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 10/31/2016
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 8.3 10.9 -43.4 -8.1 1.7 0.2 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
MAGNET Complex 2.74 6.6 6.9 -37.3 -15.8 -13.6 -10.1 -61.1 -55.9 63.0 -28.2 -20.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Rule #1 Investing 1.90 7.2 7.9 -30.3 -13.9 0.6 4.2 239.4 -54.0 27.0 -28.5 -17.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Foolish Small Cap 8 2.38 8.1 10.4 -20.8 7.0 6.7 1.3 204.2 -67.7 38.8 -25.9 3.3 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Schloss 1.95 6.9 7.3 -20.3 -13.6 -3.4 -2.6 6.2 -37.6 27.1 -40.4 -13.4 -5.9 16.7 13.1 -35.1 12.5 Value
Zweig 1.91 10.9 14.9 -16.4 -6.4 1.6 -3.6 17.8 -54.4 32.7 -24.2 -5.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Inve$tWare Quality Growth 1.27 6.8 6.8 -15.7 5.4 10.8 5.7 211.0 -44.7 18.2 -22.0 -5.4 21.6 30.4 19.7 -9.4 17.3 Growth
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.1 16.9 -14.8 15.5 18.2 11.2 198.4 -27.8 52.7 -26.7 -13.2 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Neff 1.63 12.0 15.5 -10.0 -5.1 5.5 5.8 278.5 -52.8 32.6 -21.7 3.1 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.53 13.0 16.4 -9.1 0.3 13.8 7.9 183.3 -50.6 18.5 -18.2 -3.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Cash Rich Firms 1.38 8.3 9.0 -8.1 -1.2 7.0 1.8 89.0 -45.6 17.6 -20.7 -0.9 2.5 36.6 10.5 -32.8 14.4 Value
Kirkpatrick Bargain 1.36 6.7 6.7 -7.4 -0.3 3.3 6.6 101.7 -43.2 21.1 -21.7 -3.1 5.9 7.3 14.9 3.6 9.4 Growth & Value
Graham--Enterprising Investor Revised 1.75 13.9 19.4 -7.2 8.2 4.7 17.2 479.4 -49.9 36.4 -22.4 -7.8 41.9 2.1 -4.9 -4.1 32.9 Value
Murphy Technology 2.73 -20.4 -3.3 -7.1 -9.8 4.4 -1.0 107.5 -58.3 58.5 -44.9 -14.8 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Lynch 1.27 9.0 9.7 -7.0 -5.9 -0.7 2.8 100.3 -47.5 18.9 -21.3 7.3 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
O'Neil's CAN SLIM 1.92 14.2 21.3 -5.8 1.7 11.8 13.8 159.8 -10.1 69.6 -23.1 -5.8 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Dreman With Est Revisions 1.35 13.0 15.4 -5.6 12.3 15.7 12.9 381.1 -39.9 21.4 -26.2 3.1 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 14.7 17.6 -5.3 5.1 13.1 9.8 273.5 -50.2 15.7 -23.1 -2.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
MAGNET Simple Revised 2.30 -6.2 1.0 -5.0 -1.8 -3.3 -1.6 -23.8 -31.0 38.9 -35.9 -13.8 -13.7 45.7 -25.0 -45.7 32.9
Muhlenkamp 1.57 -3.3 0.2 -4.7 -16.4 -14.4 -13.0 -51.6 -49.0 21.0 -26.2 -0.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
O'Neil's CAN SLIM No Float 1.38 12.4 14.6 -4.7 2.6 9.6 6.0 213.4 -61.6 23.5 -35.5 -4.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Weiss Blue Chip Div Yield 1.25 8.9 9.4 -3.9 1.1 7.2 6.8 201.3 -43.1 16.0 -16.8 9.7 5.4 21.3 19.2 7.6 26.9 Value
O'Shaughnessy: Tiny Titans 1.91 14.9 22.6 -3.6 7.6 16.2 5.2 305.5 -67.3 37.4 -21.0 0.0 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
MAGNET Complex Revised 2.20 -3.8 1.8 -3.3 -7.1 -11.6 -6.6 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
O'Shaughnessy: Growth Market Leaders 1.24 6.2 6.2 -1.8 1.9 10.9 3.2 143.0 -50.5 13.6 -18.6 -2.5 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 12.8 13.1 -1.7 5.2 10.3 8.0 228.7 -50.1 12.7 -19.1 -3.0 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Fisher (Philip) 2.26 0.0 3.6 -1.6 -1.9 4.3 0.3 80.4 -58.2 32.8 -27.9 -17.5 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Magic Formula 1.63 7.4 8.0 -1.1 -6.8 0.6 2.4 120.5 -51.6 30.7 -22.4 7.2 -16.5 27.9 7.9 -30.6 26.6 Value
Dual Cash Flow 1.55 9.8 11.7 -0.4 -2.9 4.4 2.0 187.3 -61.0 34.7 -23.6 5.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Templeton 1.26 8.8 9.4 -0.2 1.1 12.3 8.3 232.2 -40.0 14.5 -23.1 5.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 12.2 14.4 0.2 -4.6 6.8 10.3 282.0 -52.1 25.8 -17.3 6.6 -13.1 33.9 18.9 7.0 31.4 Value
Dreman 1.25 9.1 9.7 1.1 3.6 9.9 3.0 198.1 -55.0 23.9 -22.2 4.7 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Insider Net Purchases 1.92 -10.2 -2.2 1.2 -9.6 -0.7 -6.9 41.2 -65.5 27.8 -27.2 -4.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
All Exchange-Listed Stocks 1.37 8.5 9.2 1.2 2.0 8.9 4.5 240.5 -58.6 23.9 -22.1 7.7 5.0 38.1 14.8 -12.3 26.2 Indexes
Price-to-Free-Cash-Flow 1.78 13.6 19.2 1.4 11.9 20.4 15.1 1,035.9 -62.8 51.2 -31.7 11.3 12.4 97.8 1.1 -7.0 39.2 Value
Buffettology: EPS Growth 1.20 9.7 10.3 2.1 5.3 12.5 9.4 306.0 -48.4 15.1 -20.8 4.2 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P 500 1.00 4.3 4.3 2.3 6.6 11.1 4.4 189.2 -52.6 10.8 -16.8 4.0 11.4 29.6 13.4 0.0 12.8 Indexes
Return on Equity 1.27 10.2 11.3 2.4 0.2 7.1 6.2 203.5 -47.2 14.6 -22.2 7.4 -8.8 34.2 10.1 -5.7 32.0 Growth
Dow Jones 30 0.98 4.6 4.5 2.7 5.1 8.7 4.2 156.9 -49.3 11.8 -15.1 4.1 7.5 26.5 7.3 5.5 11.0 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.3 2.7 10.2 14.0 8.4 249.7 -44.4 10.8 -16.5 4.1 14.9 35.5 14.6 4.7 15.0 Indexes
NASDAQ 100 1.78 7.8 8.7 3.3 12.4 15.3 10.9 242.9 -50.1 25.0 -27.5 4.5 17.9 35.0 16.8 2.7 19.2 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.5 9.1 3.7 6.2 13.3 9.0 308.6 -51.1 17.0 -21.7 5.6 3.9 42.6 14.9 4.1 28.0 Indexes
Est Rev: Down 5% 1.96 -6.0 0.1 4.1 -3.1 1.7 -2.4 141.6 -63.8 33.5 -30.5 8.8 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Buffett: Hagstrom 1.10 13.0 13.7 4.2 6.8 11.8 10.5 278.1 -39.8 13.2 -19.0 5.5 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P MidCap 400 1.19 8.1 8.3 4.5 5.4 11.2 6.8 235.9 -50.5 14.8 -21.8 7.9 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 1.27 7.4 7.6 4.8 4.7 12.1 6.4 250.8 -52.2 17.3 -20.2 7.6 4.4 39.7 14.8 -0.2 25.0 Indexes
Lakonishok 1.20 12.3 13.4 5.3 9.1 11.6 11.9 273.2 -32.5 16.6 -17.9 9.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Shaughnessy: Growth 1.50 12.2 15.0 5.3 3.8 13.2 7.0 229.4 -57.2 18.6 -17.9 10.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Piotroski: High F-Score 2.08 14.8 23.7 5.4 -10.8 21.0 15.4 735.6 -53.6 43.1 -42.0 17.9 -0.3 137.6 91.7 -36.4 138.8 Value
Buffettology: Sustainable Growth 1.27 10.0 10.9 6.0 6.7 11.1 10.0 284.8 -41.9 16.5 -20.4 8.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P MidCap 400 Growth (TR) 1.29 10.2 11.3 6.3 6.1 13.6 9.3 285.1 -47.7 19.0 -22.2 6.0 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P 500 Value (TR) 1.00 5.8 5.8 6.4 7.3 13.1 5.2 231.5 -56.0 11.3 -17.1 7.7 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: Value 1.34 4.2 4.8 6.4 -0.9 6.4 -0.8 161.3 -69.1 22.0 -23.8 10.8 -5.8 29.6 20.3 -11.2 7.4 Value
Stock Market Winners 1.43 15.9 19.9 8.2 12.8 16.5 14.1 627.4 -51.3 22.0 -23.4 8.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.4 3.2 8.2 9.8 15.8 -0.4 388.9 -82.9 27.6 -34.8 9.4 3.0 34.5 15.7 13.1 17.3 Value
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 8.6 7.0 14.1 8.0 276.0 -49.4 15.7 -21.8 12.8 12.1 34.3 20.1 -2.4 22.8 Indexes
S&P SmallCap 600 Value (TR) 1.23 7.9 8.2 9.4 4.9 13.1 6.3 257.0 -51.0 18.4 -19.6 12.3 7.5 35.6 17.8 -1.2 24.7 Indexes
P/E Relative 1.14 13.5 14.5 10.3 2.0 9.1 10.2 225.8 -27.6 18.4 -18.3 11.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Fundamental Rule of Thumb 1.70 9.9 12.3 11.2 2.3 4.7 2.9 141.4 -57.0 33.8 -19.2 14.4 -11.6 46.1 -6.9 -35.2 17.7 Value
Wanger (Revised) 1.44 8.5 9.4 11.8 7.7 14.8 8.1 242.2 -51.3 22.8 -19.8 15.3 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Dividend (High Relative Yield) 0.98 8.5 8.5 12.0 4.5 11.2 5.7 187.2 -40.4 12.5 -14.2 16.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
Kirkpatrick Growth 2.10 10.3 14.4 13.7 3.6 -0.2 10.9 129.4 -38.7 64.1 -23.1 11.1 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dogs of the Dow 1.21 2.9 3.5 14.5 7.8 12.3 2.9 286.1 -69.0 17.1 -23.4 15.3 6.8 27.9 9.6 10.7 19.4 Value
Est Rev: Top 30 Up 1.82 16.2 24.1 15.8 14.0 18.6 20.1 651.5 -37.8 36.4 -26.7 16.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
ADR Screen 1.47 8.1 8.8 16.3 14.0 12.6 4.0 228.1 -68.7 31.1 -29.7 21.5 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Price-to-Sales 1.33 12.3 14.2 18.1 5.9 11.0 7.3 287.8 -55.1 18.3 -20.6 22.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Kirkpatrick Value 2.19 7.9 9.6 18.1 -3.4 2.3 4.5 -10.8 -23.3 49.0 -25.3 17.9 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Est Rev: Up 5% 1.76 17.1 25.1 18.8 9.9 16.6 19.4 454.7 -23.4 30.8 -21.7 20.6 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
O'Shaughnessy: All Cap 1.46 8.8 9.9 20.5 2.6 6.4 3.3 142.1 -52.1 18.4 -21.5 24.7 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Driehaus 2.22 9.8 13.8 23.7 14.6 18.5 18.1 674.3 -53.4 51.3 -25.7 18.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Oberweis Octagon 1.94 9.4 12.2 24.1 1.3 12.6 4.9 252.1 -70.6 24.6 -23.2 28.8 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 24.9 7.4 7.4 4.4 103.6 -31.4 12.2 -13.7 16.2 16.0 10.0 1.2 8.6 4.6 Value
Est Rev: Lowest 30 Down 2.33 -7.4 0.5 27.5 -0.7 3.0 -2.7 213.1 -71.0 43.0 -29.9 31.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
T. Rowe Price 1.69 9.6 11.8 38.1 19.2 13.1 11.2 740.2 -62.5 33.5 -20.0 38.1 4.4 28.5 -15.0 117.4 11.9 Growth & Value
MAGNET Simple 2.95 9.5 15.5 52.4 4.0 -7.7 4.0 551.5 -75.9 52.1 -34.0 49.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum