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 10/31/2016
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 2015 2014 2013 2012 2011
Piotroski: High F-Score 2.08 14.8 23.7 5.4 -10.8 21.0 15.4 735.6 -53.6 43.1 -42.0 17.9 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Free-Cash-Flow 1.78 13.6 19.2 1.4 11.9 20.4 15.1 1,035.9 -62.8 51.2 -31.7 11.3 12.4 97.8 1.1 -7.0 39.2 Value
Est Rev: Top 30 Up 1.82 16.2 24.1 15.8 14.0 18.6 20.1 651.5 -37.8 36.4 -26.7 16.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.22 9.8 13.8 23.7 14.6 18.5 18.1 674.3 -53.4 51.3 -25.7 18.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.1 16.9 -14.8 15.5 18.2 11.2 198.4 -27.8 52.7 -26.7 -13.2 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.1 18.8 9.9 16.6 19.4 454.7 -23.4 30.8 -21.7 20.6 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Stock Market Winners 1.43 15.9 19.9 8.2 12.8 16.5 14.1 627.4 -51.3 22.0 -23.4 8.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.91 14.9 22.6 -3.6 7.6 16.2 5.2 305.5 -67.3 37.4 -21.0 0.0 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.4 3.2 8.2 9.8 15.8 -0.4 388.9 -82.9 27.6 -34.8 9.4 3.0 34.5 15.7 13.1 17.3 Value
Dreman With Est Revisions 1.35 13.0 15.4 -5.6 12.3 15.7 12.9 381.1 -39.9 21.4 -26.2 3.1 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
NASDAQ 100 1.78 7.8 8.7 3.3 12.4 15.3 10.9 242.9 -50.1 25.0 -27.5 4.5 17.9 35.0 16.8 2.7 19.2 Indexes
Wanger (Revised) 1.44 8.5 9.4 11.8 7.7 14.8 8.1 242.2 -51.3 22.8 -19.8 15.3 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 8.6 7.0 14.1 8.0 276.0 -49.4 15.7 -21.8 12.8 12.1 34.3 20.1 -2.4 22.8 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.3 2.7 10.2 14.0 8.4 249.7 -44.4 10.8 -16.5 4.1 14.9 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.53 13.0 16.4 -9.1 0.3 13.8 7.9 183.3 -50.6 18.5 -18.2 -3.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.29 10.2 11.3 6.3 6.1 13.6 9.3 285.1 -47.7 19.0 -22.2 6.0 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.5 9.1 3.7 6.2 13.3 9.0 308.6 -51.1 17.0 -21.7 5.6 3.9 42.6 14.9 4.1 28.0 Indexes
O'Shaughnessy: Growth 1.50 12.2 15.0 5.3 3.8 13.2 7.0 229.4 -57.2 18.6 -17.9 10.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 7.9 8.2 9.4 4.9 13.1 6.3 257.0 -51.0 18.4 -19.6 12.3 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P 500 Value (TR) 1.00 5.8 5.8 6.4 7.3 13.1 5.2 231.5 -56.0 11.3 -17.1 7.7 12.5 33.7 17.7 -0.5 15.1 Indexes
T. Rowe Price 1.69 9.6 11.8 38.1 19.2 13.1 11.2 740.2 -62.5 33.5 -20.0 38.1 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Value on the Move--PEG With Est Growth 1.34 14.7 17.6 -5.3 5.1 13.1 9.8 273.5 -50.2 15.7 -23.1 -2.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
ADR Screen 1.47 8.1 8.8 16.3 14.0 12.6 4.0 228.1 -68.7 31.1 -29.7 21.5 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Oberweis Octagon 1.94 9.4 12.2 24.1 1.3 12.6 4.9 252.1 -70.6 24.6 -23.2 28.8 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Buffettology: EPS Growth 1.20 9.7 10.3 2.1 5.3 12.5 9.4 306.0 -48.4 15.1 -20.8 4.2 4.4 38.4 17.4 3.8 20.5 Growth & Value
Templeton 1.26 8.8 9.4 -0.2 1.1 12.3 8.3 232.2 -40.0 14.5 -23.1 5.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Dogs of the Dow 1.21 2.9 3.5 14.5 7.8 12.3 2.9 286.1 -69.0 17.1 -23.4 15.3 6.8 27.9 9.6 10.7 19.4 Value
S&P SmallCap 600 1.27 7.4 7.6 4.8 4.7 12.1 6.4 250.8 -52.2 17.3 -20.2 7.6 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Neil's CAN SLIM 1.92 14.2 21.3 -5.8 1.7 11.8 13.8 159.8 -10.1 69.6 -23.1 -5.8 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Buffett: Hagstrom 1.10 13.0 13.7 4.2 6.8 11.8 10.5 278.1 -39.8 13.2 -19.0 5.5 9.6 35.4 13.0 8.2 27.7 Growth & Value
Lakonishok 1.20 12.3 13.4 5.3 9.1 11.6 11.9 273.2 -32.5 16.6 -17.9 9.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Dividend (High Relative Yield) 0.98 8.5 8.5 12.0 4.5 11.2 5.7 187.2 -40.4 12.5 -14.2 16.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P MidCap 400 1.19 8.1 8.3 4.5 5.4 11.2 6.8 235.9 -50.5 14.8 -21.8 7.9 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P 500 1.00 4.3 4.3 2.3 6.6 11.1 4.4 189.2 -52.6 10.8 -16.8 4.0 11.4 29.6 13.4 0.0 12.8 Indexes
Buffettology: Sustainable Growth 1.27 10.0 10.9 6.0 6.7 11.1 10.0 284.8 -41.9 16.5 -20.4 8.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
Price-to-Sales 1.33 12.3 14.2 18.1 5.9 11.0 7.3 287.8 -55.1 18.3 -20.6 22.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.24 6.2 6.2 -1.8 1.9 10.9 3.2 143.0 -50.5 13.6 -18.6 -2.5 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Inve$tWare Quality Growth 1.27 6.8 6.8 -15.7 5.4 10.8 5.7 211.0 -44.7 18.2 -22.0 -5.4 21.6 30.4 19.7 -9.4 17.3 Growth
Value on the Move--PEG With Hist Growth 1.05 12.8 13.1 -1.7 5.2 10.3 8.0 228.7 -50.1 12.7 -19.1 -3.0 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Dreman 1.25 9.1 9.7 1.1 3.6 9.9 3.0 198.1 -55.0 23.9 -22.2 4.7 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.4 14.6 -4.7 2.6 9.6 6.0 213.4 -61.6 23.5 -35.5 -4.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
P/E Relative 1.14 13.5 14.5 10.3 2.0 9.1 10.2 225.8 -27.6 18.4 -18.3 11.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
All Exchange-Listed Stocks 1.37 8.5 9.2 1.2 2.0 8.9 4.5 240.5 -58.6 23.9 -22.1 7.7 5.0 38.1 14.8 -12.3 26.2 Indexes
Dow Jones 30 0.98 4.6 4.5 2.7 5.1 8.7 4.2 156.9 -49.3 11.8 -15.1 4.1 7.5 26.5 7.3 5.5 11.0 Indexes
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 24.9 7.4 7.4 4.4 103.6 -31.4 12.2 -13.7 16.2 16.0 10.0 1.2 8.6 4.6 Value
Weiss Blue Chip Div Yield 1.25 8.9 9.4 -3.9 1.1 7.2 6.8 201.3 -43.1 16.0 -16.8 9.7 5.4 21.3 19.2 7.6 26.9 Value
Return on Equity 1.27 10.2 11.3 2.4 0.2 7.1 6.2 203.5 -47.2 14.6 -22.2 7.4 -8.8 34.2 10.1 -5.7 32.0 Growth
Cash Rich Firms 1.38 8.3 9.0 -8.1 -1.2 7.0 1.8 89.0 -45.6 17.6 -20.7 -0.9 2.5 36.6 10.5 -32.8 14.4 Value
Graham--Defensive Investor (Non-Utility) 1.38 12.2 14.4 0.2 -4.6 6.8 10.3 282.0 -52.1 25.8 -17.3 6.6 -13.1 33.9 18.9 7.0 31.4 Value
Foolish Small Cap 8 2.38 8.1 10.4 -20.8 7.0 6.7 1.3 204.2 -67.7 38.8 -25.9 3.3 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Shaughnessy: Value 1.34 4.2 4.8 6.4 -0.9 6.4 -0.8 161.3 -69.1 22.0 -23.8 10.8 -5.8 29.6 20.3 -11.2 7.4 Value
O'Shaughnessy: All Cap 1.46 8.8 9.9 20.5 2.6 6.4 3.3 142.1 -52.1 18.4 -21.5 24.7 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Neff 1.63 12.0 15.5 -10.0 -5.1 5.5 5.8 278.5 -52.8 32.6 -21.7 3.1 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Graham--Enterprising Investor Revised 1.75 13.9 19.4 -7.2 8.2 4.7 17.2 479.4 -49.9 36.4 -22.4 -7.8 41.9 2.1 -4.9 -4.1 32.9 Value
Fundamental Rule of Thumb 1.70 9.9 12.3 11.2 2.3 4.7 2.9 141.4 -57.0 33.8 -19.2 14.4 -11.6 46.1 -6.9 -35.2 17.7 Value
Dual Cash Flow 1.55 9.8 11.7 -0.4 -2.9 4.4 2.0 187.3 -61.0 34.7 -23.6 5.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Murphy Technology 2.73 -20.4 -3.3 -7.1 -9.8 4.4 -1.0 107.5 -58.3 58.5 -44.9 -14.8 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Fisher (Philip) 2.26 0.0 3.6 -1.6 -1.9 4.3 0.3 80.4 -58.2 32.8 -27.9 -17.5 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Kirkpatrick Bargain 1.36 6.7 6.7 -7.4 -0.3 3.3 6.6 101.7 -43.2 21.1 -21.7 -3.1 5.9 7.3 14.9 3.6 9.4 Growth & Value
Est Rev: Lowest 30 Down 2.33 -7.4 0.5 27.5 -0.7 3.0 -2.7 213.1 -71.0 43.0 -29.9 31.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Kirkpatrick Value 2.19 7.9 9.6 18.1 -3.4 2.3 4.5 -10.8 -23.3 49.0 -25.3 17.9 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Foolish Small Cap 8 Revised 2.37 8.3 10.9 -43.4 -8.1 1.7 0.2 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Est Rev: Down 5% 1.96 -6.0 0.1 4.1 -3.1 1.7 -2.4 141.6 -63.8 33.5 -30.5 8.8 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Zweig 1.91 10.9 14.9 -16.4 -6.4 1.6 -3.6 17.8 -54.4 32.7 -24.2 -5.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Magic Formula 1.63 7.4 8.0 -1.1 -6.8 0.6 2.4 120.5 -51.6 30.7 -22.4 7.2 -16.5 27.9 7.9 -30.6 26.6 Value
Rule #1 Investing 1.90 7.2 7.9 -30.3 -13.9 0.6 4.2 239.4 -54.0 27.0 -28.5 -17.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Kirkpatrick Growth 2.10 10.3 14.4 13.7 3.6 -0.2 10.9 129.4 -38.7 64.1 -23.1 11.1 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Insider Net Purchases 1.92 -10.2 -2.2 1.2 -9.6 -0.7 -6.9 41.2 -65.5 27.8 -27.2 -4.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Lynch 1.27 9.0 9.7 -7.0 -5.9 -0.7 2.8 100.3 -47.5 18.9 -21.3 7.3 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
MAGNET Simple Revised 2.30 -6.2 1.0 -5.0 -1.8 -3.3 -1.6 -23.8 -31.0 38.9 -35.9 -13.8 -13.7 45.7 -25.0 -45.7 32.9
Schloss 1.95 6.9 7.3 -20.3 -13.6 -3.4 -2.6 6.2 -37.6 27.1 -40.4 -13.4 -5.9 16.7 13.1 -35.1 12.5 Value
MAGNET Simple 2.95 9.5 15.5 52.4 4.0 -7.7 4.0 551.5 -75.9 52.1 -34.0 49.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
MAGNET Complex Revised 2.20 -3.8 1.8 -3.3 -7.1 -11.6 -6.6 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
MAGNET Complex 2.74 6.6 6.9 -37.3 -15.8 -13.6 -10.1 -61.1 -55.9 63.0 -28.2 -20.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Muhlenkamp 1.57 -3.3 0.2 -4.7 -16.4 -14.4 -13.0 -51.6 -49.0 21.0 -26.2 -0.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum