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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 12/31/2014
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
Muhlenkamp 1.58 -4.3 -0.3 -48.5 -24.6 -24.9 -12.6 -60.4 -49.0 21.0 -26.2 -48.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Fisher (Philip) 2.21 0.8 3.9 -1.3 11.0 -6.0 -2.0 53.5 -58.2 32.8 -27.9 -1.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Kirkpatrick Value 2.21 8.1 10.1 -15.1 5.7 -5.7 10.0 -17.7 -23.3 49.0 -25.3 -15.1 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Foolish Small Cap 8 Revised 2.13 10.1 14.1 -2.1 11.7 -4.0 4.8 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Insider Net Purchases 1.87 -7.5 -1.0 -11.9 6.1 -2.5 -6.0 72.8 -65.5 27.8 -27.2 -11.9 21.5 11.5 -31.4 7.4 59.0 Specialty
Schloss 1.92 8.6 10.5 -5.9 7.5 -2.0 4.6 34.3 -37.6 27.1 -40.4 -5.9 16.7 13.1 -35.1 12.5 57.5 Value
Fundamental Rule of Thumb 1.71 10.2 12.9 -11.6 6.3 -1.7 4.0 84.6 -57.0 33.8 -19.2 -11.6 46.1 -6.9 -35.2 17.7 92.1 Value
MAGNET Simple 2.98 9.5 15.3 -15.2 -20.0 -0.9 10.9 272.9 -75.9 52.1 -34.0 -15.2 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
MAGNET Complex 2.73 8.8 12.8 7.4 4.7 -0.5 -5.6 -17.5 -55.9 63.0 -28.2 7.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Magic Formula 1.65 8.3 9.4 -16.5 4.8 0.2 3.4 119.2 -51.6 30.7 -22.4 -16.5 27.9 7.9 -30.6 26.6 97.0 Value
Est Rev: Lowest 30 Down 2.33 -9.2 -0.2 -20.4 4.1 0.5 -2.4 133.7 -71.0 43.0 -29.9 -20.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Lynch 1.24 10.4 11.4 -7.2 5.1 0.9 5.3 103.2 -47.5 18.9 -21.3 -7.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Zweig 1.90 12.2 17.4 -14.6 4.7 1.1 1.0 32.0 -54.4 32.7 -24.2 -14.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Kirkpatrick Growth 2.15 10.7 15.4 -1.2 1.7 1.4 14.1 98.9 -38.7 64.1 -23.1 -1.2 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Est Rev: Down 5% 1.95 -5.7 0.2 -13.5 6.6 1.7 -0.3 117.5 -63.8 33.5 -30.5 -13.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Cash Rich Firms 1.38 9.5 10.7 2.5 15.6 3.5 3.6 87.8 -45.6 17.6 -20.7 2.5 36.6 10.5 -32.8 14.4 56.9 Value
Graham--Enterprising Investor 1.76 11.3 15.0 -20.6 -4.2 4.6 11.4 104.1 -50.3 33.1 -23.4 -20.6 9.6 1.1 -1.1 43.5 48.5 Value
Foolish Small Cap 8 2.27 8.2 10.3 -19.9 7.6 5.8 1.8 141.6 -67.7 38.8 -25.9 -19.9 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
O'Shaughnessy: Value 1.34 5.1 5.5 -5.8 13.7 7.0 1.3 139.5 -69.1 22.0 -23.8 -5.8 29.6 20.3 -11.2 7.4 31.5 Value
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 16.0 8.9 8.0 7.3 78.7 -31.4 12.0 -13.4 16.0 10.0 1.2 8.6 4.6 7.9 Value
Kirkpatrick Bargain 1.37 7.8 8.2 5.9 9.3 8.1 12.1 119.5 -43.2 21.1 -21.7 5.9 7.3 14.9 3.6 9.4 22.2 Growth & Value
ADR Screen 1.48 8.2 9.0 27.3 19.8 8.6 7.0 163.0 -68.7 31.1 -29.7 27.3 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dual Cash Flow 1.54 11.3 13.9 -3.2 14.8 9.2 6.0 180.9 -61.0 34.7 -23.6 -3.2 48.9 5.1 -21.6 31.0 76.0 Growth
O'Neil's CAN SLIM 1.92 16.2 25.1 44.1 24.4 9.3 19.2 208.2 -10.1 69.6 -23.1 44.1 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Shaughnessy: All Cap 1.38 9.7 10.9 -1.4 9.5 10.0 7.2 119.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Return on Equity 1.29 10.8 12.1 -8.8 10.4 10.9 7.8 166.3 -47.2 14.6 -22.2 -8.8 34.2 10.1 -5.7 32.0 40.0 Growth
O'Neil's CAN SLIM No Float 1.39 13.3 15.9 2.0 13.2 11.0 7.2 194.5 -61.6 23.5 -35.5 2.0 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Dow Jones 30 0.97 4.9 4.9 7.5 13.4 11.3 5.2 134.2 -49.3 11.8 -15.1 7.5 26.5 7.3 5.5 11.0 18.8 Indexes
Graham--Enterprising Investor Revised 1.75 15.5 22.2 41.9 11.2 11.9 25.1 379.8 -49.9 36.4 -22.4 41.9 2.1 -4.9 -4.1 32.9 168.4 Value
Dreman 1.25 10.0 10.9 7.7 18.3 12.4 6.5 143.0 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Buffettology: Sustainable Growth 1.28 10.3 11.4 3.2 15.1 12.7 10.4 224.0 -41.9 16.5 -20.4 3.2 35.8 8.8 0.7 18.4 68.0 Growth & Value
Price-to-Sales 1.33 12.8 14.9 -5.1 12.9 12.7 8.7 204.4 -55.1 18.3 -20.6 -5.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
S&P 500 1.00 4.5 4.5 11.4 17.8 13.0 5.4 158.0 -52.6 10.8 -16.8 11.4 29.6 13.4 0.0 12.8 23.5 Indexes
All Exchange-Listed Stocks 1.38 9.4 10.5 5.0 18.5 13.0 6.7 220.4 -58.6 23.9 -22.1 5.0 38.1 14.8 -12.3 26.2 65.8 Indexes
Murphy Technology 2.77 -16.5 -1.8 -1.3 25.2 14.0 4.1 172.2 -58.3 58.5 -44.9 -1.3 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Dividend (High Relative Yield) 0.97 9.2 9.1 2.0 16.3 14.1 6.1 157.8 -40.4 12.5 -14.2 2.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.1 -13.1 11.4 14.2 14.9 241.6 -52.1 25.8 -17.3 -13.1 33.9 18.9 7.0 31.4 57.9 Value
P/E Relative 1.13 15.1 16.3 5.3 15.9 14.6 14.1 195.4 -27.6 18.4 -18.3 5.3 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Dogs of the Dow 1.22 2.3 3.1 6.8 14.4 14.6 2.7 201.0 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 8.1 Value
S&P 500 Value (TR) 1.00 6.1 6.1 12.5 20.4 14.9 7.2 189.2 -56.0 11.3 -17.1 12.5 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P MidCap 400 1.20 8.6 9.0 8.2 18.2 14.9 8.2 197.0 -50.5 14.8 -21.8 8.2 31.6 16.1 -3.1 24.9 35.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 2.3 20.7 15.0 6.6 140.5 -50.5 13.6 -18.6 -4.2 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Wanger (Revised) 1.44 8.7 9.6 1.3 23.6 15.0 9.5 179.1 -51.3 22.8 -19.8 1.3 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Inve$tWare Quality Growth 1.26 7.7 8.0 21.6 23.8 15.1 8.2 205.4 -44.7 18.2 -22.0 21.6 30.4 19.7 -9.4 17.3 39.6 Growth
O'Shaughnessy: Growth 1.51 13.1 16.5 1.7 22.0 15.3 8.8 198.2 -57.2 18.6 -17.9 1.7 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 10.1 10.9 5.4 15.1 15.8 9.6 197.9 -43.1 16.0 -16.8 5.4 21.3 19.2 7.6 26.9 27.9 Value
S&P SmallCap 600 1.27 7.9 8.2 4.4 18.7 15.9 7.8 212.5 -52.2 17.3 -20.2 4.4 39.7 14.8 -0.2 25.0 23.8 Indexes
Lakonishok 1.20 13.2 14.6 13.0 16.7 15.9 13.9 230.8 -32.5 16.6 -17.9 13.0 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.4 6.4 14.9 20.4 16.0 8.4 195.1 -44.4 10.8 -16.5 14.9 35.5 14.6 4.7 15.0 31.6 Indexes
Buffettology: EPS Growth 1.22 10.2 11.0 4.4 19.2 16.2 10.5 259.7 -48.4 15.1 -20.8 4.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.4 8.9 7.5 19.7 16.2 8.3 214.4 -51.0 18.4 -19.6 7.5 35.6 17.8 -1.2 24.7 20.6 Indexes
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.3 3.0 17.0 16.3 -0.6 245.2 -82.9 27.6 -34.8 3.0 34.5 15.7 13.1 17.3 -7.7 Value
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 3.5 17.2 16.4 9.7 199.8 -50.1 12.7 -19.1 3.5 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 12.1 21.8 16.7 9.6 229.5 -49.4 15.7 -21.8 12.1 34.3 20.1 -2.4 22.8 33.7 Indexes
O'Shaughnessy: Tiny Titans 1.92 16.5 25.8 25.7 32.5 16.8 9.2 285.1 -67.3 37.4 -21.0 25.7 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Neff 1.64 14.0 18.8 5.1 19.0 16.9 9.9 314.3 -52.8 32.6 -21.7 5.1 39.5 15.0 -4.2 35.0 52.5 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 5.8 20.3 17.3 10.5 228.5 -47.7 19.0 -22.2 7.6 32.8 15.8 -0.9 30.6 38.1 Indexes
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.7 3.9 19.4 17.8 9.7 248.3 -51.1 17.0 -21.7 3.9 42.6 14.9 4.1 28.0 30.7 Indexes
NASDAQ 100 1.80 7.8 8.9 17.9 23.0 17.9 10.1 202.6 -50.1 25.0 -27.5 17.9 35.0 16.8 2.7 19.2 53.5 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 18.0 37.3 31.7 17.9 9.2 166.3 -27.8 52.7 -26.7 37.3 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Buffett: Hagstrom 1.12 14.0 14.9 9.6 18.8 18.3 12.2 230.6 -39.8 13.2 -19.0 9.6 35.4 13.0 8.2 27.7 30.0 Growth & Value
Templeton 1.26 10.2 11.2 13.0 24.2 19.3 10.6 231.5 -40.0 14.5 -23.1 13.0 29.4 31.0 3.2 22.4 54.7 Growth & Value
Driehaus 2.26 9.5 13.2 -0.7 19.6 19.5 18.5 415.2 -53.4 51.3 -25.7 -0.7 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.3 19.6 8.9 23.7 19.6 13.7 252.6 -50.2 15.7 -23.1 8.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.5 18.8 2.4 25.1 19.8 13.0 186.6 -50.6 18.5 -18.2 2.4 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Est Rev: Up 5% 1.76 18.2 27.1 5.5 20.1 20.1 23.7 329.0 -23.4 30.8 -21.7 5.5 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Oberweis Octagon 1.92 10.1 13.3 -5.9 20.1 21.4 6.8 219.7 -70.6 24.6 -23.2 -5.9 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Dreman With Est Revisions 1.36 13.9 16.5 14.2 20.5 21.9 16.0 304.3 -39.9 21.4 -26.2 14.2 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Est Rev: Top 30 Up 1.83 16.9 25.5 8.3 23.3 22.0 23.7 430.6 -37.8 36.4 -26.7 8.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 22.6 7.5 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.5 20.6 12.4 30.9 23.8 16.6 784.8 -62.8 51.2 -31.7 12.4 97.8 1.1 -7.0 39.2 147.2 Value
Rule #1 Investing 1.81 10.7 14.1 50.3 35.0 27.8 12.6 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Stock Market Winners 1.46 16.1 20.5 9.7 18.9 35.5 13.8 419.7 -51.3 22.0 -23.4 9.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 17.5 29.2 -0.3 65.5 47.1 24.7 961.0 -53.6 43.1 -42.0 -0.3 137.6 91.7 -36.4 138.8 34.6 Value