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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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'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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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