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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 7/31/2014
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
ADR Screen 1.48 8.6 9.6 59.3 12.9 12.8 9.8 177.4 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Rule #1 Investing 1.81 10.9 14.5 56.2 29.3 33.9 14.5 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.4 17.5 47.3 17.4 15.3 9.3 132.1 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.77 14.7 21.0 47.0 22.1 31.3 18.1 780.1 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
Murphy Technology 2.76 -12.8 -0.5 35.1 25.1 18.5 10.6 247.8 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Cash Rich Firms 1.37 10.2 11.6 34.5 14.7 8.8 6.5 113.2 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
O'Neil's CAN SLIM 1.91 16.2 25.1 33.0 10.2 7.5 19.2 178.2 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.6 26.0 32.6 19.3 18.1 11.4 282.2 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Lynch 1.24 11.6 12.8 30.7 3.1 10.8 10.5 161.2 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Piotroski: High F-Score 2.06 18.3 30.9 28.1 50.6 43.5 27.1 1,122.5 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 Value
NASDAQ 100 1.81 7.7 8.6 26.0 18.1 19.4 10.8 175.0 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 25.5 16.0 15.8 7.2 137.3 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Fisher (Philip) 2.20 2.5 4.7 24.3 1.7 -2.8 1.8 73.3 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 23.6 16.7 20.9 18.2 297.8 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
Dividend (High Relative Yield) 0.97 9.7 9.5 22.4 18.5 16.9 7.8 174.4 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Dreman With Est Revisions 1.36 13.6 16.2 22.3 21.5 21.9 16.7 283.1 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
O'Shaughnessy: Value 1.34 6.1 6.2 19.9 12.5 12.1 4.0 165.9 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Wanger (Revised) 1.43 8.7 9.6 19.7 18.2 16.0 11.1 185.5 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
S&P 500 Growth (TR) 1.10 6.0 6.1 19.5 16.7 17.3 8.4 175.6 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
Dual Cash Flow 1.53 11.9 14.7 19.3 10.6 14.5 9.1 214.7 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
All Exchange-Listed Stocks 1.38 9.7 10.9 19.0 13.6 16.6 8.8 236.3 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
MAGNET Complex 2.71 8.5 11.9 18.8 -3.9 -7.2 -3.8 -29.0 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.0 7.1 17.3 10.7 15.3 8.5 158.2 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
Est Rev: Top 30 Up 1.83 17.0 25.7 16.2 18.1 24.4 25.7 427.8 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Dividend Screen: DRPs 1.10 8.7 8.9 16.2 13.2 14.0 6.2 180.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Weiss Blue Chip Div Yield 1.22 10.3 11.1 15.9 14.5 18.7 10.5 203.3 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Buffettology: EPS Growth 1.22 10.2 11.1 15.5 17.1 19.1 11.5 253.3 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 15.1 12.7 16.2 11.8 221.2 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Dividend Screen: Non-DRPs 0.91 13.7 13.0 14.8 15.6 16.3 8.9 199.5 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
S&P MidCap 400 Value (TR) 1.11 8.6 8.8 14.6 17.4 18.9 10.5 223.4 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
S&P 500 1.00 4.2 4.2 14.5 14.3 14.3 5.8 145.7 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 14.3 17.0 16.3 7.8 174.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
Value on the Move--PEG With Est Growth 1.33 16.3 19.6 13.4 17.2 20.9 15.2 236.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.4 13.1 19.5 18.2 -0.2 247.0 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
Lakonishok 1.20 12.8 14.1 12.5 10.0 16.5 14.6 205.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 12.4 11.2 19.6 11.1 191.1 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
S&P MidCap 400 1.20 8.5 8.9 11.3 13.2 16.9 9.0 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P MidCap 400 Growth (TR) 1.31 10.6 11.9 11.1 15.9 18.7 11.1 220.6 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
Price-to-Sales 1.32 13.2 15.4 11.0 10.5 16.7 11.0 232.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Graham--Enterprising Investor Revised 1.74 15.1 21.5 10.8 1.6 14.6 25.1 289.1 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
Buffett: Hagstrom 1.11 13.9 14.7 10.6 13.9 19.3 12.8 208.3 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
Dogs of the Dow 1.22 2.3 3.0 10.1 16.5 17.2 2.9 196.2 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
S&P SmallCap 600 Growth (TR) 1.31 8.7 9.4 10.0 15.0 18.9 10.7 241.7 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
IBD Stable 70 1.19 10.1 10.8 10.0 15.4 18.9 8.8 214.0 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: All Cap 1.37 9.9 11.2 9.7 6.8 11.5 9.9 126.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
S&P SmallCap 600 1.27 7.6 8.0 9.7 14.4 16.9 8.7 207.0 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
Oberweis Octagon 1.92 10.3 13.8 9.7 14.6 18.3 10.0 243.7 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.71 10.6 13.5 8.9 -2.6 2.7 9.5 114.2 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
S&P SmallCap 600 Value (TR) 1.22 8.2 8.6 8.4 15.6 17.1 9.2 205.4 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
Dreman 1.25 10.1 11.0 8.0 15.4 13.7 8.3 138.9 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
O'Shaughnessy: Growth 1.51 13.3 16.7 7.7 13.5 19.6 11.9 204.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Est Rev: Up 5% 1.76 18.3 27.2 7.2 17.7 22.2 25.1 315.7 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Dow Jones 30 0.97 4.6 4.6 6.9 10.9 12.5 5.0 121.1 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
Zweig 1.84 12.9 18.4 6.3 5.7 2.8 4.7 62.4 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Neff 1.63 14.0 18.7 6.1 12.0 19.0 11.5 305.7 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Graham--Enterprising Investor 1.75 12.6 17.2 6.1 4.4 13.7 15.7 166.0 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
Est Rev: Lowest 30 Down 2.33 -6.8 0.8 5.7 2.6 7.3 2.1 198.9 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Est Rev: Down 5% 1.95 -4.5 0.8 5.0 4.0 6.5 3.2 158.4 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.1 11.8 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
P/E Relative 1.13 15.2 16.4 4.1 13.9 17.5 15.3 186.0 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
O'Neil's CAN SLIM No Float 1.39 13.2 15.8 3.8 7.8 13.0 7.5 178.4 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Kirkpatrick Growth 2.15 10.8 15.8 3.7 -9.0 5.8 16.5 108.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Return on Equity 1.29 11.1 12.4 2.4 7.0 14.6 10.0 180.1 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Stock Market Winners 1.46 16.0 20.4 2.1 18.3 28.6 14.6 390.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Magic Formula 1.64 9.0 10.6 1.6 2.5 7.1 5.7 161.4 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Templeton 1.25 9.7 10.5 1.3 19.2 17.0 10.9 217.7 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
Graham--Defensive Investor (Utility) 0.92 7.9 7.8 0.3 6.4 7.3 7.6 76.7 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
Foolish Small Cap 8 Revised 2.14 10.2 14.5 -2.1 -9.0 3.6 5.2 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Kirkpatrick Bargain 1.37 7.6 8.0 -2.2 3.2 10.0 14.7 111.6 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.52 14.2 18.2 -4.2 15.6 18.3 14.1 169.6 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Driehaus 2.24 9.1 12.4 -7.2 7.3 19.7 18.4 373.4 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Insider Net Purchases 1.87 -8.5 -1.5 -8.8 -5.7 -2.9 -4.7 92.2 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
Kirkpatrick Value 2.21 8.3 10.5 -15.5 -9.8 -2.7 12.8 -14.3 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.5 -17.7 -6.7 9.6 2.5 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Schloss 1.91 7.7 8.9 -26.6 -5.7 -5.1 2.3 9.3 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
MAGNET Simple 2.99 9.6 15.9 -27.3 -21.4 5.5 11.9 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Muhlenkamp 1.53 -5.6 -1.4 -47.5 -34.5 -25.4 -11.8 -60.3 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum