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 5/31/2016
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
Rule #1 Investing 1.89 7.2 7.9 -61.1 -8.2 -0.1 4.0 745.9 -54.0 27.0 -28.5 -20.1 50.3 47.1 11.3 -1.0 40.0 Growth & Value
MAGNET Complex 2.75 6.7 7.0 -50.5 -13.7 -13.9 -14.6 -21.6 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Insider Net Purchases 1.91 -11.6 -3.0 -42.1 -12.2 -10.2 -8.6 114.5 -65.5 27.8 -27.2 -16.1 -11.9 21.5 11.5 -31.4 7.4 Specialty
Foolish Small Cap 8 Revised 2.38 8.4 11.1 -41.2 -8.1 -8.7 -1.1 204.7 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Piotroski: High F-Score 2.07 14.8 23.7 -29.9 -6.1 13.8 14.7 991.3 -53.6 43.1 -42.0 7.9 -0.3 137.6 91.7 -36.4 138.8 Value
Neff 1.63 11.9 15.4 -29.4 -3.8 0.2 5.6 392.4 -52.8 32.6 -21.7 -5.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Schloss 1.93 7.1 7.7 -24.8 -10.0 -7.1 -1.9 48.4 -37.6 27.1 -40.4 -9.0 -5.9 16.7 13.1 -35.1 12.5 Value
Murphy Technology 2.73 -20.1 -3.2 -24.3 -6.2 -0.6 -0.3 183.7 -58.3 58.5 -44.9 -11.7 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Kirkpatrick Value 2.18 7.2 8.0 -21.2 -7.8 -10.0 -0.8 -16.9 -23.3 49.0 -25.3 -13.5 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Lynch 1.27 9.0 9.7 -21.1 -1.0 -5.3 2.3 145.5 -47.5 18.9 -21.3 3.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Dual Cash Flow 1.55 9.9 11.7 -18.8 1.4 -0.1 2.2 238.4 -61.0 34.7 -23.6 1.1 -3.2 48.9 5.1 -21.6 31.0 Growth
O'Neil's CAN SLIM 1.92 14.5 21.9 -18.5 9.8 6.4 13.8 225.2 -10.1 69.6 -23.1 -3.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Zweig 1.91 11.4 15.8 -16.5 -0.5 0.3 -2.0 53.9 -54.4 32.7 -24.2 3.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Cash Rich Firms 1.38 8.5 9.2 -15.9 4.5 2.7 2.0 122.0 -45.6 17.6 -20.7 -2.1 2.5 36.6 10.5 -32.8 14.4 Value
Fisher (Philip) 2.21 0.9 4.0 -15.9 13.6 -2.3 0.3 125.2 -58.2 32.8 -27.9 -13.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 -15.2 14.3 11.0 10.0 346.4 -50.2 15.7 -23.1 -1.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.69 9.6 11.7 -14.2 3.1 -3.8 1.9 144.9 -57.0 33.8 -19.2 -0.4 -11.6 46.1 -6.9 -35.2 17.7 Value
All Exchange-Listed Stocks 1.37 8.4 9.2 -12.8 4.7 4.8 4.5 275.0 -58.6 23.9 -22.1 3.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Graham--Enterprising Investor Revised 1.75 14.2 20.0 -11.9 9.5 3.4 18.5 568.7 -49.9 36.4 -22.4 -6.3 41.9 2.1 -4.9 -4.1 32.9 Value
Magic Formula 1.63 7.5 8.1 -11.8 -6.8 -4.8 2.5 144.4 -51.6 30.7 -22.4 4.8 -16.5 27.9 7.9 -30.6 26.6 Value
Graham--Defensive Investor (Non-Utility) 1.38 12.4 14.6 -9.8 2.0 6.1 11.1 317.2 -52.1 25.8 -17.3 5.0 -13.1 33.9 18.9 7.0 31.4 Value
P/E Relative 1.14 13.6 14.6 -9.6 3.1 6.1 10.1 244.4 -27.6 18.4 -18.3 6.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Templeton 1.26 9.0 9.6 -9.5 3.3 12.3 9.0 267.6 -40.0 14.5 -23.1 5.3 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: Value 1.34 3.8 4.5 -9.3 0.1 2.4 -0.4 169.7 -69.1 22.0 -23.8 3.7 -5.8 29.6 20.3 -11.2 7.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.52 13.0 16.4 -9.0 2.8 9.5 8.2 194.0 -50.6 18.5 -18.2 -9.2 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Kirkpatrick Bargain 1.37 6.6 6.7 -7.7 -3.5 0.1 6.6 109.7 -43.2 21.1 -21.7 -6.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Dreman 1.25 9.2 9.9 -7.4 5.3 7.3 3.8 219.2 -55.0 23.9 -22.2 3.9 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: All Cap 1.45 8.8 9.9 -7.2 0.9 1.9 3.4 149.8 -52.1 18.4 -21.5 19.4 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.90 15.2 23.0 -7.2 10.8 10.8 5.7 331.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Weiss Blue Chip Div Yield 1.23 8.9 9.5 -6.9 3.8 6.3 7.6 215.7 -43.1 16.0 -16.8 7.0 5.4 21.3 19.2 7.6 26.9 Value
Inve$tWare Quality Growth 1.27 7.2 7.4 -6.0 13.2 9.9 7.0 256.9 -44.7 18.2 -22.0 2.1 21.6 30.4 19.7 -9.4 17.3 Growth
Muhlenkamp 1.57 -3.1 0.3 -5.5 -14.0 -19.0 -12.7 -47.5 -49.0 21.0 -26.2 1.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.7 -4.6 31.2 19.2 11.7 231.0 -27.8 52.7 -26.7 -8.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.2 -4.2 9.9 12.2 19.3 432.5 -23.4 30.8 -21.7 10.9 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
ADR Screen 1.47 7.6 8.1 -4.1 17.2 3.5 3.9 190.8 -68.7 31.1 -29.7 3.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Est Rev: Top 30 Up 1.82 16.1 23.9 -4.1 13.0 13.2 18.9 595.7 -37.8 36.4 -26.7 3.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
O'Shaughnessy: Growth 1.50 12.2 15.0 -3.9 4.2 6.8 5.6 219.5 -57.2 18.6 -17.9 2.9 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Foolish Small Cap 8 2.37 8.6 11.4 -3.9 13.5 4.8 2.3 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Lakonishok 1.20 12.3 13.5 -3.6 10.7 7.8 11.7 269.8 -32.5 16.6 -17.9 4.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Kirkpatrick Growth 2.10 10.1 14.0 -3.2 0.9 -4.5 9.1 108.7 -38.7 64.1 -23.1 -2.2 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Est Rev: Down 5% 1.95 -5.2 0.5 -2.5 1.3 -1.6 -0.8 165.2 -63.8 33.5 -30.5 16.4 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dividend (High Relative Yield) 0.98 8.3 8.3 -2.5 7.3 8.8 5.9 176.2 -40.4 12.5 -14.2 9.1 2.0 40.6 9.8 3.0 19.4 Growth & Value
Return on Equity 1.27 10.3 11.3 -2.1 5.0 4.1 6.4 200.3 -47.2 14.6 -22.2 4.0 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P MidCap 400 1.19 8.2 8.5 -2.1 8.0 8.3 6.9 239.2 -50.5 14.8 -21.8 6.8 8.2 31.6 16.1 -3.1 24.9 Indexes
Dow Jones 30 0.98 4.5 4.5 -1.2 5.6 7.2 4.8 155.0 -49.3 11.8 -15.1 2.1 7.5 26.5 7.3 5.5 11.0 Indexes
Oberweis Octagon 1.93 9.3 11.9 -1.2 2.3 5.7 3.6 224.5 -70.6 24.6 -23.2 17.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P SmallCap 600 1.26 7.4 7.7 -1.1 8.5 9.2 6.5 246.1 -52.2 17.3 -20.2 5.0 4.4 39.7 14.8 -0.2 25.0 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.2 13.5 -1.1 12.4 8.6 8.0 236.2 -50.1 12.7 -19.1 -1.9 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 -1.0 9.5 10.6 8.1 269.2 -49.4 15.7 -21.8 9.7 12.1 34.3 20.1 -2.4 22.8 Indexes
S&P 500 1.00 4.3 4.3 -0.5 8.7 9.3 5.1 186.7 -52.6 10.8 -16.8 2.6 11.4 29.6 13.4 0.0 12.8 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.5 6.5 0.1 9.2 8.5 3.7 148.9 -50.5 13.6 -18.6 0.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
NASDAQ 100 1.78 7.7 8.6 0.3 14.9 13.8 11.1 222.0 -50.1 25.0 -27.5 -1.5 17.9 35.0 16.8 2.7 19.2 Indexes
S&P SmallCap 600 Value (TR) 1.22 7.9 8.2 0.4 8.0 10.1 6.6 241.7 -51.0 18.4 -19.6 7.9 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.4 11.5 0.4 10.0 10.7 9.2 272.4 -47.7 19.0 -22.2 5.3 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P 500 Value (TR) 1.00 5.8 5.8 0.4 9.0 10.5 5.8 222.6 -56.0 11.3 -17.1 5.3 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P SmallCap 600 Growth (TR) 1.30 8.6 9.2 0.5 10.7 10.6 8.9 298.5 -51.1 17.0 -21.7 3.5 3.9 42.6 14.9 4.1 28.0 Indexes
Buffett: Hagstrom 1.10 13.2 13.9 1.2 9.5 11.1 11.0 264.7 -39.8 13.2 -19.0 3.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
Buffettology: EPS Growth 1.21 9.7 10.3 1.8 8.3 11.5 9.1 282.4 -48.4 15.1 -20.8 -0.1 4.4 38.4 17.4 3.8 20.5 Growth & Value
Stock Market Winners 1.43 15.7 19.6 2.1 10.7 17.1 12.7 526.7 -51.3 22.0 -23.4 -4.4 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.3 6.3 2.6 12.9 12.7 9.2 233.5 -44.4 10.8 -16.5 1.9 14.9 35.5 14.6 4.7 15.0 Indexes
O'Neil's CAN SLIM No Float 1.38 12.9 15.3 3.1 9.8 8.8 7.0 217.5 -61.6 23.5 -35.5 -0.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Wanger (Revised) 1.43 8.5 9.4 3.4 13.7 12.8 8.0 219.9 -51.3 22.8 -19.8 11.5 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Dreman With Est Revisions 1.35 13.1 15.4 3.9 13.7 13.5 13.3 340.7 -39.9 21.4 -26.2 -1.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Price-to-Sales 1.33 12.4 14.3 5.5 8.9 6.9 7.2 252.6 -55.1 18.3 -20.6 17.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Price-to-Free-Cash-Flow 1.78 13.8 19.5 6.4 23.8 15.4 15.1 951.0 -62.8 51.2 -31.7 9.5 12.4 97.8 1.1 -7.0 39.2 Value
Est Rev: Lowest 30 Down 2.33 -7.3 0.6 6.5 2.3 -2.2 -1.3 196.0 -71.0 43.0 -29.9 32.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
MAGNET Complex Revised 2.20 -3.7 1.9 8.1 -13.2 -15.4 -6.2 -64.9 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Dogs of the Dow 1.21 2.7 3.4 9.2 8.2 10.8 4.1 241.7 -69.0 17.1 -23.4 11.4 6.8 27.9 9.6 10.7 19.4 Value
MAGNET Simple 2.96 9.1 14.3 9.6 -14.8 -13.0 -0.4 363.3 -75.9 52.1 -34.0 16.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.27 9.9 10.8 9.8 8.2 9.5 9.8 231.9 -41.9 16.5 -20.4 2.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
MAGNET Simple Revised 2.23 -2.7 2.4 12.3 7.1 -7.5 1.1 -12.6 -31.0 38.9 -27.1 11.0 -13.7 45.7 -25.0 -45.7 32.9
Dogs of the Dow: Low Priced 5 1.55 1.5 3.2 13.4 12.4 14.6 1.5 329.9 -82.9 27.6 -34.8 9.1 3.0 34.5 15.7 13.1 17.3 Value
Graham--Defensive Investor (Utility) 1.00 7.3 7.3 16.3 3.0 4.4 4.2 50.7 -31.4 12.0 -13.7 0.0 16.0 10.0 1.2 8.6 4.6 Value
Driehaus 2.22 9.8 13.8 28.4 16.0 12.0 19.1 470.1 -53.4 51.3 -25.7 11.7 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
T. Rowe Price 1.66 9.0 10.7 29.8 10.7 14.0 9.1 418.1 -62.5 33.5 -20.0 10.6 4.4 28.5 -15.0 117.4 11.9 Growth & Value