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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 2/27/2015
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
Piotroski: High F-Score 2.06 17.3 28.7 -12.0 46.6 36.5 24.1 909.9 -53.6 43.1 -42.0 -4.8 -0.3 137.6 91.7 -36.4 138.8 Value
Stock Market Winners 1.45 16.2 20.5 9.3 17.3 31.3 13.3 433.9 -51.3 22.0 -23.4 2.7 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Rule #1 Investing 1.80 10.7 14.0 37.4 26.2 23.8 12.8 574.7 -54.0 27.0 -26.8 0.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Est Rev: Top 30 Up 1.83 17.2 26.0 19.2 22.0 23.3 24.0 481.8 -37.8 36.4 -26.7 9.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Price-to-Free-Cash-Flow 1.78 14.5 20.7 9.0 27.6 23.1 16.8 809.1 -62.8 51.2 -31.7 2.7 12.4 97.8 1.1 -7.0 39.2 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.9 18.4 46.7 32.0 23.0 9.7 187.9 -27.8 52.7 -26.7 8.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Est Rev: Up 5% 1.75 18.6 27.8 24.9 20.4 22.6 24.8 381.6 -23.4 30.8 -21.7 12.3 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Dreman With Est Revisions 1.35 13.9 16.5 16.0 16.3 22.1 15.3 307.0 -39.9 21.4 -26.2 0.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
T. Rowe Price 1.66 8.6 9.9 4.4 4.5 21.8 6.8 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Driehaus 2.25 9.7 13.8 17.2 19.3 21.0 20.5 466.5 -53.4 51.3 -25.7 10.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
NASDAQ 100 1.80 8.0 9.2 20.1 19.2 19.5 11.4 217.2 -50.1 25.0 -27.5 4.8 17.9 35.0 16.8 2.7 19.2 Indexes
Value on the Move--PEG With Est Growth 1.34 16.6 20.0 17.8 22.3 19.5 13.9 275.9 -50.2 15.7 -23.1 6.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Templeton 1.26 10.3 11.3 12.4 19.0 19.3 10.8 238.3 -40.0 14.5 -23.1 2.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffett: Hagstrom 1.12 14.1 15.0 12.2 14.8 19.0 12.4 239.2 -39.8 13.2 -19.0 2.6 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.1 9.9 8.3 18.0 18.9 10.0 263.1 -51.1 17.0 -21.7 4.3 3.9 42.6 14.9 4.1 28.0 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.5 7.8 20.9 18.2 12.0 178.0 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 14.5 18.0 18.1 0.3 267.2 -82.9 27.6 -34.8 6.4 3.0 34.5 15.7 13.1 17.3 Value
S&P MidCap 400 Growth (TR) 1.30 11.0 12.3 7.8 17.8 17.7 10.6 236.1 -47.7 19.0 -22.2 5.1 7.6 32.8 15.8 -0.9 30.6 Indexes
O'Neil's CAN SLIM 1.92 16.3 25.2 31.2 22.2 17.6 18.8 221.2 -10.1 69.6 -23.1 4.2 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
S&P 500 Growth (TR) 1.10 6.6 6.6 17.2 18.7 17.5 9.1 207.6 -44.4 10.8 -16.5 4.2 14.9 35.5 14.6 4.7 15.0 Indexes
Buffettology: EPS Growth 1.22 10.3 11.2 6.9 15.8 16.8 10.7 269.4 -48.4 15.1 -20.8 2.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
Lakonishok 1.20 13.4 14.8 12.6 14.5 16.8 14.2 243.8 -32.5 16.6 -17.9 3.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.8 9.1 12.1 18.8 16.8 9.9 238.3 -49.4 15.7 -21.8 2.7 12.1 34.3 20.1 -2.4 22.8 Indexes
Inve$tWare Quality Growth 1.26 8.2 8.6 29.6 19.1 16.5 9.4 238.8 -44.7 18.2 -22.0 10.9 21.6 30.4 19.7 -9.4 17.3 Growth
Weiss Blue Chip Div Yield 1.22 10.3 11.1 8.7 14.3 16.5 9.9 208.9 -43.1 16.0 -16.8 3.7 5.4 21.3 19.2 7.6 26.9 Value
Neff 1.63 14.1 18.8 8.3 14.1 16.3 10.5 322.3 -52.8 32.6 -21.7 1.9 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 14.1 14.6 9.2 15.6 16.3 10.0 211.3 -50.1 12.7 -19.1 3.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P SmallCap 600 1.27 7.9 8.3 6.4 16.3 16.2 8.0 219.2 -52.2 17.3 -20.2 2.1 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Shaughnessy: Growth 1.51 13.2 16.6 -0.8 20.4 16.1 8.6 204.9 -57.2 18.6 -17.9 2.3 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Wanger (Revised) 1.44 8.8 9.7 1.2 19.1 16.0 9.7 185.4 -51.3 22.8 -19.8 2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.4 8.8 7.0 16.2 15.8 8.4 215.5 -51.0 18.4 -19.6 0.4 7.5 35.6 17.8 -1.2 24.7 Indexes
O'Neil's CAN SLIM No Float 1.39 13.5 16.2 9.4 12.2 15.7 6.9 210.7 -61.6 23.5 -35.5 5.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P MidCap 400 1.20 8.8 9.2 9.5 15.5 15.3 8.5 208.1 -50.5 14.8 -21.8 3.7 8.2 31.6 16.1 -3.1 24.9 Indexes
Oberweis Octagon 1.93 10.3 13.8 -2.4 20.5 15.2 7.4 246.9 -70.6 24.6 -23.2 8.5 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dogs of the Dow 1.22 2.5 3.2 11.0 14.0 15.0 3.2 207.5 -69.0 17.1 -23.4 2.2 6.8 27.9 9.6 10.7 19.4 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.6 16.3 -7.7 8.6 14.9 15.5 254.9 -52.1 25.8 -17.3 3.9 -13.1 33.9 18.9 7.0 31.4 Value
S&P 500 Value (TR) 1.00 6.2 6.2 13.8 17.2 14.9 7.1 191.5 -56.0 11.3 -17.1 0.8 12.5 33.7 17.7 -0.5 15.1 Indexes
P/E Relative 1.13 15.3 16.4 8.5 13.6 14.7 14.1 203.9 -27.6 18.4 -18.3 2.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: Growth Market Leaders 1.23 7.0 7.1 7.9 18.1 14.7 5.7 136.8 -50.5 13.6 -18.6 -1.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Dividend (High Relative Yield) 0.97 9.3 9.2 2.1 15.6 14.3 6.5 161.8 -40.4 12.5 -14.2 1.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P 500 1.00 4.6 4.6 13.2 15.5 13.8 5.7 163.8 -52.6 10.8 -16.8 2.2 11.4 29.6 13.4 0.0 12.8 Indexes
O'Shaughnessy: Tiny Titans 1.92 16.2 25.1 0.1 26.6 13.8 8.8 257.4 -67.3 37.4 -21.0 -7.2 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Price-to-Sales 1.32 13.0 15.1 -1.2 11.0 13.6 9.0 217.6 -55.1 18.3 -20.6 4.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Murphy Technology 2.76 -15.9 -1.6 -4.8 18.0 13.5 3.3 181.3 -58.3 58.5 -44.9 3.3 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
All Exchange-Listed Stocks 1.37 9.6 10.7 3.5 14.9 13.2 7.3 231.3 -58.6 23.9 -22.1 3.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Dreman 1.25 10.1 11.0 12.3 13.6 12.8 6.5 151.0 -55.0 23.9 -22.2 3.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 5.8 12.2 12.7 10.5 228.2 -41.9 16.5 -20.4 1.3 3.2 35.8 8.8 0.7 18.4 Growth & Value
Dow Jones 30 0.97 5.0 5.0 11.1 11.9 11.9 5.4 138.3 -49.3 11.8 -15.1 1.7 7.5 26.5 7.3 5.5 11.0 Indexes
Return on Equity 1.28 11.0 12.3 -1.4 6.5 11.7 8.4 178.0 -47.2 14.6 -22.2 4.4 -8.8 34.2 10.1 -5.7 32.0 Growth
Graham--Enterprising Investor Revised 1.75 15.5 22.2 30.9 7.6 11.1 24.8 385.5 -49.9 36.4 -22.4 1.2 41.9 2.1 -4.9 -4.1 32.9 Value
Kirkpatrick Bargain 1.36 7.7 8.1 3.0 4.2 9.4 10.4 116.2 -43.2 21.1 -21.7 -1.5 5.9 7.3 14.9 3.6 9.4 Growth & Value
O'Shaughnessy: All Cap 1.38 9.8 11.1 4.6 3.8 9.3 6.2 126.3 -52.1 18.4 -21.5 3.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
ADR Screen 1.48 8.1 8.8 8.0 13.5 9.3 6.4 157.7 -68.7 31.1 -29.7 -2.0 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Dual Cash Flow 1.53 11.4 14.0 -1.9 12.1 8.6 6.1 187.5 -61.0 34.7 -23.6 2.4 -3.2 48.9 5.1 -21.6 31.0 Growth
O'Shaughnessy: Value 1.34 5.3 5.6 -2.6 8.7 8.5 1.3 144.6 -69.1 22.0 -23.8 2.1 -5.8 29.6 20.3 -11.2 7.4 Value
Graham--Enterprising Investor 1.77 11.7 15.7 -7.1 -8.5 7.8 12.6 129.0 -50.3 33.1 -23.4 12.2 -20.6 9.6 1.1 -1.1 43.5 Value
Foolish Small Cap 8 2.27 8.5 10.9 -11.3 8.6 5.7 2.8 168.6 -67.7 38.8 -25.9 11.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Graham--Defensive Investor (Utility) 0.96 7.1 7.1 -7.4 3.1 5.4 5.1 50.4 -31.4 12.0 -13.7 -15.9 16.0 10.0 1.2 8.6 4.6 Value
Kirkpatrick Growth 2.14 10.7 15.6 0.6 2.2 4.0 13.8 105.5 -38.7 64.1 -23.1 3.3 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Est Rev: Down 5% 1.95 -5.4 0.4 -12.2 0.8 2.7 0.6 122.5 -63.8 33.5 -30.5 2.3 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Cash Rich Firms 1.38 9.5 10.6 1.1 12.0 2.3 3.8 88.2 -45.6 17.6 -20.7 0.3 2.5 36.6 10.5 -32.8 14.4 Value
Lynch 1.24 10.7 11.7 -6.7 1.4 1.7 4.9 115.4 -47.5 18.9 -21.3 6.0 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Lowest 30 Down 2.33 -8.8 -0.1 -18.6 -1.2 1.5 -1.5 140.4 -71.0 43.0 -29.9 2.8 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Magic Formula 1.64 8.5 9.9 -9.6 2.2 1.4 3.9 137.3 -51.6 30.7 -22.4 8.2 -16.5 27.9 7.9 -30.6 26.6 Value
MAGNET Simple 2.97 9.6 15.8 1.3 -17.0 1.2 10.5 303.1 -75.9 52.1 -34.0 8.1 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Zweig 1.91 12.3 17.6 -10.4 5.4 0.7 1.3 38.7 -54.4 32.7 -24.2 5.1 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Schloss 1.93 8.3 9.9 11.6 -0.4 0.2 3.6 24.7 -37.6 27.1 -40.4 -7.2 -5.9 16.7 13.1 -35.1 12.5 Value
Fundamental Rule of Thumb 1.70 10.4 13.1 -7.6 1.6 -0.5 3.9 93.9 -57.0 33.8 -19.2 5.0 -11.6 46.1 -6.9 -35.2 17.7 Value
MAGNET Complex 2.73 8.3 11.5 -13.3 -1.4 -1.0 -7.3 -31.2 -55.9 63.0 -28.2 -16.6 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Insider Net Purchases 1.87 -6.4 -0.4 -12.4 4.1 -2.1 -4.7 88.1 -65.5 27.8 -27.2 8.8 -11.9 21.5 11.5 -31.4 7.4 Specialty
Kirkpatrick Value 2.20 8.1 10.1 -14.5 3.5 -3.3 8.8 -17.6 -23.3 49.0 -25.3 0.1 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Fisher (Philip) 2.21 2.7 4.8 14.0 7.5 -5.5 -0.2 77.0 -58.2 32.8 -27.9 15.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Foolish Small Cap 8 Revised 2.12 10.1 14.0 -2.1 11.7 -5.6 4.4 100.9 -64.0 28.1 -31.1 0.0 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Muhlenkamp 1.59 -4.8 -0.6 -52.7 -27.9 -25.6 -13.1 -62.3 -49.0 21.0 -26.2 -4.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum