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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 7/31/2014
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
O'Shaughnessy: All Cap 1.37 9.9 11.1 8.2 6.3 11.3 9.8 126.1 -52.1 18.4 -21.5 -2.7 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Lakonishok 1.20 12.8 14.1 12.5 10.0 16.5 14.6 205.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
O'Shaughnessy: Growth 1.51 13.3 16.7 7.7 13.5 19.6 11.9 204.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 25.5 16.0 15.8 7.2 137.3 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.52 14.2 18.2 -4.2 15.6 18.3 14.1 169.6 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.6 26.0 32.6 19.3 18.1 11.4 282.2 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Cash Rich Firms 1.37 10.2 11.6 34.5 14.7 8.8 6.5 113.2 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
O'Shaughnessy: Value 1.34 6.1 6.2 19.9 12.5 12.1 4.0 165.9 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Dogs of the Dow 1.22 2.3 3.0 10.1 16.5 17.2 2.9 196.2 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
Graham--Defensive Investor (Utility) 0.92 7.9 7.8 0.3 6.4 7.3 7.6 76.7 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
Schloss 1.91 7.7 8.9 -26.6 -5.7 -5.1 2.3 9.3 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
Graham--Enterprising Investor Revised 1.74 15.1 21.5 10.8 1.6 14.6 25.1 289.1 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
Piotroski: High F-Score 2.06 18.3 30.9 27.4 50.3 43.3 27.1 1,122.5 -53.6 43.1 -42.0 10.3 137.6 91.7 -36.4 138.8 34.6 Value
Magic Formula 1.64 9.0 10.6 1.6 2.5 7.1 5.7 161.4 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Graham--Enterprising Investor 1.75 12.6 17.2 6.1 4.4 13.7 15.7 166.0 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
Weiss Blue Chip Div Yield 1.22 10.3 11.1 15.9 14.5 18.7 10.5 203.3 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Fundamental Rule of Thumb 1.71 10.6 13.5 8.9 -2.6 2.7 9.5 114.2 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.4 13.1 19.5 18.2 -0.2 247.0 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 23.6 16.7 20.9 18.2 297.8 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
Price-to-Free-Cash-Flow 1.77 14.7 21.0 47.0 22.1 31.3 18.1 780.1 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
Insider Net Purchases 1.87 -8.5 -1.5 -8.8 -5.7 -2.9 -4.7 92.2 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
S&P MidCap 400 Growth (TR) 1.31 10.6 11.9 11.1 15.9 18.7 11.1 220.6 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
NASDAQ 100 1.81 7.7 8.6 26.0 18.1 19.4 10.8 175.0 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
Dow Jones 30 0.97 4.6 4.6 6.9 10.9 12.5 5.0 121.1 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.2 8.6 8.4 15.6 17.1 9.2 205.4 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.7 9.4 10.0 15.0 18.9 10.7 241.7 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
S&P SmallCap 600 1.27 7.6 8.0 9.7 14.4 16.9 8.7 207.0 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
S&P MidCap 400 Value (TR) 1.11 8.6 8.8 14.6 17.4 18.9 10.5 223.4 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
All Exchange-Listed Stocks 1.38 9.7 10.9 19.0 13.6 16.6 8.8 236.3 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
S&P 500 1.00 4.2 4.2 14.5 14.3 14.3 5.8 145.7 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
S&P 500 Growth (TR) 1.10 6.0 6.1 19.5 16.7 17.3 8.4 175.6 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
S&P MidCap 400 1.20 8.5 8.9 11.3 13.2 16.9 9.0 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 14.3 17.0 16.3 7.8 174.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 12.4 11.2 19.6 11.1 191.1 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.33 16.3 19.6 13.4 17.2 20.9 15.2 236.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Stock Market Winners 1.46 16.0 20.4 2.1 18.3 28.6 14.6 390.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Oberweis Octagon 1.92 10.3 13.8 9.7 14.6 18.3 10.0 243.7 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Muhlenkamp 1.53 -5.6 -1.4 -47.5 -34.5 -25.4 -11.8 -60.3 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
MAGNET Simple 2.99 9.6 15.9 -27.3 -21.4 5.5 11.9 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
MAGNET Complex 2.71 8.5 11.9 18.8 -3.9 -7.2 -3.8 -29.0 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
ADR Screen 1.48 8.6 9.6 59.3 12.9 12.8 9.8 177.4 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.97 9.7 9.5 22.4 18.5 16.9 7.8 174.4 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Kirkpatrick Value 2.21 8.3 10.5 -15.5 -9.8 -2.7 12.8 -14.3 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Zweig 1.84 12.9 18.4 6.3 5.7 2.8 4.7 62.4 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Wanger (Revised) 1.43 8.7 9.6 19.7 18.2 16.0 11.1 185.5 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Templeton 1.25 9.7 10.5 1.3 19.2 17.0 10.9 217.7 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.1 11.8 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Rule #1 Investing 1.81 10.9 14.5 56.2 29.3 33.9 14.5 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Price-to-Sales 1.32 13.2 15.4 11.0 10.5 16.7 11.0 232.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Neff 1.63 14.0 18.7 6.1 12.0 19.0 11.5 305.7 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Buffettology: EPS Growth 1.22 10.2 11.1 15.5 17.1 19.1 11.5 253.3 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Lynch 1.24 11.6 12.8 30.7 3.1 10.8 10.5 161.2 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Buffett: Hagstrom 1.11 13.9 14.7 10.6 13.9 19.3 12.8 208.3 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
Kirkpatrick Bargain 1.37 7.6 8.0 -2.2 3.2 10.0 14.7 111.6 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.2 14.5 -2.1 -9.0 3.6 5.2 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Fisher (Philip) 2.20 2.5 4.7 24.3 1.7 -2.8 1.8 73.3 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Dreman 1.25 10.1 11.0 8.0 15.4 13.7 8.3 138.9 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Dividend Screen: Non-DRPs 0.91 13.7 13.0 14.8 15.6 16.3 8.9 199.5 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
Dividend Screen: DRPs 1.10 8.7 8.9 16.2 13.2 14.0 6.2 180.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 15.1 12.7 16.2 11.8 221.2 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Murphy Technology 2.76 -12.8 -0.5 35.1 25.1 18.5 10.6 247.8 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Kirkpatrick Growth 2.15 10.8 15.8 3.7 -9.0 5.8 16.5 108.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.5 -17.7 -6.7 9.6 2.5 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.1 33.0 10.2 7.5 19.2 178.2 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.4 17.5 47.3 17.4 15.3 9.3 132.1 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.2 15.8 3.8 7.8 13.0 7.5 178.4 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Driehaus 2.24 9.1 12.4 -7.2 7.3 19.7 18.4 373.4 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Dual Cash Flow 1.53 11.9 14.7 19.3 10.6 14.5 9.1 214.7 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
IBD Stable 70 1.19 10.1 10.8 10.0 15.4 18.9 8.8 214.0 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
Inve$tWare Quality Growth 1.26 7.0 7.1 17.3 10.7 15.3 8.5 158.2 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
Return on Equity 1.29 11.1 12.4 2.4 7.0 14.6 10.0 180.1 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
P/E Relative 1.13 15.2 16.4 4.1 13.9 17.5 15.3 186.0 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Dreman With Est Revisions 1.36 13.6 16.2 22.3 21.5 21.9 16.7 283.1 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Est Rev: Lowest 30 Down 2.33 -6.8 0.8 5.7 2.6 7.3 2.1 198.9 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Est Rev: Down 5% 1.95 -4.5 0.8 5.0 4.0 6.5 3.2 158.4 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.0 25.7 16.2 18.1 24.4 25.7 427.8 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Est Rev: Up 5% 1.76 18.3 27.2 7.2 17.7 22.2 25.1 315.7 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates