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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 8/29/2014
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 18.2 30.6 34.4 54.1 40.4 27.4 1,056.0 -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 14.4 52.1 33.2 33.8 15.3 574.7 -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 15.9 20.2 5.1 15.2 32.3 15.0 372.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.77 14.7 21.1 46.7 31.7 28.1 19.5 784.7 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.9 11.2 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Est Rev: Top 30 Up 1.83 17.0 25.8 24.0 23.0 23.9 26.5 411.4 -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 18.4 27.3 16.3 22.7 22.1 26.0 310.2 -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 13.8 16.4 31.4 26.4 22.1 17.0 277.3 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Value on the Move--PEG With Est Growth 1.33 16.6 20.0 25.5 23.0 22.1 16.3 251.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 16.1 20.1 20.8 18.3 302.4 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
Neff 1.63 14.2 19.0 18.3 18.8 20.4 12.0 304.4 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
NASDAQ 100 1.81 7.8 8.9 32.8 22.1 20.2 11.5 191.6 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
O'Shaughnessy: Growth 1.51 13.5 17.1 25.0 21.0 20.0 13.0 208.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 14.1 14.5 18.3 14.8 19.6 11.6 190.7 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 8.9 9.6 16.2 19.7 19.5 11.2 234.3 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
Oberweis Octagon 1.91 10.5 14.1 20.8 23.4 19.5 10.5 244.2 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Buffett: Hagstrom 1.11 14.0 14.8 16.7 16.1 19.3 13.2 210.5 -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 10.3 11.1 17.8 18.4 19.2 11.7 252.1 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.52 14.5 18.8 14.0 23.1 19.2 15.6 169.8 -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 16.7 26.1 49.4 28.2 19.0 12.8 271.5 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Driehaus 2.24 9.0 12.2 -7.9 10.7 19.0 18.8 327.9 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
S&P MidCap 400 Growth (TR) 1.31 10.8 12.2 18.8 20.7 19.0 11.7 216.0 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
S&P MidCap 400 Value (TR) 1.11 8.8 9.1 25.5 22.6 18.9 11.1 225.7 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
Weiss Blue Chip Div Yield 1.21 10.4 11.2 21.5 17.6 18.9 10.8 202.5 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Wanger (Revised) 1.43 8.9 10.0 29.9 24.4 18.8 12.1 184.6 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Templeton 1.26 10.0 10.9 6.9 23.5 18.3 11.8 207.3 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
P/E Relative 1.13 15.4 16.6 12.9 18.2 18.1 15.9 193.2 -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 6.3 6.3 27.5 20.3 17.9 8.9 184.0 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 20.1 22.5 17.9 0.1 250.2 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
IBD Stable 70 1.19 10.1 10.8 10.1 18.0 17.6 8.5 207.1 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
Price-to-Sales 1.32 13.4 15.7 18.5 15.8 17.4 11.7 224.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
S&P SmallCap 600 1.27 7.8 8.2 17.5 19.2 17.4 9.3 202.1 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.4 8.8 17.1 20.5 17.3 9.7 203.0 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.8 48.0 23.1 17.3 9.7 145.6 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
S&P MidCap 400 1.20 8.7 9.2 21.5 18.0 17.1 9.6 194.1 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
Dogs of the Dow 1.22 2.4 3.2 16.7 18.1 16.9 3.0 201.3 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
Dividend (High Relative Yield) 0.97 9.7 9.6 25.8 20.2 16.7 7.6 166.6 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Lakonishok 1.20 13.1 14.4 23.4 15.4 16.7 15.3 209.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Murphy Technology 2.76 -12.2 -0.3 44.3 30.5 16.6 10.9 256.0 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Buffettology: Sustainable Growth 1.28 10.5 11.6 16.8 14.4 16.5 11.8 220.9 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
All Exchange-Listed Stocks 1.38 9.8 11.0 25.7 18.4 16.1 9.3 233.5 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 31.6 19.9 16.0 7.9 133.1 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P 500 Value (TR) 1.00 6.1 6.1 23.0 21.0 15.9 8.1 180.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
Inve$tWare Quality Growth 1.26 7.3 7.5 21.7 17.0 15.4 8.8 176.5 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
Dividend Screen: Non-DRPs 0.91 13.7 13.1 18.3 17.6 15.2 8.5 197.7 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
Return on Equity 1.28 11.2 12.5 8.6 10.8 15.2 10.6 175.0 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Dreman 1.25 10.2 11.1 17.0 19.5 15.0 8.4 142.3 -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 13.4 16.1 7.1 12.3 14.7 8.1 186.1 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.74 15.5 22.1 28.8 5.9 14.5 25.8 341.8 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
S&P 500 1.00 4.4 4.4 22.7 18.0 14.4 6.1 151.1 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
Dividend Screen: DRPs 1.10 8.8 9.1 22.8 16.4 14.3 6.4 184.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Dual Cash Flow 1.53 12.0 14.9 24.9 15.8 13.6 9.8 209.8 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
O'Shaughnessy: All Cap 1.37 10.2 11.6 26.2 12.9 13.6 10.8 134.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Graham--Enterprising Investor 1.74 12.8 17.4 13.5 6.1 12.8 16.4 176.2 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
ADR Screen 1.48 8.7 9.7 62.2 15.7 12.6 9.7 183.2 -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 4.8 4.7 15.4 13.7 12.5 5.3 124.7 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
O'Shaughnessy: Value 1.34 6.2 6.3 24.4 16.9 11.6 4.0 166.5 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Foolish Small Cap 8 2.26 7.8 9.5 -13.8 -0.1 11.0 2.8 106.3 -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 10.4 11.8 32.9 19.7 10.1 7.3 116.4 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
Lynch 1.24 11.4 12.5 25.5 6.2 9.3 9.7 133.4 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Kirkpatrick Bargain 1.37 7.7 8.2 8.2 4.9 8.8 15.5 111.2 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
O'Neil's CAN SLIM 1.91 16.2 25.0 37.8 19.2 8.5 19.0 183.7 -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 8.2 8.1 13.4 8.6 8.5 7.8 70.6 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
Zweig 1.85 13.4 19.3 29.6 15.7 6.6 6.3 64.1 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Est Rev: Lowest 30 Down 2.32 -6.7 0.8 12.5 8.2 6.5 2.3 179.5 -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 9.9 6.7 5.6 5.9 154.7 -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 -4.4 0.9 10.2 8.6 5.4 3.5 142.3 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
MAGNET Simple 2.98 9.7 16.0 -28.8 -19.5 5.3 13.2 291.1 -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 14.4 -2.1 -9.3 5.1 6.0 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Kirkpatrick Growth 2.15 10.9 15.9 13.5 -7.9 4.4 17.1 101.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Fundamental Rule of Thumb 1.71 10.6 13.6 14.1 4.1 2.2 9.4 96.0 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
Fisher (Philip) 2.20 3.0 4.9 24.6 9.8 -1.6 2.0 76.4 -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 -8.1 -1.3 -8.0 1.7 -2.7 -4.1 64.4 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
Kirkpatrick Value 2.21 8.5 10.8 -3.7 -6.4 -3.4 13.5 -11.0 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Schloss 1.91 8.0 9.4 -18.7 1.5 -3.6 3.1 10.0 -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 20.1 -3.6 -6.5 -3.9 -30.5 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Muhlenkamp 1.54 -4.9 -0.9 -45.7 -28.7 -24.9 -11.4 -64.0 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum