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 8/31/2016
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
Price-to-Free-Cash-Flow 1.78 13.9 19.6 11.4 19.7 21.7 16.5 1,086.8 -62.8 51.2 -31.7 16.3 12.4 97.8 1.1 -7.0 39.2 Value
Piotroski: High F-Score 2.07 15.1 24.4 5.2 -2.4 20.5 17.3 799.5 -53.6 43.1 -42.0 26.9 -0.3 137.6 91.7 -36.4 138.8 Value
Dreman With Est Revisions 1.36 13.1 15.5 5.3 15.3 18.7 14.0 377.8 -39.9 21.4 -26.2 2.4 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Dogs of the Dow: Low Priced 5 1.55 1.7 3.4 25.6 14.5 18.1 0.6 407.6 -82.9 27.6 -34.8 13.6 3.0 34.5 15.7 13.1 17.3 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.2 17.1 -19.4 21.6 17.8 11.6 198.8 -27.8 52.7 -26.7 -13.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Est Rev: Top 30 Up 1.82 16.1 24.0 13.7 14.6 17.7 20.2 616.4 -37.8 36.4 -26.7 10.6 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.22 9.8 13.9 27.5 15.1 17.6 18.9 670.4 -53.4 51.3 -25.7 17.5 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Wanger (Revised) 1.43 8.8 9.8 24.8 14.7 17.5 9.3 259.6 -51.3 22.8 -19.8 21.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Stock Market Winners 1.43 16.1 20.2 15.3 15.0 17.3 14.7 639.9 -51.3 22.0 -23.4 10.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.90 15.4 23.3 14.1 16.0 17.1 7.5 340.3 -67.3 37.4 -21.0 8.6 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.1 11.8 10.8 16.7 19.6 436.8 -23.4 30.8 -21.7 16.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
NASDAQ 100 1.78 7.8 8.8 11.6 15.8 16.3 11.7 240.8 -50.1 25.0 -27.5 3.9 17.9 35.0 16.8 2.7 19.2 Indexes
T. Rowe Price 1.68 10.1 12.5 80.6 23.5 15.5 12.5 835.7 -62.5 33.5 -20.0 53.8 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P SmallCap 600 Growth (TR) 1.30 8.8 9.5 11.4 11.3 15.3 10.1 329.1 -51.1 17.0 -21.7 10.9 3.9 42.6 14.9 4.1 28.0 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.5 11.7 13.3 11.1 15.2 10.3 300.6 -47.7 19.0 -22.2 11.1 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P 500 Growth (TR) 1.10 6.5 6.5 11.8 14.0 15.1 9.2 255.9 -44.4 10.8 -16.5 6.0 14.9 35.5 14.6 4.7 15.0 Indexes
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 13.3 10.9 14.9 8.7 283.9 -49.4 15.7 -21.8 15.2 12.1 34.3 20.1 -2.4 22.8 Indexes
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 0.5 10.0 14.6 10.8 294.5 -50.2 15.7 -23.1 2.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 15.4 9.5 14.4 7.4 267.7 -51.0 18.4 -19.6 15.7 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 13.2 10.4 14.2 6.0 237.8 -56.0 11.3 -17.1 9.8 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.52 13.2 16.8 -0.7 5.5 14.0 9.4 194.1 -50.6 18.5 -18.2 -0.1 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Dogs of the Dow 1.21 3.0 3.6 25.6 10.4 13.8 3.7 292.5 -69.0 17.1 -23.4 17.2 6.8 27.9 9.6 10.7 19.4 Value
S&P SmallCap 600 1.26 7.6 7.9 11.6 9.6 13.7 7.4 265.6 -52.2 17.3 -20.2 12.1 4.4 39.7 14.8 -0.2 25.0 Indexes
Oberweis Octagon 1.94 9.6 12.5 19.7 6.3 13.3 5.1 261.8 -70.6 24.6 -23.2 32.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Templeton 1.26 9.0 9.7 3.9 1.9 13.3 9.6 241.3 -40.0 14.5 -23.1 8.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: Growth 1.50 12.4 15.3 10.7 8.6 12.7 7.6 235.3 -57.2 18.6 -17.9 12.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Buffettology: EPS Growth 1.21 9.7 10.4 7.7 8.7 12.6 10.0 306.2 -48.4 15.1 -20.8 4.3 4.4 38.4 17.4 3.8 20.5 Growth & Value
Lakonishok 1.20 12.6 13.7 9.5 13.1 12.5 12.6 284.9 -32.5 16.6 -17.9 13.0 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Buffett: Hagstrom 1.10 13.2 13.9 7.3 10.1 12.4 11.8 284.3 -39.8 13.2 -19.0 7.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
Inve$tWare Quality Growth 1.27 7.2 7.3 -9.3 10.8 12.3 7.7 235.8 -44.7 18.2 -22.0 2.2 21.6 30.4 19.7 -9.4 17.3 Growth
Dividend (High Relative Yield) 0.98 8.7 8.6 12.3 8.9 12.3 6.5 192.6 -40.4 12.5 -14.2 18.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P MidCap 400 1.19 8.3 8.6 10.4 9.7 12.3 7.6 248.2 -50.5 14.8 -21.8 11.9 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P 500 1.00 4.4 4.4 10.1 9.9 12.2 5.2 195.3 -52.6 10.8 -16.8 6.2 11.4 29.6 13.4 0.0 12.8 Indexes
Dreman 1.25 9.4 10.1 8.2 6.7 12.1 4.3 211.4 -55.0 23.9 -22.2 9.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.24 6.5 6.5 11.3 10.1 11.8 4.4 152.4 -50.5 13.6 -18.6 1.3 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Price-to-Sales 1.33 12.5 14.5 24.2 9.6 11.5 8.5 297.6 -55.1 18.3 -20.6 25.9 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Value on the Move--PEG With Hist Growth 1.05 13.1 13.5 5.9 9.3 10.8 8.6 240.1 -50.1 12.7 -19.1 0.3 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
P/E Relative 1.14 13.7 14.7 12.0 4.4 10.7 11.0 229.8 -27.6 18.4 -18.3 13.3 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Buffettology: Sustainable Growth 1.27 10.0 10.9 12.2 9.1 10.7 10.5 279.1 -41.9 16.5 -20.4 6.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
Fisher (Philip) 2.23 4.4 5.6 32.9 15.5 10.4 4.1 153.5 -58.2 32.8 -27.9 16.0 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.8 15.1 8.9 7.4 10.4 7.3 231.0 -61.6 23.5 -35.5 0.9 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
ADR Screen 1.48 8.1 8.9 15.3 19.5 10.3 4.9 229.1 -68.7 31.1 -29.7 21.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Foolish Small Cap 8 2.37 8.5 11.2 -15.6 11.5 9.9 3.0 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 14.4 21.6 -16.1 8.9 9.7 14.2 165.8 -10.1 69.6 -23.1 -3.6 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Dow Jones 30 0.98 4.7 4.6 11.3 7.5 9.6 4.9 160.5 -49.3 11.8 -15.1 5.6 7.5 26.5 7.3 5.5 11.0 Indexes
All Exchange-Listed Stocks 1.37 8.7 9.5 3.4 5.9 9.4 5.4 251.5 -58.6 23.9 -22.1 11.2 5.0 38.1 14.8 -12.3 26.2 Indexes
Weiss Blue Chip Div Yield 1.25 9.0 9.7 1.4 4.9 9.1 7.9 208.9 -43.1 16.0 -16.8 12.5 5.4 21.3 19.2 7.6 26.9 Value
Graham--Defensive Investor (Non-Utility) 1.38 12.5 14.8 5.8 0.6 8.7 11.1 298.6 -52.1 25.8 -17.3 11.3 -13.1 33.9 18.9 7.0 31.4 Value
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 28.7 8.9 7.9 4.7 101.0 -31.4 12.2 -13.7 14.7 16.0 10.0 1.2 8.6 4.6 Value
Return on Equity 1.27 10.4 11.5 11.5 5.1 7.8 7.4 211.1 -47.2 14.6 -22.2 10.1 -8.8 34.2 10.1 -5.7 32.0 Growth
O'Shaughnessy: All Cap 1.46 8.9 10.0 12.9 6.1 6.4 4.2 142.6 -52.1 18.4 -21.5 25.0 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Cash Rich Firms 1.38 8.4 9.1 -7.7 1.8 6.4 2.2 89.4 -45.6 17.6 -20.7 -0.7 2.5 36.6 10.5 -32.8 14.4 Value
Neff 1.63 12.0 15.6 -13.3 -1.2 6.4 6.5 272.4 -52.8 32.6 -21.7 1.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Shaughnessy: Value 1.34 4.0 4.7 6.3 1.9 6.3 -0.4 154.8 -69.1 22.0 -23.8 8.1 -5.8 29.6 20.3 -11.2 7.4 Value
Murphy Technology 2.73 -19.5 -3.0 5.1 -5.3 5.5 -0.3 121.4 -58.3 58.5 -44.9 -9.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Est Rev: Lowest 30 Down 2.33 -6.7 0.8 33.3 4.5 5.2 -1.6 231.0 -71.0 43.0 -29.9 39.1 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Dual Cash Flow 1.55 10.1 12.0 6.3 1.0 5.0 3.1 198.5 -61.0 34.7 -23.6 9.8 -3.2 48.9 5.1 -21.6 31.0 Growth
Est Rev: Down 5% 1.95 -4.9 0.6 17.4 2.3 4.4 -0.7 165.5 -63.8 33.5 -30.5 19.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Zweig 1.91 11.2 15.5 -9.9 0.4 3.9 -2.0 28.2 -54.4 32.7 -24.2 3.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Fundamental Rule of Thumb 1.70 10.0 12.4 7.2 6.6 3.7 3.3 142.4 -57.0 33.8 -19.2 14.9 -11.6 46.1 -6.9 -35.2 17.7 Value
Rule #1 Investing 1.90 7.6 8.6 -24.7 -9.0 3.2 6.2 277.7 -54.0 27.0 -28.5 -8.3 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Graham--Enterprising Investor Revised 1.75 13.8 19.4 -12.8 8.0 3.1 19.2 459.8 -49.9 36.4 -22.4 -10.9 41.9 2.1 -4.9 -4.1 32.9 Value
Kirkpatrick Bargain 1.36 6.6 6.7 -5.1 -0.7 0.9 7.3 97.9 -43.2 21.1 -21.7 -4.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Magic Formula 1.63 7.6 8.3 0.8 -2.8 0.3 3.4 129.8 -51.6 30.7 -22.4 11.7 -16.5 27.9 7.9 -30.6 26.6 Value
Lynch 1.27 9.2 10.0 -2.0 1.2 -0.2 3.8 108.3 -47.5 18.9 -21.3 11.6 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Schloss 1.94 7.3 8.0 -9.7 -8.6 -0.3 -0.7 18.4 -37.6 27.1 -40.4 -3.4 -5.9 16.7 13.1 -35.1 12.5 Value
Kirkpatrick Growth 2.10 10.3 14.5 12.4 6.7 -3.5 11.3 125.8 -38.7 64.1 -23.1 9.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Insider Net Purchases 1.91 -10.6 -2.4 -16.8 -9.9 -3.5 -6.7 36.2 -65.5 27.8 -27.2 -8.0 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Simple Revised 2.30 -6.7 0.8 -17.7 0.1 -5.3 -2.0 -26.4 -31.0 38.9 -35.9 -16.8 -13.7 45.7 -25.0 -45.7 32.9
Kirkpatrick Value 2.19 7.6 8.9 13.4 -5.2 -6.2 1.5 -22.7 -23.3 49.0 -25.3 2.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.95 9.4 15.1 54.7 -6.1 -9.6 2.4 498.8 -75.9 52.1 -34.0 37.2 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Foolish Small Cap 8 Revised 2.37 8.4 11.0 -43.4 -8.1 -10.0 0.6 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
MAGNET Complex Revised 2.20 -3.8 1.8 -22.8 -4.6 -10.6 -6.2 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
MAGNET Complex 2.75 6.7 6.9 -37.4 -13.7 -13.7 -10.0 -61.2 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Muhlenkamp 1.57 -3.1 0.4 0.6 -12.0 -14.6 -12.2 -50.0 -49.0 21.0 -26.2 2.5 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum