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 4/30/2015
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
Muhlenkamp 1.59 -4.6 -0.5 -41.9 -27.7 -27.6 -12.6 -61.5 -49.0 21.0 -26.2 -2.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 0.96 6.9 6.9 -14.1 1.3 3.8 4.9 47.3 -31.4 12.0 -13.7 -17.6 16.0 10.0 1.2 8.6 4.6 Value
Piotroski: High F-Score 2.07 17.1 28.5 -14.0 47.0 32.8 24.5 945.5 -53.6 43.1 -42.0 -1.5 -0.3 137.6 91.7 -36.4 138.8 Value
Zweig 1.91 12.4 17.7 -13.8 7.2 1.5 2.3 46.0 -54.4 32.7 -24.2 10.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Magic Formula 1.64 8.4 9.6 -12.6 -0.2 -1.6 5.9 132.4 -51.6 30.7 -22.4 6.0 -16.5 27.9 7.9 -30.6 26.6 Value
Lynch 1.25 10.9 12.0 -10.7 6.2 1.0 6.4 131.0 -47.5 18.9 -21.3 13.7 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Lowest 30 Down 2.33 -8.4 0.1 -10.4 1.1 -1.8 0.7 147.7 -71.0 43.0 -29.9 6.0 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Murphy Technology 2.76 -16.0 -1.6 -7.8 16.6 9.4 5.2 179.2 -58.3 58.5 -44.9 2.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.13 9.8 13.5 -7.6 1.3 -7.1 5.4 89.6 -64.0 28.1 -31.1 -5.6 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 13.6 16.3 -6.4 11.3 12.7 16.8 272.7 -52.1 25.8 -17.3 9.1 -13.1 33.9 18.9 7.0 31.4 Value
Oberweis Octagon 1.93 9.7 12.7 -5.8 10.0 8.6 8.2 203.8 -70.6 24.6 -23.2 -5.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
O'Shaughnessy: Value 1.34 5.1 5.5 -5.6 9.5 7.6 1.9 143.9 -69.1 22.0 -23.8 1.8 -5.8 29.6 20.3 -11.2 7.4 Value
MAGNET Simple 2.97 9.4 15.1 -5.5 -17.5 -1.1 11.8 276.0 -75.9 52.1 -34.0 0.8 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Est Rev: Down 5% 1.95 -5.1 0.6 -5.0 2.5 -0.1 2.0 129.6 -63.8 33.5 -30.5 5.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dual Cash Flow 1.53 11.2 13.8 -3.7 11.2 4.8 7.1 186.0 -61.0 34.7 -23.6 1.8 -3.2 48.9 5.1 -21.6 31.0 Growth
Dividend (High Relative Yield) 0.97 9.1 9.0 -1.9 14.3 12.5 7.2 159.8 -40.4 12.5 -14.2 0.8 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Shaughnessy: Growth 1.51 12.9 16.2 0.4 17.7 11.4 10.3 199.5 -57.2 18.6 -17.9 0.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 9.8 10.5 1.0 10.4 13.2 9.6 190.2 -43.1 16.0 -16.8 -2.6 5.4 21.3 19.2 7.6 26.9 Value
Return on Equity 1.28 10.9 12.2 1.2 7.7 9.7 9.4 181.2 -47.2 14.6 -22.2 5.6 -8.8 34.2 10.1 -5.7 32.0 Growth
Fundamental Rule of Thumb 1.70 10.6 13.5 1.6 5.6 -0.9 6.6 109.6 -57.0 33.8 -19.2 13.5 -11.6 46.1 -6.9 -35.2 17.7 Value
Kirkpatrick Value 2.20 8.2 10.2 1.7 3.7 -4.0 11.3 -13.7 -23.3 49.0 -25.3 4.9 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.1 25.0 1.8 25.8 9.1 11.2 271.8 -67.3 37.4 -21.0 -3.5 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Kirkpatrick Bargain 1.36 7.4 7.7 2.2 1.6 7.1 11.4 108.0 -43.2 21.1 -21.7 -5.3 5.9 7.3 14.9 3.6 9.4 Growth & Value
Buffettology: Sustainable Growth 1.28 10.0 11.0 2.5 10.9 9.2 10.7 213.6 -41.9 16.5 -20.4 -3.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
Price-to-Sales 1.32 12.9 15.0 3.3 11.2 11.0 9.9 223.5 -55.1 18.3 -20.6 6.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Cash Rich Firms 1.38 9.6 10.7 3.4 14.1 1.9 5.8 96.3 -45.6 17.6 -20.7 4.5 2.5 36.6 10.5 -32.8 14.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.0 3.5 18.2 15.2 13.5 172.3 -50.6 18.5 -18.2 -5.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
All Exchange-Listed Stocks 1.37 9.5 10.6 4.1 14.8 10.3 8.3 233.9 -58.6 23.9 -22.1 4.2 5.0 38.1 14.8 -12.3 26.2 Indexes
T. Rowe Price 1.66 8.5 9.8 4.4 4.5 19.3 8.3 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
ADR Screen 1.48 8.3 9.1 5.0 16.2 11.3 8.3 174.5 -68.7 31.1 -29.7 4.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Dogs of the Dow 1.22 2.4 3.1 5.3 12.5 13.9 3.6 206.7 -69.0 17.1 -23.4 1.9 6.8 27.9 9.6 10.7 19.4 Value
Buffettology: EPS Growth 1.22 10.0 10.8 5.3 13.6 13.6 11.4 258.3 -48.4 15.1 -20.8 -0.4 4.4 38.4 17.4 3.8 20.5 Growth & Value
MAGNET Complex 2.73 8.5 11.9 5.5 1.4 0.7 -4.1 -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
Kirkpatrick Growth 2.14 10.7 15.4 5.8 0.5 2.9 15.6 108.5 -38.7 64.1 -23.1 4.8 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Wanger (Revised) 1.44 8.8 9.7 6.2 18.8 13.4 11.2 192.1 -51.3 22.8 -19.8 4.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.9 7.0 6.3 17.5 11.1 6.1 136.8 -50.5 13.6 -18.6 -1.5 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.2 8.6 7.2 15.5 12.4 9.2 212.8 -51.0 18.4 -19.6 -0.5 7.5 35.6 17.8 -1.2 24.7 Indexes
Dow Jones 30 0.97 4.9 4.8 7.6 10.5 10.1 5.8 134.5 -49.3 11.8 -15.1 0.1 7.5 26.5 7.3 5.5 11.0 Indexes
S&P SmallCap 600 1.27 7.8 8.1 7.8 15.4 13.0 8.8 216.0 -52.2 17.3 -20.2 1.1 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 9.2 16.9 14.4 11.1 233.6 -47.7 19.0 -22.2 4.8 7.6 32.8 15.8 -0.9 30.6 Indexes
Neff 1.63 14.0 18.7 9.2 14.4 13.4 12.3 331.7 -52.8 32.6 -21.7 4.2 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 9.3 16.0 17.6 0.7 270.6 -82.9 27.6 -34.8 7.3 3.0 34.5 15.7 13.1 17.3 Value
S&P 500 Value (TR) 1.00 6.1 6.1 9.6 16.5 13.1 7.5 191.5 -56.0 11.3 -17.1 0.8 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: All Cap 1.39 9.9 11.3 10.0 9.2 8.4 8.0 138.5 -52.1 18.4 -21.5 8.9 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
S&P MidCap 400 1.19 8.6 9.1 10.6 14.9 12.8 9.2 206.8 -50.5 14.8 -21.8 3.3 8.2 31.6 16.1 -3.1 24.9 Indexes
Insider Net Purchases 1.87 -6.5 -0.4 10.7 1.3 -5.1 -2.9 87.7 -65.5 27.8 -27.2 8.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
S&P 500 1.00 4.5 4.5 10.7 14.2 11.9 6.1 161.4 -52.6 10.8 -16.8 1.3 11.4 29.6 13.4 0.0 12.8 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 10.8 18.1 14.3 10.4 237.6 -49.4 15.7 -21.8 2.5 12.1 34.3 20.1 -2.4 22.8 Indexes
P/E Relative 1.13 15.1 16.2 11.2 13.7 12.7 14.8 207.1 -27.6 18.4 -18.3 3.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.7 11.3 16.9 15.8 10.8 260.7 -51.1 17.0 -21.7 3.6 3.9 42.6 14.9 4.1 28.0 Indexes
Dreman 1.25 10.1 11.0 11.8 14.8 11.1 7.6 155.8 -55.0 23.9 -22.2 5.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.4 20.6 12.3 32.4 19.5 17.9 834.1 -62.8 51.2 -31.7 5.6 12.4 97.8 1.1 -7.0 39.2 Value
Dreman With Est Revisions 1.35 13.8 16.3 13.3 17.7 20.3 16.7 314.3 -39.9 21.4 -26.2 2.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 14.0 13.9 14.0 10.7 209.1 -50.1 12.7 -19.1 3.1 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.78 12.2 16.7 15.4 -3.0 8.5 14.9 175.9 -50.3 33.1 -23.4 35.2 -20.6 9.6 1.1 -1.1 43.5 Value
Stock Market Winners 1.45 16.2 20.6 15.6 17.3 29.0 13.4 467.5 -51.3 22.0 -23.4 9.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.3 15.9 16.3 10.7 13.6 7.5 210.8 -61.6 23.5 -35.5 5.6 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P 500 Growth (TR) 1.10 6.5 6.5 16.3 17.0 15.6 9.3 203.9 -44.4 10.8 -16.5 3.0 14.9 35.5 14.6 4.7 15.0 Indexes
Lakonishok 1.20 13.2 14.6 17.3 15.3 14.3 14.9 245.2 -32.5 16.6 -17.9 4.3 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Templeton 1.26 10.2 11.1 17.4 17.3 17.7 11.2 238.6 -40.0 14.5 -23.1 2.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffett: Hagstrom 1.12 14.0 14.9 17.4 14.2 17.1 12.9 245.8 -39.8 13.2 -19.0 4.6 9.6 35.4 13.0 8.2 27.7 Growth & Value
Est Rev: Top 30 Up 1.83 16.9 25.5 19.3 19.3 19.5 24.8 470.3 -37.8 36.4 -26.7 7.5 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Rule #1 Investing 1.81 10.9 14.5 21.3 31.1 24.1 14.9 647.5 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Fisher (Philip) 2.22 4.0 5.4 21.6 15.7 -5.6 0.9 97.6 -58.2 32.8 -27.9 28.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Driehaus 2.25 9.5 13.2 22.4 17.2 15.9 21.2 439.7 -53.4 51.3 -25.7 4.8 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Schloss 1.94 8.4 10.2 22.9 0.5 0.8 4.8 33.1 -37.6 27.1 -40.4 -0.9 -5.9 16.7 13.1 -35.1 12.5 Value
NASDAQ 100 1.80 7.9 9.0 23.2 17.4 17.1 12.0 215.3 -50.1 25.0 -27.5 4.2 17.9 35.0 16.8 2.7 19.2 Indexes
Foolish Small Cap 8 2.28 8.5 11.1 25.9 15.1 4.4 4.0 182.6 -67.7 38.8 -25.9 17.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Est Rev: Up 5% 1.75 18.3 27.3 29.4 18.6 19.6 25.8 377.4 -23.4 30.8 -21.7 11.3 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 16.6 20.0 31.3 23.3 18.4 15.4 294.3 -50.2 15.7 -23.1 11.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.8 8.2 34.4 18.0 14.6 9.7 222.3 -44.7 18.2 -22.0 5.5 21.6 30.4 19.7 -9.4 17.3 Growth
O'Neil's CAN SLIM 1.92 16.1 24.9 37.1 26.9 17.8 18.6 223.4 -10.1 69.6 -23.1 4.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.7 22.6 43.6 13.9 11.8 25.1 441.8 -49.9 36.4 -22.4 12.9 41.9 2.1 -4.9 -4.1 32.9 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.87 12.9 18.5 50.3 32.8 22.2 12.4 205.8 -27.8 52.7 -26.7 14.8 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum