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 5/29/2015
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
Piotroski: High F-Score 2.07 16.8 27.8 -20.1 39.7 30.4 23.7 630.4 -53.6 43.1 -42.0 -8.5 -0.3 137.6 91.7 -36.4 138.8 Value
Murphy Technology 2.76 -16.6 -1.9 -16.6 18.5 12.1 2.7 139.4 -58.3 58.5 -44.9 -1.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
MAGNET Simple 2.98 9.2 14.6 -15.0 -15.1 -2.4 10.0 202.4 -75.9 52.1 -34.0 -5.7 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 0.96 6.8 6.8 -14.0 1.5 5.1 4.4 43.8 -31.4 12.0 -13.7 -18.4 16.0 10.0 1.2 8.6 4.6 Value
Muhlenkamp 1.58 -2.7 0.7 -11.9 -20.7 -22.1 -11.3 -61.3 -49.0 21.0 -26.2 19.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Lynch 1.25 10.7 11.8 -11.8 9.1 1.7 6.2 105.1 -47.5 18.9 -21.3 11.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Magic Formula 1.64 8.2 9.4 -11.2 2.1 -0.7 5.9 77.8 -51.6 30.7 -22.4 3.3 -16.5 27.9 7.9 -30.6 26.6 Value
Est Rev: Lowest 30 Down 2.33 -8.1 0.2 -9.2 6.1 0.7 0.1 73.3 -71.0 43.0 -29.9 8.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
O'Shaughnessy: Value 1.34 5.0 5.4 -8.3 13.2 9.6 1.6 99.9 -69.1 22.0 -23.8 0.1 -5.8 29.6 20.3 -11.2 7.4 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.5 16.2 -7.3 14.2 14.2 16.2 196.1 -52.1 25.8 -17.3 8.2 -13.1 33.9 18.9 7.0 31.4 Value
Zweig 1.91 12.5 18.0 -5.6 11.3 4.6 1.7 13.0 -54.4 32.7 -24.2 16.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Oberweis Octagon 1.93 9.7 12.7 -4.6 14.0 9.9 7.8 198.2 -70.6 24.6 -23.2 -4.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Est Rev: Down 5% 1.95 -4.8 0.7 -4.2 6.8 2.5 1.4 72.0 -63.8 33.5 -30.5 8.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dividend (High Relative Yield) 0.97 9.0 8.9 -2.9 15.6 14.0 6.8 137.2 -40.4 12.5 -14.2 0.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dual Cash Flow 1.53 11.2 13.8 -1.8 14.7 6.9 6.7 132.7 -61.0 34.7 -23.6 3.0 -3.2 48.9 5.1 -21.6 31.0 Growth
Kirkpatrick Bargain 1.36 7.3 7.5 -1.0 4.9 8.4 10.6 79.6 -43.2 21.1 -21.7 -7.7 5.9 7.3 14.9 3.6 9.4 Growth & Value
Weiss Blue Chip Div Yield 1.22 9.8 10.5 -0.2 12.4 15.7 9.4 156.9 -43.1 16.0 -16.8 -1.5 5.4 21.3 19.2 7.6 26.9 Value
ADR Screen 1.48 8.1 8.8 -0.1 19.9 10.1 7.9 127.9 -68.7 31.1 -29.7 0.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 16.1 25.1 0.5 30.4 11.7 10.4 222.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 0.9 20.8 12.9 5.5 127.7 -50.5 13.6 -18.6 -3.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Price-to-Sales 1.32 12.8 14.8 1.0 13.9 12.9 9.3 173.4 -55.1 18.3 -20.6 5.1 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Cash Rich Firms 1.38 9.6 10.8 1.4 17.4 4.7 5.3 71.9 -45.6 17.6 -20.7 7.3 2.5 36.6 10.5 -32.8 14.4 Value
O'Shaughnessy: Growth 1.51 12.9 16.2 1.7 20.7 14.0 9.7 178.9 -57.2 18.6 -17.9 1.2 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Graham--Enterprising Investor 1.78 12.0 16.3 2.0 0.7 7.4 13.4 141.9 -50.3 33.1 -23.4 28.5 -20.6 9.6 1.1 -1.1 43.5 Value
Buffettology: Sustainable Growth 1.28 9.9 10.9 2.9 14.2 10.6 10.0 172.2 -41.9 16.5 -20.4 -3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
Dogs of the Dow 1.22 2.3 3.0 3.5 13.5 15.1 3.2 161.9 -69.0 17.1 -23.4 0.6 6.8 27.9 9.6 10.7 19.4 Value
O'Shaughnessy: All Cap 1.39 9.7 10.9 3.7 10.3 9.5 7.3 107.0 -52.1 18.4 -21.5 4.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.1 37.0 20.3 16.9 517.8 -62.8 51.2 -31.7 3.5 12.4 97.8 1.1 -7.0 39.2 Value
Kirkpatrick Value 2.20 8.1 10.0 4.2 4.7 -0.5 11.1 -18.6 -23.3 49.0 -25.3 2.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 20.7 8.4 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
All Exchange-Listed Stocks 1.37 9.5 10.6 4.5 18.0 12.4 7.9 176.5 -58.6 23.9 -22.1 4.8 5.0 38.1 14.8 -12.3 26.2 Indexes
Kirkpatrick Growth 2.14 10.5 15.1 4.7 4.6 2.1 14.4 78.4 -38.7 64.1 -23.1 0.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
MAGNET Complex 2.73 8.5 11.9 5.5 13.2 0.7 -3.0 -25.0 -55.9 63.0 -28.2 -9.2 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Return on Equity 1.28 10.9 12.2 5.6 11.8 11.8 8.7 149.1 -47.2 14.6 -22.2 6.5 -8.8 34.2 10.1 -5.7 32.0 Growth
Fundamental Rule of Thumb 1.70 10.6 13.4 5.8 9.6 1.3 6.3 72.5 -57.0 33.8 -19.2 14.0 -11.6 46.1 -6.9 -35.2 17.7 Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.1 6.0 21.8 17.9 12.8 148.7 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Wanger (Revised) 1.44 8.8 9.7 6.5 23.3 16.4 10.7 158.5 -51.3 22.8 -19.8 5.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Buffettology: EPS Growth 1.22 10.0 10.8 7.1 17.6 15.1 10.8 211.3 -48.4 15.1 -20.8 0.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 7.3 18.8 14.6 8.6 164.2 -51.0 18.4 -19.6 0.3 7.5 35.6 17.8 -1.2 24.7 Indexes
Dow Jones 30 0.97 4.9 4.8 7.7 13.3 12.2 5.6 118.4 -49.3 11.8 -15.1 1.1 7.5 26.5 7.3 5.5 11.0 Indexes
Neff 1.63 13.9 18.7 7.8 18.5 14.4 11.7 225.6 -52.8 32.6 -21.7 5.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Templeton 1.26 10.0 10.9 8.4 21.9 17.8 10.5 195.7 -40.0 14.5 -23.1 -1.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 8.9 16.4 19.0 0.4 190.4 -82.9 27.6 -34.8 7.5 3.0 34.5 15.7 13.1 17.3 Value
S&P 500 Value (TR) 1.00 6.1 6.1 9.0 19.5 15.1 7.3 162.5 -56.0 11.3 -17.1 1.5 12.5 33.7 17.7 -0.5 15.1 Indexes
Dreman With Est Revisions 1.36 13.6 16.1 9.1 21.1 21.7 15.7 278.1 -39.9 21.4 -26.2 0.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
S&P SmallCap 600 1.27 7.8 8.2 9.2 18.5 15.1 8.2 169.4 -52.2 17.3 -20.2 2.6 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P 500 1.00 4.6 4.6 9.6 17.1 14.1 5.9 138.9 -52.6 10.8 -16.8 2.4 11.4 29.6 13.4 0.0 12.8 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 9.9 21.2 16.3 9.9 191.8 -49.4 15.7 -21.8 3.4 12.1 34.3 20.1 -2.4 22.8 Indexes
S&P MidCap 400 1.19 8.7 9.1 10.6 18.1 14.9 8.6 167.3 -50.5 14.8 -21.8 5.0 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 10.6 20.0 16.5 10.6 192.4 -47.7 19.0 -22.2 7.5 7.6 32.8 15.8 -0.9 30.6 Indexes
Rule #1 Investing 1.81 10.9 14.4 10.6 37.4 26.6 14.5 496.4 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
P/E Relative 1.13 15.1 16.2 11.2 16.7 14.5 14.4 176.9 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Dreman 1.25 10.1 11.0 11.6 19.0 12.5 7.2 133.2 -55.0 23.9 -22.2 6.0 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Buffett: Hagstrom 1.12 13.8 14.7 13.7 15.0 18.1 11.8 209.4 -39.8 13.2 -19.0 2.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 9.0 9.8 13.9 19.9 17.8 10.3 209.5 -51.1 17.0 -21.7 5.8 3.9 42.6 14.9 4.1 28.0 Indexes
O'Neil's CAN SLIM No Float 1.39 13.3 16.0 14.4 13.4 14.6 6.9 233.9 -61.6 23.5 -35.5 7.8 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 14.5 17.9 15.4 10.1 184.0 -50.1 12.7 -19.1 5.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.5 6.6 14.5 19.9 18.0 9.1 180.5 -44.4 10.8 -16.5 4.8 14.9 35.5 14.6 4.7 15.0 Indexes
Stock Market Winners 1.45 16.3 20.7 16.8 18.3 31.2 13.6 448.3 -51.3 22.0 -23.4 11.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Driehaus 2.25 9.4 13.0 18.1 19.5 15.8 19.9 370.9 -53.4 51.3 -25.7 2.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Fisher (Philip) 2.22 3.7 5.2 18.2 19.9 -3.7 0.4 48.8 -58.2 32.8 -27.9 26.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Lakonishok 1.20 13.2 14.5 18.6 18.8 16.3 14.7 202.5 -32.5 16.6 -17.9 5.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.0 24.8 19.6 28.3 17.9 17.7 223.4 -10.1 69.6 -23.1 5.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
NASDAQ 100 1.80 7.9 9.1 20.6 21.3 19.5 11.3 215.3 -50.1 25.0 -27.5 6.4 17.9 35.0 16.8 2.7 19.2 Indexes
Schloss 1.94 8.3 10.0 20.9 0.6 2.0 4.9 12.0 -37.6 27.1 -40.4 -3.6 -5.9 16.7 13.1 -35.1 12.5 Value
Insider Net Purchases 1.87 -5.4 0.1 23.4 7.0 -1.7 -2.3 46.9 -65.5 27.8 -27.2 18.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
Est Rev: Up 5% 1.76 18.2 27.1 25.3 21.3 21.3 24.6 303.2 -23.4 30.8 -21.7 15.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.0 25.7 25.5 25.1 22.9 24.0 400.4 -37.8 36.4 -26.7 13.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Foolish Small Cap 8 Revised 2.22 10.7 15.7 32.0 18.3 2.4 7.8 55.1 -64.0 42.9 -31.1 34.9 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Graham--Enterprising Investor Revised 1.75 15.4 22.1 32.8 18.4 11.9 23.5 297.1 -49.9 36.4 -22.4 7.7 41.9 2.1 -4.9 -4.1 32.9 Value
Value on the Move--PEG With Est Growth 1.34 16.8 20.3 32.8 28.3 21.6 15.4 255.6 -50.2 15.7 -23.1 19.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.9 8.3 34.4 21.0 16.9 8.8 187.6 -44.7 18.2 -22.0 7.5 21.6 30.4 19.7 -9.4 17.3 Growth
Foolish Small Cap 8 2.30 9.0 12.3 53.9 26.8 13.5 3.7 149.9 -67.7 38.8 -25.9 43.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.1 19.0 62.6 35.9 27.4 12.3 205.8 -27.8 52.7 -26.7 24.3 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum