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 5/29/2015
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 2014 2013 2012 2011 2010
Stock Market Winners 1.45 16.3 20.7 16.8 18.3 31.2 13.6 448.3 -51.3 22.0 -23.4 11.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 16.8 27.8 -20.1 39.7 30.4 23.7 630.4 -53.6 43.1 -42.0 -8.5 -0.3 137.6 91.7 -36.4 138.8 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.1 19.0 62.6 35.9 27.4 12.3 205.8 -27.8 52.7 -26.7 24.3 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Rule #1 Investing 1.81 10.9 14.4 10.6 37.4 26.6 14.5 496.4 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Est Rev: Top 30 Up 1.83 17.0 25.7 25.5 25.1 22.9 24.0 400.4 -37.8 36.4 -26.7 13.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Dreman With Est Revisions 1.36 13.6 16.1 9.1 21.1 21.7 15.7 278.1 -39.9 21.4 -26.2 0.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 16.8 20.3 32.8 28.3 21.6 15.4 255.6 -50.2 15.7 -23.1 19.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Est Rev: Up 5% 1.76 18.2 27.1 25.3 21.3 21.3 24.6 303.2 -23.4 30.8 -21.7 15.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 20.7 8.4 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.1 37.0 20.3 16.9 517.8 -62.8 51.2 -31.7 3.5 12.4 97.8 1.1 -7.0 39.2 Value
NASDAQ 100 1.80 7.9 9.1 20.6 21.3 19.5 11.3 215.3 -50.1 25.0 -27.5 6.4 17.9 35.0 16.8 2.7 19.2 Indexes
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 8.9 16.4 19.0 0.4 190.4 -82.9 27.6 -34.8 7.5 3.0 34.5 15.7 13.1 17.3 Value
Buffett: Hagstrom 1.12 13.8 14.7 13.7 15.0 18.1 11.8 209.4 -39.8 13.2 -19.0 2.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P 500 Growth (TR) 1.10 6.5 6.6 14.5 19.9 18.0 9.1 180.5 -44.4 10.8 -16.5 4.8 14.9 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.1 6.0 21.8 17.9 12.8 148.7 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.0 24.8 19.6 28.3 17.9 17.7 223.4 -10.1 69.6 -23.1 5.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
S&P SmallCap 600 Growth (TR) 1.32 9.0 9.8 13.9 19.9 17.8 10.3 209.5 -51.1 17.0 -21.7 5.8 3.9 42.6 14.9 4.1 28.0 Indexes
Templeton 1.26 10.0 10.9 8.4 21.9 17.8 10.5 195.7 -40.0 14.5 -23.1 -1.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Inve$tWare Quality Growth 1.26 7.9 8.3 34.4 21.0 16.9 8.8 187.6 -44.7 18.2 -22.0 7.5 21.6 30.4 19.7 -9.4 17.3 Growth
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 10.6 20.0 16.5 10.6 192.4 -47.7 19.0 -22.2 7.5 7.6 32.8 15.8 -0.9 30.6 Indexes
Wanger (Revised) 1.44 8.8 9.7 6.5 23.3 16.4 10.7 158.5 -51.3 22.8 -19.8 5.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 9.9 21.2 16.3 9.9 191.8 -49.4 15.7 -21.8 3.4 12.1 34.3 20.1 -2.4 22.8 Indexes
Lakonishok 1.20 13.2 14.5 18.6 18.8 16.3 14.7 202.5 -32.5 16.6 -17.9 5.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Driehaus 2.25 9.4 13.0 18.1 19.5 15.8 19.9 370.9 -53.4 51.3 -25.7 2.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Weiss Blue Chip Div Yield 1.22 9.8 10.5 -0.2 12.4 15.7 9.4 156.9 -43.1 16.0 -16.8 -1.5 5.4 21.3 19.2 7.6 26.9 Value
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 14.5 17.9 15.4 10.1 184.0 -50.1 12.7 -19.1 5.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Buffettology: EPS Growth 1.22 10.0 10.8 7.1 17.6 15.1 10.8 211.3 -48.4 15.1 -20.8 0.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P 500 Value (TR) 1.00 6.1 6.1 9.0 19.5 15.1 7.3 162.5 -56.0 11.3 -17.1 1.5 12.5 33.7 17.7 -0.5 15.1 Indexes
Dogs of the Dow 1.22 2.3 3.0 3.5 13.5 15.1 3.2 161.9 -69.0 17.1 -23.4 0.6 6.8 27.9 9.6 10.7 19.4 Value
S&P SmallCap 600 1.27 7.8 8.2 9.2 18.5 15.1 8.2 169.4 -52.2 17.3 -20.2 2.6 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.7 9.1 10.6 18.1 14.9 8.6 167.3 -50.5 14.8 -21.8 5.0 8.2 31.6 16.1 -3.1 24.9 Indexes
O'Neil's CAN SLIM No Float 1.39 13.3 16.0 14.4 13.4 14.6 6.9 233.9 -61.6 23.5 -35.5 7.8 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 7.3 18.8 14.6 8.6 164.2 -51.0 18.4 -19.6 0.3 7.5 35.6 17.8 -1.2 24.7 Indexes
P/E Relative 1.13 15.1 16.2 11.2 16.7 14.5 14.4 176.9 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Neff 1.63 13.9 18.7 7.8 18.5 14.4 11.7 225.6 -52.8 32.6 -21.7 5.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 13.5 16.2 -7.3 14.2 14.2 16.2 196.1 -52.1 25.8 -17.3 8.2 -13.1 33.9 18.9 7.0 31.4 Value
S&P 500 1.00 4.6 4.6 9.6 17.1 14.1 5.9 138.9 -52.6 10.8 -16.8 2.4 11.4 29.6 13.4 0.0 12.8 Indexes
Dividend (High Relative Yield) 0.97 9.0 8.9 -2.9 15.6 14.0 6.8 137.2 -40.4 12.5 -14.2 0.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Shaughnessy: Growth 1.51 12.9 16.2 1.7 20.7 14.0 9.7 178.9 -57.2 18.6 -17.9 1.2 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Foolish Small Cap 8 2.30 9.0 12.3 53.9 26.8 13.5 3.7 149.9 -67.7 38.8 -25.9 43.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 0.9 20.8 12.9 5.5 127.7 -50.5 13.6 -18.6 -3.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Price-to-Sales 1.32 12.8 14.8 1.0 13.9 12.9 9.3 173.4 -55.1 18.3 -20.6 5.1 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Dreman 1.25 10.1 11.0 11.6 19.0 12.5 7.2 133.2 -55.0 23.9 -22.2 6.0 7.7 27.6 20.6 -11.7 22.7 Growth & Value
All Exchange-Listed Stocks 1.37 9.5 10.6 4.5 18.0 12.4 7.9 176.5 -58.6 23.9 -22.1 4.8 5.0 38.1 14.8 -12.3 26.2 Indexes
Dow Jones 30 0.97 4.9 4.8 7.7 13.3 12.2 5.6 118.4 -49.3 11.8 -15.1 1.1 7.5 26.5 7.3 5.5 11.0 Indexes
Murphy Technology 2.76 -16.6 -1.9 -16.6 18.5 12.1 2.7 139.4 -58.3 58.5 -44.9 -1.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Graham--Enterprising Investor Revised 1.75 15.4 22.1 32.8 18.4 11.9 23.5 297.1 -49.9 36.4 -22.4 7.7 41.9 2.1 -4.9 -4.1 32.9 Value
Return on Equity 1.28 10.9 12.2 5.6 11.8 11.8 8.7 149.1 -47.2 14.6 -22.2 6.5 -8.8 34.2 10.1 -5.7 32.0 Growth
O'Shaughnessy: Tiny Titans 1.92 16.1 25.1 0.5 30.4 11.7 10.4 222.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Buffettology: Sustainable Growth 1.28 9.9 10.9 2.9 14.2 10.6 10.0 172.2 -41.9 16.5 -20.4 -3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
ADR Screen 1.48 8.1 8.8 -0.1 19.9 10.1 7.9 127.9 -68.7 31.1 -29.7 0.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Oberweis Octagon 1.93 9.7 12.7 -4.6 14.0 9.9 7.8 198.2 -70.6 24.6 -23.2 -4.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
O'Shaughnessy: Value 1.34 5.0 5.4 -8.3 13.2 9.6 1.6 99.9 -69.1 22.0 -23.8 0.1 -5.8 29.6 20.3 -11.2 7.4 Value
O'Shaughnessy: All Cap 1.39 9.7 10.9 3.7 10.3 9.5 7.3 107.0 -52.1 18.4 -21.5 4.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Kirkpatrick Bargain 1.36 7.3 7.5 -1.0 4.9 8.4 10.6 79.6 -43.2 21.1 -21.7 -7.7 5.9 7.3 14.9 3.6 9.4 Growth & Value
Graham--Enterprising Investor 1.78 12.0 16.3 2.0 0.7 7.4 13.4 141.9 -50.3 33.1 -23.4 28.5 -20.6 9.6 1.1 -1.1 43.5 Value
Dual Cash Flow 1.53 11.2 13.8 -1.8 14.7 6.9 6.7 132.7 -61.0 34.7 -23.6 3.0 -3.2 48.9 5.1 -21.6 31.0 Growth
Graham--Defensive Investor (Utility) 0.96 6.8 6.8 -14.0 1.5 5.1 4.4 43.8 -31.4 12.0 -13.7 -18.4 16.0 10.0 1.2 8.6 4.6 Value
Cash Rich Firms 1.38 9.6 10.8 1.4 17.4 4.7 5.3 71.9 -45.6 17.6 -20.7 7.3 2.5 36.6 10.5 -32.8 14.4 Value
Zweig 1.91 12.5 18.0 -5.6 11.3 4.6 1.7 13.0 -54.4 32.7 -24.2 16.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Est Rev: Down 5% 1.95 -4.8 0.7 -4.2 6.8 2.5 1.4 72.0 -63.8 33.5 -30.5 8.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Foolish Small Cap 8 Revised 2.22 10.7 15.7 32.0 18.3 2.4 7.8 55.1 -64.0 42.9 -31.1 34.9 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Kirkpatrick Growth 2.14 10.5 15.1 4.7 4.6 2.1 14.4 78.4 -38.7 64.1 -23.1 0.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Schloss 1.94 8.3 10.0 20.9 0.6 2.0 4.9 12.0 -37.6 27.1 -40.4 -3.6 -5.9 16.7 13.1 -35.1 12.5 Value
Lynch 1.25 10.7 11.8 -11.8 9.1 1.7 6.2 105.1 -47.5 18.9 -21.3 11.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Fundamental Rule of Thumb 1.70 10.6 13.4 5.8 9.6 1.3 6.3 72.5 -57.0 33.8 -19.2 14.0 -11.6 46.1 -6.9 -35.2 17.7 Value
MAGNET Complex 2.73 8.5 11.9 5.5 13.2 0.7 -3.0 -25.0 -55.9 63.0 -28.2 -9.2 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.33 -8.1 0.2 -9.2 6.1 0.7 0.1 73.3 -71.0 43.0 -29.9 8.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Kirkpatrick Value 2.20 8.1 10.0 4.2 4.7 -0.5 11.1 -18.6 -23.3 49.0 -25.3 2.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Magic Formula 1.64 8.2 9.4 -11.2 2.1 -0.7 5.9 77.8 -51.6 30.7 -22.4 3.3 -16.5 27.9 7.9 -30.6 26.6 Value
Insider Net Purchases 1.87 -5.4 0.1 23.4 7.0 -1.7 -2.3 46.9 -65.5 27.8 -27.2 18.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Simple 2.98 9.2 14.6 -15.0 -15.1 -2.4 10.0 202.4 -75.9 52.1 -34.0 -5.7 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Fisher (Philip) 2.22 3.7 5.2 18.2 19.9 -3.7 0.4 48.8 -58.2 32.8 -27.9 26.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Muhlenkamp 1.58 -2.7 0.7 -11.9 -20.7 -22.1 -11.3 -61.3 -49.0 21.0 -26.2 19.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum