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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
Piotroski: High F-Score 2.06 18.3 30.9 28.1 50.6 43.5 27.1 1,122.5 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 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-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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
O'Shaughnessy: All Cap 1.37 9.9 11.2 9.7 6.8 11.5 9.9 126.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
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
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 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
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'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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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