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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 9/30/2014
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 17.8 29.9 11.8 56.3 34.4 26.6 1,122.5 -53.6 43.1 -42.0 2.1 137.6 91.7 -36.4 138.8 34.6 Value
Est Rev: Up 5% 1.76 18.2 27.1 8.1 27.8 20.2 24.8 315.7 -23.4 30.8 -21.7 -0.6 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
O'Shaughnessy: Tiny Titans 1.92 16.6 26.0 40.3 36.5 17.0 11.6 282.2 -67.3 37.4 -21.0 20.6 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Est Rev: Top 30 Up 1.83 16.8 25.3 13.5 27.0 21.1 25.0 427.8 -37.8 36.4 -26.7 0.4 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
O'Neil's CAN SLIM 1.91 16.2 25.1 34.7 25.5 7.7 19.1 178.2 -10.1 69.6 -23.1 37.5 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.0 21.4 14.6 10.7 11.4 24.4 289.1 -49.9 36.4 -22.4 21.3 2.1 -4.9 -4.1 32.9 168.4 Value
Price-to-Free-Cash-Flow 1.78 14.3 20.4 22.8 34.1 23.9 18.4 780.1 -62.8 51.2 -31.7 4.1 97.8 1.1 -7.0 39.2 147.2 Value
Stock Market Winners 1.46 15.9 20.3 3.3 17.1 32.9 14.0 390.2 -51.3 22.0 -23.4 1.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.2 19.5 11.4 24.9 18.0 14.9 236.0 -50.2 15.7 -23.1 2.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Neff 1.64 13.8 18.4 2.5 20.3 15.8 10.9 305.7 -52.8 32.6 -21.7 -4.9 39.5 15.0 -4.2 35.0 52.5 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.4 0.7 27.0 16.8 14.4 169.6 -50.6 18.5 -18.2 -6.8 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.7 18.1 45.1 28.8 16.6 10.1 132.1 -27.8 52.7 -26.7 34.2 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Zweig 1.87 12.7 18.1 0.6 14.4 2.0 3.5 62.4 -54.4 32.7 -24.2 -8.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.37 14.1 16.9 1.9 21.5 17.6 17.2 297.8 -52.1 25.8 -17.3 -5.2 33.9 18.9 7.0 31.4 57.9 Value
Graham--Enterprising Investor 1.75 12.4 16.8 0.0 3.3 9.4 15.2 166.0 -50.3 33.1 -23.4 -0.7 9.6 1.1 -1.1 43.5 48.5 Value
O'Shaughnessy: Growth 1.51 13.3 16.7 15.8 26.5 17.7 11.5 204.7 -57.2 18.6 -17.9 1.2 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
P/E Relative 1.13 15.1 16.2 4.3 20.9 16.1 14.8 186.0 -27.6 18.4 -18.3 0.8 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Dreman With Est Revisions 1.36 13.6 16.1 24.5 27.8 20.4 15.8 283.1 -39.9 21.4 -26.2 3.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
O'Neil's CAN SLIM No Float 1.39 13.2 15.9 -2.1 13.7 11.4 7.7 178.4 -61.6 23.5 -35.5 -2.5 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
MAGNET Simple 2.99 9.5 15.4 -45.6 -13.9 1.7 11.7 324.4 -75.9 52.1 -34.0 -17.6 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Kirkpatrick Growth 2.15 10.6 15.2 -5.5 -3.8 3.1 15.0 108.9 -38.7 64.1 -23.1 -7.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Price-to-Sales 1.33 13.0 15.2 6.4 18.6 14.5 10.2 232.5 -55.1 18.3 -20.6 -4.8 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Buffett: Hagstrom 1.11 13.7 14.5 8.8 18.8 17.2 12.6 208.3 -39.8 13.2 -19.0 0.0 35.4 13.0 8.2 27.7 30.0 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.2 14.3 -2.1 2.7 1.3 6.6 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Rule #1 Investing 1.81 10.8 14.3 51.4 39.1 30.5 14.9 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.8 14.2 8.0 16.9 17.4 10.6 191.1 -50.1 12.7 -19.1 -2.9 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Dual Cash Flow 1.54 11.5 14.1 8.3 16.1 9.9 8.1 214.7 -61.0 34.7 -23.6 -3.0 48.9 5.1 -21.6 31.0 76.0 Growth
Lakonishok 1.20 12.8 14.1 12.7 17.6 14.0 14.3 205.2 -32.5 16.6 -17.9 2.4 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Oberweis Octagon 1.92 10.3 13.7 5.1 29.8 16.8 8.9 243.7 -70.6 24.6 -23.2 -3.5 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.71 10.4 13.2 0.8 6.5 -0.3 8.0 114.2 -57.0 33.8 -19.2 -10.8 46.1 -6.9 -35.2 17.7 92.1 Value
Dividend Screen: Non-DRPs 0.92 13.2 12.7 7.1 17.5 13.9 7.7 199.5 -48.1 17.6 -15.3 1.8 22.2 18.1 4.3 25.3 25.4 Growth & Value
Return on Equity 1.29 10.9 12.1 -4.7 13.1 11.7 9.5 180.1 -47.2 14.6 -22.2 -10.8 34.2 10.1 -5.7 32.0 40.0 Growth
MAGNET Complex 2.71 8.5 12.0 22.1 -3.0 -3.5 -5.3 -29.0 -55.9 63.0 -28.2 -8.1 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Lynch 1.24 11.0 12.0 4.7 7.5 5.9 7.7 161.2 -47.5 18.9 -21.3 -0.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.6 11.8 5.8 22.9 16.3 10.7 220.6 -47.7 19.0 -22.2 1.6 32.8 15.8 -0.9 30.6 38.1 Indexes
Driehaus 2.24 8.8 11.7 -16.3 13.7 14.8 16.9 373.4 -53.4 51.3 -25.7 -22.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Buffettology: Sustainable Growth 1.28 10.2 11.3 6.5 17.8 13.4 10.9 221.2 -41.9 16.5 -20.4 -1.4 35.8 8.8 0.7 18.4 68.0 Growth & Value
Cash Rich Firms 1.38 9.9 11.2 13.5 22.1 6.7 5.9 113.2 -45.6 17.6 -20.7 9.1 36.6 10.5 -32.8 14.4 56.9 Value
O'Shaughnessy: All Cap 1.38 9.8 11.1 14.5 16.7 11.2 8.9 126.1 -52.1 18.4 -21.5 -1.8 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Weiss Blue Chip Div Yield 1.21 10.2 11.0 12.3 20.0 16.9 10.6 203.3 -43.1 16.0 -16.8 4.6 21.3 19.2 7.6 26.9 27.9 Value
Buffettology: EPS Growth 1.22 10.1 10.8 7.2 21.1 16.1 10.8 253.3 -48.4 15.1 -20.8 -1.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
Dreman 1.25 9.9 10.7 8.0 22.7 12.9 7.4 138.9 -55.0 23.9 -22.2 2.4 27.6 20.6 -11.7 22.7 37.2 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.6 12.9 20.9 13.3 8.2 236.3 -58.6 23.9 -22.1 3.7 38.1 14.8 -12.3 26.2 65.8 Indexes
IBD Stable 70 1.19 10.0 10.6 4.0 20.0 15.7 8.0 214.0 -50.6 18.4 -21.9 -7.2 34.3 24.6 3.7 21.2 56.0 Growth
Templeton 1.26 9.8 10.6 0.5 25.8 16.2 11.2 217.7 -40.0 14.5 -23.1 0.3 29.4 31.0 3.2 22.4 54.7 Growth & Value
T. Rowe Price 1.67 8.7 10.1 4.4 4.5 23.0 10.6 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Kirkpatrick Value 2.21 8.1 10.1 -22.3 -0.1 -3.2 11.2 -14.3 -23.3 49.0 -25.3 -16.7 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Magic Formula 1.65 8.6 9.9 -1.5 10.6 2.6 4.3 161.4 -51.6 30.7 -22.4 -11.3 27.9 7.9 -30.6 26.6 97.0 Value
Wanger (Revised) 1.44 8.7 9.6 14.7 26.7 16.2 10.9 185.5 -51.3 22.8 -19.8 -2.0 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.4 -16.0 5.4 6.9 2.2 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
ADR Screen 1.48 8.4 9.3 37.1 19.9 9.6 8.5 177.4 -68.7 31.1 -29.7 29.2 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 8.6 9.2 4.6 21.7 17.1 10.1 241.7 -51.1 17.0 -21.7 -4.9 42.6 14.9 4.1 28.0 30.7 Indexes
Dividend (High Relative Yield) 0.97 9.3 9.2 14.7 21.6 14.8 7.0 174.4 -40.4 12.5 -14.2 1.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
Schloss 1.91 7.9 9.1 -23.3 2.1 -4.1 3.2 9.3 -37.6 27.1 -40.4 -24.9 16.7 13.1 -35.1 12.5 57.5 Value
S&P MidCap 400 1.20 8.4 8.8 10.2 20.6 14.7 8.7 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
NASDAQ 100 1.80 7.8 8.8 25.8 23.7 18.7 11.1 175.0 -50.1 25.0 -27.5 12.7 35.0 16.8 2.7 19.2 53.5 Indexes
S&P MidCap 400 Value (TR) 1.12 8.5 8.7 13.5 25.1 16.4 10.2 223.4 -49.4 15.7 -21.8 4.9 34.3 20.1 -2.4 22.8 33.7 Indexes
Dividend Screen: DRPs 1.10 8.5 8.7 13.1 17.1 12.5 5.8 180.7 -50.4 20.5 -18.2 3.1 26.1 10.9 1.9 19.8 29.4 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.0 8.3 3.4 22.6 14.9 8.5 205.4 -51.0 18.4 -19.6 -2.6 35.6 17.8 -1.2 24.7 20.6 Indexes
Kirkpatrick Bargain 1.37 7.5 7.9 0.0 8.4 6.9 14.0 111.6 -43.2 21.1 -21.7 -1.2 7.3 14.9 3.6 9.4 22.2 Growth & Value
S&P SmallCap 600 1.27 7.5 7.8 4.5 21.3 14.9 8.1 207.0 -52.2 17.3 -20.2 -4.6 39.7 14.8 -0.2 25.0 23.8 Indexes
Graham--Defensive Investor (Utility) 0.93 7.7 7.7 4.3 7.4 6.9 7.0 76.7 -31.4 12.0 -13.4 4.0 10.0 1.2 8.6 4.6 7.9 Value
Inve$tWare Quality Growth 1.26 7.2 7.4 14.8 20.1 13.3 8.5 158.2 -44.7 18.2 -22.0 9.0 30.4 19.7 -9.4 17.3 39.6 Growth
O'Shaughnessy: Growth Market Leaders 1.23 7.3 7.4 15.3 23.2 14.7 7.1 137.3 -50.5 13.6 -18.6 -3.3 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.2 6.2 21.6 22.6 16.6 8.7 175.6 -44.4 10.8 -16.5 9.4 35.5 14.6 4.7 15.0 31.6 Indexes
O'Shaughnessy: Value 1.34 5.8 6.0 13.6 19.5 9.5 3.4 165.9 -69.1 22.0 -23.8 0.1 29.6 20.3 -11.2 7.4 31.5 Value
S&P 500 Value (TR) 1.00 5.9 5.9 18.0 23.5 14.8 7.7 174.9 -56.0 11.3 -17.1 7.4 33.7 17.7 -0.5 15.1 21.2 Indexes
Fisher (Philip) 2.20 2.8 4.8 14.9 17.9 -3.4 1.1 73.3 -58.2 32.8 -27.9 12.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Dow Jones 30 0.97 4.7 4.7 12.6 16.0 11.9 5.4 121.1 -49.3 11.8 -15.1 2.8 26.5 7.3 5.5 11.0 18.8 Indexes
S&P 500 1.00 4.3 4.3 17.3 20.3 13.3 5.9 145.7 -52.6 10.8 -16.8 6.7 29.6 13.4 0.0 12.8 23.5 Indexes
Dogs of the Dow 1.22 2.4 3.1 14.9 19.3 16.5 3.2 196.2 -69.0 17.1 -23.4 6.5 27.9 9.6 10.7 19.4 8.1 Value
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 18.1 23.3 18.3 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 -7.7 Value
Est Rev: Down 5% 1.95 -5.6 0.3 -5.0 10.0 2.1 1.9 158.4 -63.8 33.5 -30.5 -12.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Est Rev: Lowest 30 Down 2.33 -8.7 0.0 -9.1 5.9 2.0 0.1 198.9 -71.0 43.0 -29.9 -17.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Murphy Technology 2.77 -14.2 -1.0 18.7 33.9 14.4 8.0 247.8 -58.3 58.5 -44.9 14.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Insider Net Purchases 1.87 -8.2 -1.4 -17.4 7.0 -5.0 -4.9 92.2 -65.5 27.8 -27.2 -17.3 21.5 11.5 -31.4 7.4 59.0 Specialty
Muhlenkamp 1.55 -6.5 -1.8 -56.6 -29.1 -27.9 -13.4 -60.3 -49.0 21.0 -26.2 -60.0 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum