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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 3/31/2014
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
Price-to-Free-Cash-Flow 1.77 14.9 21.4 87.7 21.7 53.4 17.9 749.1 -62.8 -31.7 7.8 97.8 1.0 -7.0 39.2 147.2 147.2 Value
ADR Screen 1.48 8.4 9.3 73.3 6.1 20.9 8.4 158.7 -68.7 -29.7 25.2 33.2 1.0 -25.9 18.8 53.2 53.2 Growth & Value With Price Momentum
Piotroski: High F-Score 2.06 18.9 32.1 68.1 51.9 65.8 28.3 1,152.8 -53.6 -42.0 17.8 137.6 92.0 -36.4 138.8 34.6 34.6 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.85 12.2 17.1 51.7 9.6 15.8 5.4 108.0 -27.8 -26.7 7.3 55.2 7.0 -30.1 42.7 16.8 16.8 Growth With Price Momentum
Rule #1 Investing 1.77 9.9 12.5 48.6 19.5 37.2 10.1 386.6 -54.0 -26.8 8.4 47.1 11.0 -1.0 40.0 99.8 99.8 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 17.0 26.8 47.3 17.1 29.7 12.4 266.8 -67.3 -21.0 19.7 54.4 20.0 -22.9 21.1 71.1 71.1 Value With Price Momentum
Lynch 1.23 12.2 13.5 38.7 1.5 20.6 11.4 155.4 -47.5 -21.3 16.6 24.3 1.0 -27.9 24.9 82.8 82.8 Growth & Value
Dual Cash Flow 1.53 12.2 15.2 38.5 7.1 25.0 8.7 204.7 -61.0 -23.6 5.0 48.9 5.0 -21.6 31.0 76.0 76.0 Growth
Wanger (Revised) 1.43 9.0 10.1 38.5 18.1 22.7 11.5 178.6 -51.3 -19.8 1.1 51.1 24.0 -5.2 12.5 24.7 24.7 Growth & Value
Value on the Move--PEG With Est Growth 1.33 16.5 19.7 36.0 15.5 25.6 14.9 213.2 -50.2 -23.1 -3.3 59.5 9.0 -0.3 29.7 24.2 24.2 Growth & Value With Price Momentum
Zweig 1.82 14.2 20.4 35.3 5.9 12.2 6.6 77.8 -54.4 -24.2 15.0 26.2 6.0 -18.3 12.8 -13.3 -13.3 Growth & Value
Murphy Technology 2.76 -15.1 -1.3 33.9 14.8 24.6 7.4 200.1 -58.3 -44.9 8.8 39.7 42.0 -29.8 40.0 28.8 28.8 Growth & Value
Dividend (High Relative Yield) 0.96 9.8 9.7 31.9 17.0 21.2 7.9 161.6 -40.4 -14.2 3.6 40.6 10.0 3.0 19.4 16.4 16.4 Growth & Value
Fundamental Rule of Thumb 1.70 11.2 14.5 31.4 -2.4 16.2 9.3 112.0 -57.0 -19.2 1.5 46.1 -7.0 -35.2 17.7 92.1 92.1 Value
Value on the Move--PEG With Hist Growth 1.05 14.2 14.6 29.7 12.0 22.7 10.9 178.2 -50.1 -19.1 -4.0 49.2 4.0 1.0 31.7 23.9 23.9 Growth & Value With Price Momentum
Cash Rich Firms 1.37 10.1 11.4 29.6 4.2 14.2 5.3 93.8 -45.6 -20.7 5.8 36.6 10.0 -32.8 14.4 56.9 56.9 Value
All Exchange-Listed Stocks 1.37 9.8 11.0 29.4 10.9 26.1 7.9 219.2 -58.6 -22.1 4.6 38.1 15.0 -12.3 26.2 65.8 65.8 Indexes
Graham--Defensive Investor (Non-Utility) 1.37 14.9 18.0 29.2 16.3 31.7 17.7 296.4 -52.1 -17.3 0.9 33.9 19.0 7.0 31.4 57.9 57.9 Value
O'Shaughnessy: Growth 1.51 13.8 17.6 29.1 13.7 25.2 13.0 207.8 -57.2 -17.9 5.0 38.7 29.0 -7.5 21.3 22.4 22.4 Value With Price Momentum
Buffettology: EPS Growth 1.22 10.5 11.4 28.5 18.0 28.5 10.6 250.8 -48.4 -20.8 1.8 38.4 17.0 3.8 20.5 57.5 57.5 Growth & Value
Dreman With Est Revisions 1.36 13.9 16.6 28.4 18.8 29.5 17.2 263.5 -39.9 -26.2 2.6 35.8 13.0 21.6 26.5 62.9 62.9 Earnings Estimates
S&P MidCap 400 Growth (TR) 1.30 10.9 12.3 27.9 16.0 25.7 11.0 214.1 -47.7 -22.2 2.1 32.8 16.0 -0.9 30.6 38.1 38.1 Indexes
Stock Market Winners 1.46 16.6 21.3 27.8 21.9 38.1 13.7 402.0 -51.3 -23.4 6.0 34.8 14.0 21.2 124.6 -9.0 -9.0 Growth & Value With Price Momentum
NASDAQ 100 1.81 7.5 8.3 27.6 15.4 23.8 9.6 156.8 -50.1 -27.5 0.1 35.0 17.0 2.7 19.2 53.5 53.5 Indexes
S&P SmallCap 600 Growth (TR) 1.31 9.1 9.9 27.5 16.1 27.4 10.9 235.6 -51.1 -21.7 0.1 42.6 15.0 4.1 28.0 30.7 30.7 Indexes
Neff 1.63 14.4 19.4 27.3 9.7 31.7 11.2 296.6 -52.8 -21.7 0.6 39.5 15.0 -4.2 35.0 52.5 52.5 Growth & Value
S&P SmallCap 600 1.26 8.0 8.4 26.3 14.5 24.7 8.9 201.7 -52.2 -20.2 0.8 39.7 15.0 -0.2 25.0 23.8 23.8 Indexes
Templeton 1.24 10.3 11.1 26.2 21.9 24.8 11.1 202.8 -40.0 -23.1 3.2 29.4 31.0 3.2 22.4 54.7 54.7 Growth & Value
Price-to-Sales 1.31 13.7 16.0 25.3 10.8 26.2 9.5 219.7 -55.1 -20.6 -0.4 36.3 11.0 -2.6 29.6 47.1 47.1 Growth & Value
Est Rev: Top 30 Up 1.83 17.3 26.1 24.8 15.6 37.2 25.6 386.2 -37.8 -26.7 -0.8 42.1 22.0 -2.3 47.6 110.0 110.0 Earnings Estimates
Buffettology: Sustainable Growth 1.28 10.7 11.8 24.8 13.5 25.9 11.0 215.8 -41.9 -20.4 0.6 35.8 9.0 0.7 18.4 68.0 68.0 Growth & Value
S&P SmallCap 600 Value (TR) 1.22 8.5 8.9 24.0 14.9 24.5 9.2 198.6 -51.0 -19.6 2.1 35.6 18.0 -1.2 24.7 20.6 20.6 Indexes
IBD Stable 70 1.18 10.6 11.4 23.4 17.2 26.4 9.2 222.8 -50.6 -21.9 -1.2 34.3 25.0 3.7 21.2 56.0 56.0 Growth
Inve$tWare Quality Growth 1.25 7.0 7.2 23.3 11.3 20.5 7.6 153.9 -44.7 -22.0 1.1 30.4 20.0 -9.4 17.3 39.6 39.6 Growth
S&P 500 Growth (TR) 1.10 5.9 5.9 23.1 15.4 21.1 7.7 160.5 -44.4 -16.5 1.4 35.5 15.0 4.7 15.0 31.6 31.6 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 23.1 14.2 17.6 6.0 125.2 -50.5 -18.6 -4.2 48.5 16.0 -1.2 15.7 12.6 12.6 Value With Price Momentum
MAGNET Complex 2.72 8.7 12.4 22.9 7.2 -6.6 -3.2 -29.0 -55.9 -28.2 -7.5 32.9 -20.0 6.9 -20.4 -31.1 -31.1 Growth & Value With Price Momentum
Buffett: Hagstrom 1.11 14.2 15.1 21.9 16.1 24.9 13.8 204.1 -39.8 -19.0 0.8 35.4 13.0 8.2 27.7 30.0 30.0 Growth & Value
S&P MidCap 400 Value (TR) 1.11 8.7 8.9 21.6 14.5 25.0 10.1 205.6 -49.4 -21.8 4.0 34.3 20.0 -2.4 22.8 33.7 33.7 Indexes
S&P 500 Value (TR) 1.00 5.8 5.8 20.5 13.9 21.3 7.4 162.8 -56.0 -17.1 2.3 33.7 18.0 -0.5 15.1 21.2 21.2 Indexes
Dividend Screen: DRPs 1.10 8.7 8.9 19.6 11.8 22.0 6.3 170.2 -50.4 -18.2 2.4 26.1 11.0 1.9 19.8 29.4 29.4 Growth & Value
O'Shaughnessy: Value 1.34 6.0 6.1 19.5 9.9 20.5 3.6 153.7 -69.1 -23.8 -0.3 29.6 20.0 -11.2 7.4 31.5 31.5 Value
S&P MidCap 400 1.19 8.7 9.1 19.5 11.7 23.0 8.6 181.9 -50.5 -21.8 2.7 31.6 16.0 -3.1 24.9 35.0 35.0 Indexes
S&P 500 1.00 4.1 4.1 19.3 12.2 18.6 5.2 134.7 -52.6 -16.8 1.3 29.6 13.0 0.0 12.8 23.5 23.5 Indexes
Dogs of the Dow: Low Priced 5 1.58 -0.3 2.2 19.0 19.2 27.2 -0.7 232.7 -82.9 -34.8 -0.7 34.5 16.0 13.1 17.3 -7.7 -7.7 Value
Return on Equity 1.28 11.5 12.9 18.5 8.3 22.6 10.0 177.1 -47.2 -22.2 -5.1 34.2 10.0 -5.7 32.0 40.0 40.0 Growth
Est Rev: Lowest 30 Down 2.32 -5.6 1.3 18.3 -3.0 24.5 1.2 199.0 -71.0 -29.9 1.8 29.7 9.0 -34.1 37.8 106.2 106.2 Earnings Estimates
Est Rev: Down 5% 1.95 -3.7 1.3 18.1 -1.4 20.6 2.1 155.2 -63.8 -30.5 1.5 28.2 9.0 -31.1 30.3 76.0 76.0 Earnings Estimates
Dreman 1.25 10.2 11.1 17.6 11.2 18.3 7.8 131.9 -55.0 -22.2 2.8 27.6 21.0 -11.7 22.7 37.2 37.2 Growth & Value
T. Rowe Price 1.67 8.7 10.1 17.5 12.4 33.9 11.3 330.5 -62.5 -20.0 0.0 28.5 -15.0 117.4 11.9 40.1 40.1 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.51 14.8 19.1 16.8 14.4 21.2 14.5 161.3 -50.6 -18.2 -6.6 46.8 30.0 -0.3 26.1 -3.3 -3.3 Value With Price Momentum
Fisher (Philip) 2.20 1.2 4.1 16.8 -9.1 8.8 2.1 52.6 -58.2 -27.9 -1.9 39.5 -1.0 -50.9 9.2 107.9 107.9 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.4 11.3 16.8 14.4 23.8 10.3 191.0 -43.1 -16.8 2.9 21.3 19.0 7.6 26.9 27.9 27.9 Value
Magic Formula 1.64 9.4 11.2 15.9 -1.7 21.7 5.4 167.1 -51.6 -22.4 1.7 27.9 8.0 -30.6 26.6 97.0 97.0 Value
P/E Relative 1.13 15.6 16.8 15.5 10.7 23.1 15.6 182.8 -27.6 -18.3 0.8 29.5 14.0 -1.9 29.6 51.8 51.8 Earnings Estimates
Oberweis Octagon 1.91 10.6 14.3 15.3 11.4 27.5 9.1 236.3 -70.6 -23.2 -1.0 38.9 33.0 -14.7 78.4 2.1 2.1 Growth & Value With Price Momentum
Dividend Screen: Non-DRPs 0.91 13.7 13.1 15.1 14.4 23.1 8.3 182.9 -48.1 -15.3 1.3 22.2 18.0 4.3 25.3 25.4 25.4 Growth & Value
O'Shaughnessy: All Cap 1.37 10.1 11.4 15.0 5.9 16.8 10.2 117.4 -52.1 -21.5 -2.1 18.4 12.0 -5.0 29.4 23.3 23.3 Value With Price Momentum
Dogs of the Dow 1.22 2.1 2.9 15.0 15.3 23.2 2.2 184.1 -69.0 -23.4 0.8 27.9 10.0 10.7 19.4 8.1 8.1 Value
Lakonishok 1.20 13.3 14.6 13.7 9.9 24.7 15.4 201.7 -32.5 -17.9 3.0 26.8 8.0 -0.6 32.7 53.5 53.5 Value With Price Momentum
Driehaus 2.23 9.5 13.3 13.3 7.7 36.6 17.2 376.5 -53.4 -25.7 -8.1 47.7 17.0 -14.1 65.7 106.0 106.0 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.6 16.3 13.3 10.2 22.8 8.0 179.7 -61.6 -35.5 -3.2 30.8 9.0 -3.9 20.6 36.9 36.9 Growth With Price Momentum
Dow Jones 30 0.97 4.7 4.6 12.9 10.1 16.7 4.7 116.3 -49.3 -15.1 -0.7 26.5 7.0 5.5 11.0 18.8 18.8 Indexes
Est Rev: Up 5% 1.75 18.5 27.5 11.6 14.7 30.7 24.8 281.2 -23.4 -21.7 -6.3 27.7 29.0 6.1 35.9 86.3 86.3 Earnings Estimates
Insider Net Purchases 1.82 -5.0 0.2 9.9 -1.0 15.6 -3.4 106.4 -65.5 -27.2 5.3 21.5 12.0 -31.4 7.4 59.0 59.0 Specialty
Graham--Enterprising Investor 1.74 12.5 17.0 9.5 1.4 19.6 14.6 144.8 -50.3 -23.4 -4.8 9.6 1.0 -1.1 43.5 48.5 48.5 Value
O'Neil's CAN SLIM 1.90 15.9 24.4 9.3 8.3 19.2 17.5 140.8 -10.1 -23.1 12.6 13.1 18.0 -10.2 -9.6 97.3 97.3 Growth With Price Momentum
Kirkpatrick Value 2.20 8.8 11.7 6.1 5.6 -0.7 13.0 -3.6 -23.3 -25.3 -0.5 21.9 19.0 -15.1 -25.5 -8.9 -8.9 Growth & Value
Kirkpatrick Growth 2.14 11.1 16.3 6.0 -4.6 15.0 15.9 101.1 -38.7 -23.1 -0.1 18.1 -10.0 -11.6 15.3 80.2 80.2 Growth With Price Momentum
Graham--Defensive Investor (Utility) 0.90 8.3 8.1 5.4 7.7 10.5 7.7 64.7 -31.4 -13.4 6.9 10.0 1.0 8.6 4.6 7.9 7.9 Value
Muhlenkamp 1.40 3.0 4.0 4.3 -19.5 -4.6 -4.0 -21.0 -49.0 -17.6 2.9 -14.3 -3.0 -45.9 2.7 45.2 45.2 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.74 14.9 21.2 1.0 -3.1 29.1 22.0 259.2 -49.9 -22.4 6.2 2.1 -5.0 -4.1 32.9 168.4 168.4 Value
Foolish Small Cap 8 Revised 2.14 10.5 15.0 0.0 -6.6 15.5 5.5 105.1 -64.0 -31.1 0.0 0.4 42.0 -49.2 15.4 161.0 161.0 Growth & Value
Foolish Small Cap 8 2.26 8.2 10.3 -1.0 -8.4 17.6 2.8 124.5 -67.7 -25.9 -25.6 32.9 17.0 -14.9 25.2 48.1 48.1 Growth With Price Momentum
Kirkpatrick Bargain 1.36 7.9 8.4 -1.8 3.6 16.1 15.2 110.8 -43.2 -21.7 1.6 7.3 15.0 3.6 9.4 22.2 22.2 Growth & Value
Schloss 1.91 8.1 9.5 -15.8 -17.4 1.5 4.4 7.5 -37.6 -40.4 -24.7 16.7 13.0 -35.1 12.5 57.5 57.5 Value
MAGNET Simple 2.98 9.9 16.6 -33.3 -19.7 31.8 13.6 297.8 -75.9 -34.0 -9.5 -31.1 -12.0 19.5 56.1 339.5 339.5 Growth & Value With Price Momentum