.8 13.2 -19.0 8.5 35.4 13.0 8.2 27.7 30.0 Growth & Value
Buffettology: Sustainable Growth 1.29 10.4 11.5 6.3 16.2 14.7 11.0 226.2 -41.9 16.5 -20.4 3.9 35.8 8.8 0.7 18.4 68.0 Growth & Value
Dividend (High Relative Yield) 0.97 9.3 9.2 5.1 17.1 14.9 6.4 158.0 -40.4 12.5 -14.2 2.1 40.6 9.8 3.0 19.4 16.4 Growth & Value
Dreman 1.25 10.1 11.0 9.6 18.5 14.0 7.0 144.7 -55.0 23.9 -22.2 8.5 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Fisher (Philip) 2.20 1.8 4.4 9.7 11.8 -2.9 -0.1 64.2 -58.2 32.8 -27.9 5.6 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.1 14.2 -2.1 13.5 -1.2 5.5 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Kirkpatrick Bargain 1.37 7.7 8.1 5.9 8.7 8.8 13.3 114.5 -43.2 21.1 -21.7 3.4 7.3 14.9 3.6 9.4 22.2 Growth & Value
Lynch 1.24 10.7 11.7 -7.5 5.5 4.4 6.1 111.1 -47.5 18.9 -21.3 -3.7 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Murphy Technology 2.77 -15.4 -1.4 9.0 25.7 16.5 5.8 193.0 -58.3 58.5 -44.9 6.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Neff 1.64 14.0 18.7 0.1 18.2 18.5 10.1 303.6 -52.8 32.6 -21.7 2.4 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Price-to-Sales 1.33 12.9 15.0 -2.4 13.6 14.6 9.1 204.3 -55.1 18.3 -20.6 -5.2 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Rule #1 Investing 1.81 10.7 14.2 48.8 34.7 28.2 13.8 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Wanger (Revised) 1.44 8.7 9.7 3.5 22.9 16.3 10.0 177.4 -51.3 22.8 -19.8 0.6 51.1 23.5 -5.2 12.5 24.7 Growth & Value
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 23.9 9.3 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Templeton 1.26 10.1 11.1 12.8 25.0 19.7 11.0 222.3 -40.0 14.5 -23.1 9.8 29.4 31.0 3.2 22.4 54.7 Growth & Value
Kirkpatrick Value 2.22 8.1 10.0 -20.4 1.5 -5.2 7.8 -19.6 -23.3 49.0 -25.3 -17.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Muhlenkamp 1.58 -4.5 -0.4 -50.7 -24.1 -24.0 -12.7 -60.9 -49.0 21.0 -26.2 -49.1 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.4 19.8 14.8 23.8 21.3 14.4 256.5 -50.2 15.7 -23.1 10.0 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
ADR Screen 1.48 8.4 9.3 32.8 19.2 9.9 7.7 172.5 -68.7 31.1 -29.7 31.8 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Oberweis Octagon 1.92 10.1 13.4 -7.2 19.8 21.7 7.2 219.2 -70.6 24.6 -23.2 -6.1 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
MAGNET Simple 2.99 9.5 15.5 -14.4 -19.5 -0.7 13.1 276.3 -75.9 52.1 -34.0 -14.4 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
MAGNET Complex 2.71 8.4 11.6 -2.2 -1.8 -4.3 -6.8 -32.0 -55.9 63.0 -28.2 -11.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 14.0 14.5 5.8 16.7 18.1 10.1 199.7 -50.1 12.7 -19.1 3.4 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Stock Market Winners 1.46 16.0 20.5 12.6 19.2 35.1 13.8 411.7 -51.3 22.0 -23.4 8.0 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.7 21.6 18.0 9.9 224.8 -49.4 15.7 -21.8 10.5 34.3 20.1 -2.4 22.8 33.7 Indexes
S&P SmallCap 600 1.28 7.8 8.1 3.0 18.1 17.2 7.7 204.3 -52.2 17.3 -20.2 1.7 39.7 14.8 -0.2 25.0 23.8 Indexes
S&P SmallCap 600 Growth (TR) 1.32 8.8 9.5 2.1 18.4 19.2 9.6 238.0 -51.1 17.0 -21.7 0.8 42.6 14.9 4.1 28.0 30.7 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 6.4 19.5 17.4 8.2 206.1 -51.0 18.4 -19.6 4.7 35.6 17.8 -1.2 24.7 20.6 Indexes
All Exchange-Listed Stocks 1.38 9.5 10.6 7.6 18.1 14.2 7.3 219.5 -58.6 23.9 -22.1 4.7 38.1 14.8 -12.3 26.2 65.8 Indexes
Dow Jones 30 0.97 5.0 4.9 10.8 13.9 11.5 5.5 134.3 -49.3 11.8 -15.1 7.6 26.5 7.3 5.5 11.0 18.8 Indexes
NASDAQ 100 1.81 8.0 9.1 24.4 23.6 19.7 10.7 209.8 -50.1 25.0 -27.5 20.8 35.0 16.8 2.7 19.2 53.5 Indexes
S&P 500 1.00 4.6 4.6 14.5 18.3 13.5 5.8 159.1 -52.6 10.8 -16.8 11.9 29.6 13.4 0.0 12.8 23.5 Indexes
S&P MidCap 400 Growth (TR) 1.31 10.8 12.1 4.3 19.6 18.6 10.7 219.4 -47.7 19.0 -22.2 7.3 32.8 15.8 -0.9 30.6 38.1 Indexes
S&P 500 Value (TR) 1.00 6.1 6.1 14.5 20.9 15.2 7.4 187.6 -56.0 11.3 -17.1 11.9 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P MidCap 400 1.20 8.6 9.0 10.6 17.7 16.1 8.5 195.0 -50.5 14.8 -21.8 7.5 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P 500 Growth (TR) 1.10 6.5 6.5 19.1 21.0 16.8 8.9 198.0 -44.4 10.8 -16.5 16.0 35.5 14.6 4.7 15.0 31.6 Indexes
Insider Net Purchases 1.87 -8.2 -1.3 -7.3 4.9 -3.0 -6.0 62.8 -65.5 27.8 -27.2 -17.0 21.5 11.5 -31.4 7.4 59.0 Specialty
Dogs of the Dow: Low Priced 5 1.58 0.3 2.6 10.3 20.8 18.1 0.2 259.9 -82.9 27.6 -34.8 7.4 34.5 15.7 13.1 17.3 -7.7 Value
Graham--Enterprising Investor Revised 1.75 15.3 21.9 31.4 9.8 11.5 24.2 353.0 -49.9 36.4 -22.4 34.0 2.1 -4.9 -4.1 32.9 168.4 Value
Weiss Blue Chip Div Yield 1.22 10.3 11.1 10.8 15.3 16.5 10.1 203.7 -43.1 16.0 -16.8 7.4 21.3 19.2 7.6 26.9 27.9 Value
Dogs of the Dow 1.22 2.6 3.3 11.9 17.1 15.7 3.5 210.2 -69.0 17.1 -23.4 10.1 27.9 9.6 10.7 19.4 8.1 Value
Schloss 1.92 8.2 9.7 -30.8 3.2 -3.8 5.5 18.0 -37.6 27.1 -40.4 -17.4 16.7 13.1 -35.1 12.5 57.5 Value
Fundamental Rule of Thumb 1.71 10.4 13.1 -9.1 5.4 0.1 5.5 89.2 -57.0 33.8 -19.2 -9.4 46.1 -6.9 -35.2 17.7 92.1 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.8 16.5 -7.2 12.8 16.5 15.5 259.0 -52.1 25.8 -17.3 -8.6 33.9 18.9 7.0 31.4 57.9 Value
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 14.2 8.8 9.0 7.2 77.4 -31.4 12.0 -13.4 15.1 10.0 1.2 8.6 4.6 7.9 Value
Graham--Enterprising Investor 1.75 11.8 15.8 -12.4 -0.6 6.6 12.6 126.9 -50.3 33.1 -23.4 -11.7 9.6 1.1 -1.1 43.5 48.5 Value
Magic Formula 1.65 8.5 9.8 -10.0 6.8 3.1 4.1 130.9 -51.6 30.7 -22.4 -12.1 27.9 7.9 -30.6 26.6 97.0 Value
O'Shaughnessy: Value 1.34 5.5 5.8 0.4 14.8 8.2 2.2 149.3 -69.1 22.0 -23.8 -2.0 29.6 20.3 -11.2 7.4 31.5 Value
Piotroski: High F-Score 2.07 17.8 30.0 5.4 69.9 33.9 27.0 1,043.2 -53.6 43.1 -42.0 7.5 137.6 91.7 -36.4 138.8 34.6 Value
Price-to-Free-Cash-Flow 1.78 14.5 20.7 15.1 31.3 25.4 17.7 777.9 -62.8 51.2 -31.7 11.5 97.8 1.1 -7.0 39.2 147.2 Value
Cash Rich Firms 1.38 9.6 10.8 7.1 17.0 5.0 4.4 91.7 -45.6 17.6 -20.7 4.6 36.6 10.5 -32.8 14.4 56.9 Value
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 6.6 20.7 16.2 6.7 139.2 -50.5 13.6 -18.6 -4.7 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Lakonishok 1.21 13.1 14.4 12.2 16.4 16.2 14.2 219.6 -32.5 16.6 -17.9 9.2 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
O'Shaughnessy: Growth 1.52 13.1 16.5 -0.4 21.7 17.1 9.6 195.8 -57.2 18.6 -17.9 0.9 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.5 -1.7 23.3 21.4 13.6 171.2 -50.6 18.5 -18.2 -3.1 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 26.8 33.0 18.4 10.2 272.1 -67.3 37.4 -21.0 21.4 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Shaughnessy: All Cap 1.38 9.7 11.0 1.6 9.1 11.0 7.4 118.0 -52.1 18.4 -21.5 -1.9 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum