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 7/31/2015
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
Murphy Technology 2.77 -19.1 -2.7 -33.4 10.9 7.9 1.7 141.3 -58.3 58.5 -44.9 -16.2 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Insider Net Purchases 1.88 -7.0 -0.7 12.5 2.5 -3.1 -4.9 86.9 -65.5 27.8 -27.2 3.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Est Rev: Lowest 30 Down 2.33 -9.6 -0.4 -17.8 3.3 -1.3 -1.9 165.4 -71.0 43.0 -29.9 -2.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -6.1 0.1 -11.9 3.5 0.4 -0.9 138.1 -63.8 33.5 -30.5 -3.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Muhlenkamp 1.58 -2.8 0.6 40.6 -19.9 -21.7 -12.0 -48.0 -49.0 21.0 -26.2 18.5 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.57 0.3 2.5 5.9 11.5 17.3 0.0 321.0 -82.9 27.6 -34.8 5.3 3.0 34.5 15.7 13.1 17.3 Value
Dogs of the Dow 1.22 2.0 2.8 -1.2 8.8 13.2 3.0 229.0 -69.0 17.1 -23.4 -3.1 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 1.00 4.5 4.5 9.0 15.1 13.8 5.5 186.2 -52.6 10.8 -16.8 2.2 11.4 29.6 13.4 0.0 12.8 Indexes
Dow Jones 30 0.97 4.7 4.7 6.8 10.8 11.1 5.2 150.5 -49.3 11.8 -15.1 -0.7 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Value 1.34 4.5 5.0 -12.1 9.2 6.6 0.8 157.8 -69.1 22.0 -23.8 -4.3 -5.8 29.6 20.3 -11.2 7.4 Value
Fisher (Philip) 2.22 3.4 5.1 12.6 20.8 -3.1 0.0 121.7 -58.2 32.8 -27.9 24.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
S&P 500 Value (TR) 1.00 5.9 5.9 6.8 16.7 14.6 6.7 217.5 -56.0 11.3 -17.1 -0.1 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P 500 Growth (TR) 1.10 6.6 6.6 15.5 18.5 17.9 9.0 239.0 -44.4 10.8 -16.5 6.5 14.9 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.7 6.7 0.1 17.5 13.1 4.6 144.8 -50.5 13.6 -18.6 -4.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Graham--Defensive Investor (Utility) 0.97 6.7 6.7 -9.7 -0.5 3.8 3.6 50.5 -31.4 12.0 -13.7 -18.5 16.0 10.0 1.2 8.6 4.6 Value
Kirkpatrick Bargain 1.37 7.5 7.8 5.4 5.8 10.0 10.5 121.7 -43.2 21.1 -21.7 -2.4 5.9 7.3 14.9 3.6 9.4 Growth & Value
S&P SmallCap 600 1.27 7.8 8.1 10.5 17.3 15.4 7.3 246.0 -52.2 17.3 -20.2 2.5 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.1 8.4 6.2 16.4 14.6 7.3 233.7 -51.0 18.4 -19.6 -2.0 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 5.8 18.5 15.5 8.6 254.8 -49.4 15.7 -21.8 -0.6 12.1 34.3 20.1 -2.4 22.8 Indexes
Dividend (High Relative Yield) 0.97 8.7 8.6 -5.9 12.7 12.4 5.7 165.7 -40.4 12.5 -14.2 -3.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
Magic Formula 1.65 7.9 8.8 -17.1 -0.5 -1.6 4.3 126.3 -51.6 30.7 -22.4 -4.4 -16.5 27.9 7.9 -30.6 26.6 Value
ADR Screen 1.48 8.1 8.9 -2.2 22.3 9.3 7.4 201.1 -68.7 31.1 -29.7 3.8 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
S&P MidCap 400 1.19 8.5 8.9 9.6 16.9 14.6 7.6 234.4 -50.5 14.8 -21.8 3.5 8.2 31.6 16.1 -3.1 24.9 Indexes
Inve$tWare Quality Growth 1.27 8.4 8.9 42.1 27.2 19.2 9.1 299.6 -44.7 18.2 -22.0 20.4 21.6 30.4 19.7 -9.4 17.3 Growth
Wanger (Revised) 1.44 8.3 9.1 1.1 19.2 14.1 8.3 192.3 -51.3 22.8 -19.8 -3.5 1.3 51.1 23.5 -5.2 12.5 Growth & Value
NASDAQ 100 1.80 8.0 9.1 17.9 20.2 19.7 11.1 227.8 -50.1 25.0 -27.5 8.3 17.9 35.0 16.8 2.7 19.2 Indexes
Schloss 1.94 7.9 9.3 15.8 -1.9 -1.0 2.2 34.5 -37.6 27.1 -40.4 -12.6 -5.9 16.7 13.1 -35.1 12.5 Value
Kirkpatrick Value 2.21 7.8 9.4 -8.0 -0.4 2.2 8.8 -23.8 -23.3 49.0 -25.3 -5.7 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
T. Rowe Price 1.66 8.4 9.6 0.0 10.3 21.2 7.5 418.1 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 17.8 19.8 18.4 9.7 309.1 -51.1 17.0 -21.7 8.6 3.9 42.6 14.9 4.1 28.0 Indexes
All Exchange-Listed Stocks 1.37 9.2 10.2 -0.2 15.3 11.6 6.4 258.2 -58.6 23.9 -22.1 0.1 5.0 38.1 14.8 -12.3 26.2 Indexes
O'Shaughnessy: All Cap 1.40 9.2 10.3 -3.8 7.8 6.6 5.2 130.7 -52.1 18.4 -21.5 -3.8 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Cash Rich Firms 1.38 9.3 10.4 -7.4 14.9 4.1 3.9 110.5 -45.6 17.6 -20.7 1.8 2.5 36.6 10.5 -32.8 14.4 Value
Dreman 1.25 9.7 10.5 3.3 16.2 11.5 5.9 202.6 -55.0 23.9 -22.2 0.5 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Weiss Blue Chip Div Yield 1.23 9.9 10.6 3.5 13.1 16.1 9.3 226.2 -43.1 16.0 -16.8 1.8 5.4 21.3 19.2 7.6 26.9 Value
Templeton 1.26 9.8 10.7 13.1 20.0 17.7 9.9 262.4 -40.0 14.5 -23.1 -2.5 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffettology: EPS Growth 1.22 10.0 10.8 6.1 16.5 15.6 10.1 286.6 -48.4 15.1 -20.8 1.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
Buffettology: Sustainable Growth 1.28 10.0 11.0 3.2 13.9 11.5 9.6 243.2 -41.9 16.5 -20.4 -0.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
Lynch 1.26 10.1 11.0 -14.4 7.4 -0.8 4.3 121.2 -47.5 18.9 -21.3 0.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Rule #1 Investing 1.87 9.1 11.4 -28.9 18.0 17.1 8.5 442.5 -54.0 27.0 -28.5 -28.9 50.3 47.1 11.3 -1.0 40.0 Growth & Value
MAGNET Complex 2.73 8.5 11.9 11.9 11.7 4.5 -2.8 -19.6 -55.9 63.0 -28.2 -6.8 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Return on Equity 1.28 10.7 11.9 3.9 10.0 10.2 7.1 194.3 -47.2 14.6 -22.2 4.4 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 12.0 18.8 16.8 9.8 273.1 -47.7 19.0 -22.2 9.1 7.6 32.8 15.8 -0.9 30.6 Indexes
Dual Cash Flow 1.54 10.5 12.7 -16.1 9.8 4.9 4.2 194.2 -61.0 34.7 -23.6 -10.4 -3.2 48.9 5.1 -21.6 31.0 Growth
Oberweis Octagon 1.93 9.8 12.9 -0.1 12.8 12.0 6.8 241.4 -70.6 24.6 -23.2 1.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.70 10.5 13.3 9.3 11.2 1.6 4.9 144.4 -57.0 33.8 -19.2 13.8 -11.6 46.1 -6.9 -35.2 17.7 Value
Foolish Small Cap 8 2.31 9.5 13.4 100.1 26.7 17.1 4.5 329.5 -67.7 38.8 -25.9 70.9 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Driehaus 2.25 9.6 13.5 32.7 21.0 20.0 19.4 532.7 -53.4 51.3 -25.7 13.1 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Price-to-Sales 1.33 12.3 14.2 -3.1 9.5 11.6 7.6 228.9 -55.1 18.3 -20.6 -2.0 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 14.4 19.1 15.2 8.9 238.1 -50.1 12.7 -19.1 6.4 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
MAGNET Simple 2.98 9.1 14.3 -9.8 -10.6 -0.1 5.8 352.2 -75.9 52.1 -34.0 -8.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Lakonishok 1.20 13.1 14.4 20.7 18.2 16.8 13.5 272.9 -32.5 16.6 -17.9 6.2 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Buffett: Hagstrom 1.12 13.8 14.7 14.8 15.4 18.1 11.4 275.2 -39.8 13.2 -19.0 4.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
Graham--Enterprising Investor 1.80 11.2 15.0 -16.0 -7.2 2.5 10.9 139.7 -50.3 33.1 -23.4 8.3 -20.6 9.6 1.1 -1.1 43.5 Value
Kirkpatrick Growth 2.14 10.6 15.2 5.8 7.5 3.8 13.7 116.9 -38.7 64.1 -23.1 4.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
P/E Relative 1.13 14.4 15.4 0.8 12.0 12.4 12.5 216.9 -27.6 18.4 -18.3 -3.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 13.1 15.6 -12.7 9.8 12.0 14.0 291.1 -52.1 25.8 -17.3 1.5 -13.1 33.9 18.9 7.0 31.4 Value
Foolish Small Cap 8 Revised 2.26 10.6 15.8 40.2 13.9 4.8 7.0 216.9 -64.0 42.9 -31.1 40.2 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
O'Shaughnessy: Growth 1.51 12.7 15.9 2.8 18.7 15.1 8.0 214.0 -57.2 18.6 -17.9 -0.6 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Dreman With Est Revisions 1.36 13.6 16.1 15.0 20.8 22.0 14.7 350.7 -39.9 21.4 -26.2 2.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
O'Neil's CAN SLIM No Float 1.39 13.5 16.2 22.5 14.5 15.8 6.6 234.7 -61.6 23.5 -35.5 13.6 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Zweig 1.91 12.4 17.8 8.3 11.2 4.4 0.2 53.3 -54.4 32.7 -24.2 16.2 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.52 14.0 18.0 14.7 21.1 18.7 10.8 196.9 -50.6 18.5 -18.2 -2.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Neff 1.63 13.7 18.2 9.3 15.5 13.6 10.1 372.7 -52.8 32.6 -21.7 0.8 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.88 13.6 19.8 66.0 45.5 34.4 13.2 287.7 -27.8 52.7 -26.7 45.6 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.5 19.9 25.6 27.0 21.2 13.2 334.5 -50.2 15.7 -23.1 16.3 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.2 20.2 7.0 36.7 20.9 15.9 958.2 -62.8 51.2 -31.7 4.2 12.4 97.8 1.1 -7.0 39.2 Value
Stock Market Winners 1.45 16.4 20.8 27.6 18.7 28.1 12.7 558.0 -51.3 22.0 -23.4 17.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.0 21.4 20.5 17.5 9.1 21.3 522.4 -49.9 36.4 -22.4 0.2 41.9 2.1 -4.9 -4.1 32.9 Value
O'Shaughnessy: Tiny Titans 1.93 15.7 24.3 -0.6 26.4 11.8 7.8 301.6 -67.3 37.4 -21.0 -8.1 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Neil's CAN SLIM 1.91 16.0 24.7 18.1 32.3 16.9 17.1 235.2 -10.1 69.6 -23.1 8.8 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Est Rev: Top 30 Up 1.83 16.8 25.4 20.5 22.9 22.9 22.1 589.9 -37.8 36.4 -26.7 12.8 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Est Rev: Up 5% 1.76 18.0 26.7 21.5 19.4 21.3 22.5 423.8 -23.4 30.8 -21.7 13.8 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Piotroski: High F-Score 2.08 16.3 26.9 -24.4 40.2 25.9 20.6 902.2 -53.6 43.1 -42.0 -15.9 -0.3 137.6 91.7 -36.4 138.8 Value