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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 10/31/2014
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 2013 2012 2011 2010 2009
O'Neil's CAN SLIM Revised 3rd Edition 1.86 13.0 18.7 48.2 30.5 19.7 11.2 0.0 132.1 -27.8 52.7 -26.7 48.0 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Rule #1 Investing 1.81 10.8 14.2 43.3 32.4 30.3 14.3 0.0 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
O'Neil's CAN SLIM 1.92 16.6 25.9 35.1 30.9 10.5 21.0 0.0 178.2 -10.1 69.6 -23.1 56.0 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
ADR Screen 1.48 8.4 9.3 34.9 18.1 10.6 8.4 0.0 177.4 -68.7 31.1 -29.7 31.0 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 27.0 29.2 18.8 11.2 0.0 282.2 -67.3 37.4 -21.0 18.8 54.4 20.0 -22.9 21.1 Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.3 21.9 26.3 7.9 13.1 25.5 0.0 289.1 -49.9 36.4 -22.4 32.1 2.1 -4.9 -4.1 32.9 Value
Price-to-Free-Cash-Flow 1.78 14.6 20.9 25.6 31.3 27.4 18.9 0.0 780.1 -62.8 51.2 -31.7 12.6 97.8 1.1 -7.0 39.2 Value
NASDAQ 100 1.80 7.8 8.9 23.1 20.8 20.1 10.8 0.0 175.0 -50.1 25.0 -27.5 15.8 35.0 16.8 2.7 19.2 Indexes
Inve$tWare Quality Growth 1.26 7.6 7.8 20.0 19.5 16.3 9.0 0.0 158.2 -44.7 18.2 -22.0 16.7 30.4 19.7 -9.4 17.3 Growth
S&P 500 Growth (TR) 1.10 6.3 6.4 19.4 19.7 17.4 8.9 0.0 175.6 -44.4 10.8 -16.5 12.6 35.5 14.6 4.7 15.0 Indexes
MAGNET Complex 2.71 8.6 12.2 18.7 -1.5 -2.6 -5.8 0.0 -29.0 -55.9 63.0 -28.2 -3.7 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Dreman With Est Revisions 1.36 13.6 16.1 18.1 20.1 22.0 15.8 0.0 283.1 -39.9 21.4 -26.2 4.5 35.8 13.0 21.6 26.5 Earnings Estimates
S&P 500 Value (TR) 1.00 6.0 6.0 15.1 19.9 16.1 7.7 0.0 174.9 -56.0 11.3 -17.1 9.4 33.7 17.7 -0.5 15.1 Indexes
Lakonishok 1.20 13.0 14.3 15.0 15.3 16.3 14.7 0.0 205.2 -32.5 16.6 -17.9 6.5 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P 500 1.00 4.4 4.4 14.9 17.2 14.3 6.0 0.0 145.7 -52.6 10.8 -16.8 9.2 29.6 13.4 0.0 12.8 Indexes
Wanger (Revised) 1.44 8.9 10.0 14.9 22.4 18.2 11.4 0.0 185.5 -51.3 22.8 -19.8 5.1 51.1 23.5 -5.2 12.5 Growth & Value
Cash Rich Firms 1.38 10.0 11.3 13.8 18.3 7.5 5.8 0.0 113.2 -45.6 17.6 -20.7 10.8 36.6 10.5 -32.8 14.4 Value
Value on the Move--PEG With Est Growth 1.34 16.3 19.7 13.4 21.9 21.7 15.0 0.0 236.0 -50.2 15.7 -23.1 6.4 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 10.4 11.2 13.4 15.8 18.1 10.9 0.0 203.3 -43.1 16.0 -16.8 8.8 21.3 19.2 7.6 26.9 Value
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.4 21.3 18.7 10.4 0.0 223.4 -49.4 15.7 -21.8 9.2 34.3 20.1 -2.4 22.8 Indexes
Murphy Technology 2.77 -14.8 -1.2 13.2 24.2 15.1 6.6 0.0 247.8 -58.3 58.5 -44.9 9.9 39.7 42.3 -29.8 40.0 Growth & Value
Dividend (High Relative Yield) 0.97 9.5 9.5 13.1 19.0 16.4 7.3 0.0 174.4 -40.4 12.5 -14.2 5.5 40.6 9.8 3.0 19.4 Growth & Value
Dreman 1.25 10.1 11.0 12.3 17.4 14.4 7.8 0.0 138.9 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.7 12.0 17.4 15.0 8.2 0.0 236.3 -58.6 23.9 -22.1 5.5 38.1 14.8 -12.3 26.2 Indexes
Est Rev: Top 30 Up 1.83 16.7 25.2 11.8 20.8 23.6 24.2 0.0 427.8 -37.8 36.4 -26.7 0.2 42.1 21.9 -2.3 47.6 Earnings Estimates
Graham--Defensive Investor (Utility) 0.94 8.4 8.3 11.8 8.8 9.7 7.9 0.0 76.7 -31.4 12.0 -13.4 15.4 10.0 1.2 8.6 4.6 Value
Dow Jones 30 0.97 4.8 4.8 11.3 13.3 12.4 5.7 0.0 121.1 -49.3 11.8 -15.1 4.9 26.5 7.3 5.5 11.0 Indexes
Buffett: Hagstrom 1.12 14.0 14.8 11.2 16.8 19.6 12.7 0.0 208.3 -39.8 13.2 -19.0 5.9 35.4 13.0 8.2 27.7 Growth & Value
Fisher (Philip) 2.20 3.3 5.1 11.0 13.2 -1.4 1.6 0.0 73.3 -58.2 32.8 -27.9 17.4 39.5 -0.6 -50.9 9.2 Growth & Value
Dogs of the Dow 1.22 2.4 3.1 10.3 16.3 16.3 3.3 0.0 196.2 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 Value
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 10.1 20.1 18.6 -0.2 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 Value
S&P MidCap 400 1.20 8.6 9.0 10.0 16.9 16.6 8.9 0.0 193.0 -50.5 14.8 -21.8 5.7 31.6 16.1 -3.1 24.9 Indexes
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 9.3 20.0 19.3 11.3 0.0 220.6 -47.7 19.0 -22.2 4.8 32.8 15.8 -0.9 30.6 Indexes
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 8.6 15.1 18.9 10.5 0.0 191.1 -50.1 12.7 -19.1 0.0 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.28 10.4 11.5 8.2 14.6 15.2 11.4 0.0 221.2 -41.9 16.5 -20.4 2.6 35.8 8.8 0.7 18.4 Growth & Value
S&P SmallCap 600 1.27 7.8 8.2 8.0 18.5 17.8 8.6 0.0 207.0 -52.2 17.3 -20.2 2.1 39.7 14.8 -0.2 25.0 Indexes
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.6 8.0 19.0 19.9 10.5 0.0 241.7 -51.1 17.0 -21.7 1.8 42.6 14.9 4.1 28.0 Indexes
Buffettology: EPS Growth 1.22 10.3 11.1 8.0 18.6 18.0 11.3 0.0 253.3 -48.4 15.1 -20.8 3.3 38.4 17.4 3.8 20.5 Growth & Value
Templeton 1.26 10.0 10.9 7.7 22.9 19.0 11.2 0.0 217.7 -40.0 14.5 -23.1 5.2 29.4 31.0 3.2 22.4 Growth & Value
Est Rev: Up 5% 1.76 18.1 26.8 7.1 20.2 21.5 24.0 0.0 315.7 -23.4 30.8 -21.7 -1.7 27.7 28.8 6.1 35.9 Earnings Estimates
S&P SmallCap 600 Value (TR) 1.23 8.3 8.8 7.0 19.6 18.0 9.2 0.0 205.4 -51.0 18.4 -19.6 4.4 35.6 17.8 -1.2 24.7 Indexes
O'Shaughnessy: Growth 1.51 13.2 16.7 7.0 21.1 18.0 11.6 0.0 204.7 -57.2 18.6 -17.9 1.4 38.7 28.8 -7.5 21.3 Value With Price Momentum
P/E Relative 1.13 15.2 16.4 6.5 15.6 17.4 15.0 0.0 186.0 -27.6 18.4 -18.3 4.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: All Cap 1.38 9.8 11.0 6.3 10.2 11.9 8.7 0.0 126.1 -52.1 18.4 -21.5 -2.1 18.4 12.4 -5.0 29.4 Value With Price Momentum
Dual Cash Flow 1.54 11.5 14.2 6.2 12.8 11.7 7.9 0.0 214.7 -61.0 34.7 -23.6 -1.7 48.9 5.1 -21.6 31.0 Growth
Stock Market Winners 1.46 16.0 20.4 5.7 16.4 33.9 14.3 0.0 390.2 -51.3 22.0 -23.4 4.6 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
O'Shaughnessy: Value 1.34 5.6 5.9 5.7 13.9 9.3 3.0 0.0 165.9 -69.1 22.0 -23.8 -0.9 29.6 20.3 -11.2 7.4 Value
Piotroski: High F-Score 2.06 17.8 29.8 5.1 56.5 33.9 26.7 0.0 1,122.5 -53.6 43.1 -42.0 3.4 137.6 91.7 -36.4 138.8 Value
Kirkpatrick Bargain 1.37 7.5 7.9 4.7 7.6 9.5 13.9 0.0 111.6 -43.2 21.1 -21.7 -0.8 7.3 14.9 3.6 9.4 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 7.2 7.3 4.7 18.3 16.1 7.0 0.0 137.3 -50.5 13.6 -18.6 -4.3 48.5 15.8 -1.2 15.7 Value With Price Momentum
Price-to-Sales 1.33 13.1 15.2 4.5 14.1 15.9 10.2 0.0 232.5 -55.1 18.3 -20.6 -3.5 36.3 11.3 -2.6 29.6 Growth & Value
T. Rowe Price 1.67 8.6 10.1 4.4 4.5 24.4 9.9 0.0 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Driehaus 2.26 9.4 13.0 3.5 17.0 21.0 19.1 0.0 373.4 -53.4 51.3 -25.7 -5.6 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Neff 1.64 14.0 18.8 3.2 16.3 18.4 11.4 0.0 305.7 -52.8 32.6 -21.7 2.3 39.5 15.0 -4.2 35.0 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.4 16.2 2.7 14.5 13.5 8.0 0.0 178.4 -61.6 23.5 -35.5 3.2 30.8 8.9 -3.9 20.6 Growth With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.4 18.6 2.4 24.6 21.4 15.0 0.0 169.6 -50.6 18.5 -18.2 -2.9 46.8 30.3 -0.3 26.1 Value With Price Momentum
Oberweis Octagon 1.92 10.2 13.6 2.4 21.2 17.8 9.3 0.0 243.7 -70.6 24.6 -23.2 -3.6 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
IBD Stable 70 1.19 10.2 10.9 0.9 18.0 17.6 8.0 0.0 214.0 -50.6 18.4 -21.9 -3.1 34.3 24.6 3.7 21.2 Growth
Lynch 1.24 10.9 12.0 -1.5 4.6 5.7 7.7 0.0 161.2 -47.5 18.9 -21.3 0.0 24.3 0.7 -27.9 24.9 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.37 14.2 17.0 -2.1 16.2 19.0 17.1 0.0 297.8 -52.1 25.8 -17.3 -2.7 33.9 18.9 7.0 31.4 Value
Foolish Small Cap 8 Revised 2.14 10.1 14.3 -2.1 11.2 2.8 6.5 0.0 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Return on Equity 1.29 11.1 12.4 -3.4 10.6 13.7 9.8 0.0 180.1 -47.2 14.6 -22.2 -5.9 34.2 10.1 -5.7 32.0 Growth
Fundamental Rule of Thumb 1.71 10.4 13.1 -3.8 4.2 0.3 7.7 0.0 114.2 -57.0 33.8 -19.2 -10.6 46.1 -6.9 -35.2 17.7 Value
Kirkpatrick Growth 2.15 10.6 15.3 -4.2 -5.1 4.4 15.2 0.0 108.9 -38.7 64.1 -23.1 -6.1 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Graham--Enterprising Investor 1.75 12.2 16.4 -6.1 1.9 8.6 14.6 0.0 166.0 -50.3 33.1 -23.4 -4.7 9.6 1.1 -1.1 43.5 Value
Magic Formula 1.65 8.6 9.9 -7.2 5.7 3.2 4.3 0.0 161.4 -51.6 30.7 -22.4 -10.8 27.9 7.9 -30.6 26.6 Value
Est Rev: Down 5% 1.95 -5.8 0.2 -8.0 3.2 3.1 1.4 0.0 158.4 -63.8 33.5 -30.5 -13.9 28.2 9.2 -31.1 30.3 Earnings Estimates
Insider Net Purchases 1.87 -8.1 -1.3 -10.6 5.4 -3.0 -5.1 0.0 92.2 -65.5 27.8 -27.2 -16.6 21.5 11.5 -31.4 7.4 Specialty
Est Rev: Lowest 30 Down 2.33 -9.0 -0.1 -13.2 0.9 2.6 -0.1 0.0 198.9 -71.0 43.0 -29.9 -19.0 29.7 9.3 -34.1 37.8 Earnings Estimates
Foolish Small Cap 8 2.26 7.8 9.4 -13.4 -0.9 8.7 1.6 0.0 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 Growth With Price Momentum
MAGNET Simple 2.99 9.6 15.6 -13.5 -19.7 5.2 14.0 0.0 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Schloss 1.92 8.2 9.7 -17.8 2.4 -2.2 3.6 0.0 9.3 -37.6 27.1 -40.4 -17.2 16.7 13.1 -35.1 12.5 Value
Zweig 1.89 11.9 16.7 -19.0 2.1 0.6 1.4 0.0 62.4 -54.4 32.7 -24.2 -24.8 26.2 6.4 -18.3 12.8 Growth & Value
Kirkpatrick Value 2.21 8.1 10.0 -20.4 -0.4 -3.3 10.7 0.0 -14.3 -23.3 49.0 -25.3 -17.4 21.9 19.4 -15.1 -25.5 Growth & Value
Muhlenkamp 1.58 -5.0 -0.8 -51.0 -27.1 -24.6 -12.0 0.0 -60.3 -49.0 21.0 -26.2 -52.3 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum