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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 10/31/2014
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
Insider Net Purchases 1.87 -8.1 -1.3 -10.6 5.4 -3.0 -5.1 0.0 92.2 -65.5 27.8 -27.2 -16.6 21.5 11.5 -31.4 7.4 Specialty
Murphy Technology 2.77 -14.8 -1.2 13.2 24.2 15.1 6.6 0.0 247.8 -58.3 58.5 -44.9 9.9 39.7 42.3 -29.8 40.0 Growth & Value
Muhlenkamp 1.58 -5.0 -0.8 -51.0 -27.1 -24.6 -12.0 0.0 -60.3 -49.0 21.0 -26.2 -52.3 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.33 -9.0 -0.1 -13.2 0.9 2.6 -0.1 0.0 198.9 -71.0 43.0 -29.9 -19.0 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -5.8 0.2 -8.0 3.2 3.1 1.4 0.0 158.4 -63.8 33.5 -30.5 -13.9 28.2 9.2 -31.1 30.3 Earnings Estimates
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 10.1 20.1 18.6 -0.2 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 Value
Dogs of the Dow 1.22 2.4 3.1 10.3 16.3 16.3 3.3 0.0 196.2 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 1.00 4.4 4.4 14.9 17.2 14.3 6.0 0.0 145.7 -52.6 10.8 -16.8 9.2 29.6 13.4 0.0 12.8 Indexes
Dow Jones 30 0.97 4.8 4.8 11.3 13.3 12.4 5.7 0.0 121.1 -49.3 11.8 -15.1 4.9 26.5 7.3 5.5 11.0 Indexes
Fisher (Philip) 2.20 3.3 5.1 11.0 13.2 -1.4 1.6 0.0 73.3 -58.2 32.8 -27.9 17.4 39.5 -0.6 -50.9 9.2 Growth & Value
O'Shaughnessy: Value 1.34 5.6 5.9 5.7 13.9 9.3 3.0 0.0 165.9 -69.1 22.0 -23.8 -0.9 29.6 20.3 -11.2 7.4 Value
S&P 500 Value (TR) 1.00 6.0 6.0 15.1 19.9 16.1 7.7 0.0 174.9 -56.0 11.3 -17.1 9.4 33.7 17.7 -0.5 15.1 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.4 19.4 19.7 17.4 8.9 0.0 175.6 -44.4 10.8 -16.5 12.6 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.2 7.3 4.7 18.3 16.1 7.0 0.0 137.3 -50.5 13.6 -18.6 -4.3 48.5 15.8 -1.2 15.7 Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.6 7.8 20.0 19.5 16.3 9.0 0.0 158.2 -44.7 18.2 -22.0 16.7 30.4 19.7 -9.4 17.3 Growth
Kirkpatrick Bargain 1.37 7.5 7.9 4.7 7.6 9.5 13.9 0.0 111.6 -43.2 21.1 -21.7 -0.8 7.3 14.9 3.6 9.4 Growth & Value
S&P SmallCap 600 1.27 7.8 8.2 8.0 18.5 17.8 8.6 0.0 207.0 -52.2 17.3 -20.2 2.1 39.7 14.8 -0.2 25.0 Indexes
Graham--Defensive Investor (Utility) 0.94 8.4 8.3 11.8 8.8 9.7 7.9 0.0 76.7 -31.4 12.0 -13.4 15.4 10.0 1.2 8.6 4.6 Value
S&P SmallCap 600 Value (TR) 1.23 8.3 8.8 7.0 19.6 18.0 9.2 0.0 205.4 -51.0 18.4 -19.6 4.4 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.4 21.3 18.7 10.4 0.0 223.4 -49.4 15.7 -21.8 9.2 34.3 20.1 -2.4 22.8 Indexes
NASDAQ 100 1.80 7.8 8.9 23.1 20.8 20.1 10.8 0.0 175.0 -50.1 25.0 -27.5 15.8 35.0 16.8 2.7 19.2 Indexes
S&P MidCap 400 1.20 8.6 9.0 10.0 16.9 16.6 8.9 0.0 193.0 -50.5 14.8 -21.8 5.7 31.6 16.1 -3.1 24.9 Indexes
ADR Screen 1.48 8.4 9.3 34.9 18.1 10.6 8.4 0.0 177.4 -68.7 31.1 -29.7 31.0 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.4 -13.4 -0.9 8.7 1.6 0.0 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dividend (High Relative Yield) 0.97 9.5 9.5 13.1 19.0 16.4 7.3 0.0 174.4 -40.4 12.5 -14.2 5.5 40.6 9.8 3.0 19.4 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.6 8.0 19.0 19.9 10.5 0.0 241.7 -51.1 17.0 -21.7 1.8 42.6 14.9 4.1 28.0 Indexes
Schloss 1.92 8.2 9.7 -17.8 2.4 -2.2 3.6 0.0 9.3 -37.6 27.1 -40.4 -17.2 16.7 13.1 -35.1 12.5 Value
Magic Formula 1.65 8.6 9.9 -7.2 5.7 3.2 4.3 0.0 161.4 -51.6 30.7 -22.4 -10.8 27.9 7.9 -30.6 26.6 Value
Kirkpatrick Value 2.21 8.1 10.0 -20.4 -0.4 -3.3 10.7 0.0 -14.3 -23.3 49.0 -25.3 -17.4 21.9 19.4 -15.1 -25.5 Growth & Value
Wanger (Revised) 1.44 8.9 10.0 14.9 22.4 18.2 11.4 0.0 185.5 -51.3 22.8 -19.8 5.1 51.1 23.5 -5.2 12.5 Growth & Value
T. Rowe Price 1.67 8.6 10.1 4.4 4.5 24.4 9.9 0.0 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.7 12.0 17.4 15.0 8.2 0.0 236.3 -58.6 23.9 -22.1 5.5 38.1 14.8 -12.3 26.2 Indexes
Templeton 1.26 10.0 10.9 7.7 22.9 19.0 11.2 0.0 217.7 -40.0 14.5 -23.1 5.2 29.4 31.0 3.2 22.4 Growth & Value
IBD Stable 70 1.19 10.2 10.9 0.9 18.0 17.6 8.0 0.0 214.0 -50.6 18.4 -21.9 -3.1 34.3 24.6 3.7 21.2 Growth
Dreman 1.25 10.1 11.0 12.3 17.4 14.4 7.8 0.0 138.9 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: All Cap 1.38 9.8 11.0 6.3 10.2 11.9 8.7 0.0 126.1 -52.1 18.4 -21.5 -2.1 18.4 12.4 -5.0 29.4 Value With Price Momentum
Buffettology: EPS Growth 1.22 10.3 11.1 8.0 18.6 18.0 11.3 0.0 253.3 -48.4 15.1 -20.8 3.3 38.4 17.4 3.8 20.5 Growth & Value
Weiss Blue Chip Div Yield 1.22 10.4 11.2 13.4 15.8 18.1 10.9 0.0 203.3 -43.1 16.0 -16.8 8.8 21.3 19.2 7.6 26.9 Value
Cash Rich Firms 1.38 10.0 11.3 13.8 18.3 7.5 5.8 0.0 113.2 -45.6 17.6 -20.7 10.8 36.6 10.5 -32.8 14.4 Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 8.2 14.6 15.2 11.4 0.0 221.2 -41.9 16.5 -20.4 2.6 35.8 8.8 0.7 18.4 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 9.3 20.0 19.3 11.3 0.0 220.6 -47.7 19.0 -22.2 4.8 32.8 15.8 -0.9 30.6 Indexes
Lynch 1.24 10.9 12.0 -1.5 4.6 5.7 7.7 0.0 161.2 -47.5 18.9 -21.3 0.0 24.3 0.7 -27.9 24.9 Growth & Value
MAGNET Complex 2.71 8.6 12.2 18.7 -1.5 -2.6 -5.8 0.0 -29.0 -55.9 63.0 -28.2 -3.7 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Return on Equity 1.29 11.1 12.4 -3.4 10.6 13.7 9.8 0.0 180.1 -47.2 14.6 -22.2 -5.9 34.2 10.1 -5.7 32.0 Growth
Driehaus 2.26 9.4 13.0 3.5 17.0 21.0 19.1 0.0 373.4 -53.4 51.3 -25.7 -5.6 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Fundamental Rule of Thumb 1.71 10.4 13.1 -3.8 4.2 0.3 7.7 0.0 114.2 -57.0 33.8 -19.2 -10.6 46.1 -6.9 -35.2 17.7 Value
Oberweis Octagon 1.92 10.2 13.6 2.4 21.2 17.8 9.3 0.0 243.7 -70.6 24.6 -23.2 -3.6 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dual Cash Flow 1.54 11.5 14.2 6.2 12.8 11.7 7.9 0.0 214.7 -61.0 34.7 -23.6 -1.7 48.9 5.1 -21.6 31.0 Growth
Rule #1 Investing 1.81 10.8 14.2 43.3 32.4 30.3 14.3 0.0 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.1 14.3 -2.1 11.2 2.8 6.5 0.0 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 8.6 15.1 18.9 10.5 0.0 191.1 -50.1 12.7 -19.1 0.0 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Lakonishok 1.20 13.0 14.3 15.0 15.3 16.3 14.7 0.0 205.2 -32.5 16.6 -17.9 6.5 26.8 7.5 -0.6 32.7 Value With Price Momentum
Buffett: Hagstrom 1.12 14.0 14.8 11.2 16.8 19.6 12.7 0.0 208.3 -39.8 13.2 -19.0 5.9 35.4 13.0 8.2 27.7 Growth & Value
Price-to-Sales 1.33 13.1 15.2 4.5 14.1 15.9 10.2 0.0 232.5 -55.1 18.3 -20.6 -3.5 36.3 11.3 -2.6 29.6 Growth & Value
Kirkpatrick Growth 2.15 10.6 15.3 -4.2 -5.1 4.4 15.2 0.0 108.9 -38.7 64.1 -23.1 -6.1 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
MAGNET Simple 2.99 9.6 15.6 -13.5 -19.7 5.2 14.0 0.0 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Dreman With Est Revisions 1.36 13.6 16.1 18.1 20.1 22.0 15.8 0.0 283.1 -39.9 21.4 -26.2 4.5 35.8 13.0 21.6 26.5 Earnings Estimates
O'Neil's CAN SLIM No Float 1.39 13.4 16.2 2.7 14.5 13.5 8.0 0.0 178.4 -61.6 23.5 -35.5 3.2 30.8 8.9 -3.9 20.6 Growth With Price Momentum
P/E Relative 1.13 15.2 16.4 6.5 15.6 17.4 15.0 0.0 186.0 -27.6 18.4 -18.3 4.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Graham--Enterprising Investor 1.75 12.2 16.4 -6.1 1.9 8.6 14.6 0.0 166.0 -50.3 33.1 -23.4 -4.7 9.6 1.1 -1.1 43.5 Value
O'Shaughnessy: Growth 1.51 13.2 16.7 7.0 21.1 18.0 11.6 0.0 204.7 -57.2 18.6 -17.9 1.4 38.7 28.8 -7.5 21.3 Value With Price Momentum
Zweig 1.89 11.9 16.7 -19.0 2.1 0.6 1.4 0.0 62.4 -54.4 32.7 -24.2 -24.8 26.2 6.4 -18.3 12.8 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.37 14.2 17.0 -2.1 16.2 19.0 17.1 0.0 297.8 -52.1 25.8 -17.3 -2.7 33.9 18.9 7.0 31.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.4 18.6 2.4 24.6 21.4 15.0 0.0 169.6 -50.6 18.5 -18.2 -2.9 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 13.0 18.7 48.2 30.5 19.7 11.2 0.0 132.1 -27.8 52.7 -26.7 48.0 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Neff 1.64 14.0 18.8 3.2 16.3 18.4 11.4 0.0 305.7 -52.8 32.6 -21.7 2.3 39.5 15.0 -4.2 35.0 Growth & Value
Value on the Move--PEG With Est Growth 1.34 16.3 19.7 13.4 21.9 21.7 15.0 0.0 236.0 -50.2 15.7 -23.1 6.4 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Stock Market Winners 1.46 16.0 20.4 5.7 16.4 33.9 14.3 0.0 390.2 -51.3 22.0 -23.4 4.6 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.6 20.9 25.6 31.3 27.4 18.9 0.0 780.1 -62.8 51.2 -31.7 12.6 97.8 1.1 -7.0 39.2 Value
Graham--Enterprising Investor Revised 1.75 15.3 21.9 26.3 7.9 13.1 25.5 0.0 289.1 -49.9 36.4 -22.4 32.1 2.1 -4.9 -4.1 32.9 Value
Est Rev: Top 30 Up 1.83 16.7 25.2 11.8 20.8 23.6 24.2 0.0 427.8 -37.8 36.4 -26.7 0.2 42.1 21.9 -2.3 47.6 Earnings Estimates
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 27.0 29.2 18.8 11.2 0.0 282.2 -67.3 37.4 -21.0 18.8 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.6 25.9 35.1 30.9 10.5 21.0 0.0 178.2 -10.1 69.6 -23.1 56.0 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Est Rev: Up 5% 1.76 18.1 26.8 7.1 20.2 21.5 24.0 0.0 315.7 -23.4 30.8 -21.7 -1.7 27.7 28.8 6.1 35.9 Earnings Estimates
Piotroski: High F-Score 2.06 17.8 29.8 5.1 56.5 33.9 26.7 0.0 1,122.5 -53.6 43.1 -42.0 3.4 137.6 91.7 -36.4 138.8 Value