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 7/29/2016
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
Murphy Technology 2.73 -19.1 -2.9 -4.8 -5.0 4.4 1.2 129.7 -58.3 58.5 -44.9 -5.7 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Insider Net Purchases 1.91 -11.3 -2.8 -31.9 -11.2 -8.4 -7.4 27.4 -65.5 27.8 -27.2 -13.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Simple Revised 2.30 -7.3 0.5 -26.8 -1.8 -10.1 -2.8 -30.4 -31.0 38.9 -35.9 -21.3 -13.7 45.7 -25.0 -45.7 32.9
Est Rev: Lowest 30 Down 2.33 -6.9 0.7 22.4 2.1 1.7 -1.1 224.7 -71.0 43.0 -29.9 36.5 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -5.1 0.6 9.7 0.5 1.7 -0.4 161.2 -63.8 33.5 -30.5 17.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
MAGNET Complex Revised 2.20 -3.7 1.8 1.5 -4.6 -10.6 -6.8 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Muhlenkamp 1.57 -2.9 0.5 -2.4 -10.4 -17.4 -12.5 -49.3 -49.0 21.0 -26.2 4.0 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.9 3.6 23.0 13.8 17.4 1.0 417.7 -82.9 27.6 -34.8 15.9 3.0 34.5 15.7 13.1 17.3 Value
Fisher (Philip) 2.22 2.6 4.8 -1.0 11.5 3.2 2.3 119.4 -58.2 32.8 -27.9 0.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Dogs of the Dow 1.21 3.1 3.7 20.6 9.4 13.5 4.0 296.8 -69.0 17.1 -23.4 18.5 6.8 27.9 9.6 10.7 19.4 Value
O'Shaughnessy: Value 1.34 4.1 4.7 -1.3 1.3 4.3 -0.2 154.5 -69.1 22.0 -23.8 8.0 -5.8 29.6 20.3 -11.2 7.4 Value
S&P 500 1.00 4.4 4.4 3.3 8.8 11.0 5.5 195.7 -52.6 10.8 -16.8 6.3 11.4 29.6 13.4 0.0 12.8 Indexes
Dow Jones 30 0.98 4.7 4.7 4.2 5.9 8.7 5.1 161.0 -49.3 11.8 -15.1 5.8 7.5 26.5 7.3 5.5 11.0 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 5.8 8.9 12.6 6.1 235.8 -56.0 11.3 -17.1 9.1 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P 500 Growth (TR) 1.10 6.5 6.5 5.3 13.3 14.1 9.6 256.9 -44.4 10.8 -16.5 6.3 14.9 35.5 14.6 4.7 15.0 Indexes
Kirkpatrick Bargain 1.36 6.7 6.8 -9.9 -2.4 0.9 7.4 99.7 -43.2 21.1 -21.7 -4.0 5.9 7.3 14.9 3.6 9.4 Growth & Value
MAGNET Complex 2.75 6.7 7.0 -51.7 -13.7 -13.7 -12.8 -61.2 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.7 6.7 6.2 10.0 10.6 4.4 160.0 -50.5 13.6 -18.6 4.3 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Inve$tWare Quality Growth 1.27 7.3 7.5 -14.0 12.7 10.6 8.2 243.5 -44.7 18.2 -22.0 4.5 21.6 30.4 19.7 -9.4 17.3 Growth
Schloss 1.94 7.4 8.3 -6.8 -7.5 -2.0 -0.4 25.3 -37.6 27.1 -40.4 2.2 -5.9 16.7 13.1 -35.1 12.5 Value
S&P SmallCap 600 1.26 7.6 7.9 4.4 8.2 11.6 7.5 261.2 -52.2 17.3 -20.2 10.8 4.4 39.7 14.8 -0.2 25.0 Indexes
Rule #1 Investing 1.90 7.6 8.6 -30.9 -8.4 1.2 5.4 275.1 -54.0 27.0 -28.5 -9.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Kirkpatrick Value 2.19 7.7 9.1 5.0 -6.5 -6.6 2.8 -20.0 -23.3 49.0 -25.3 5.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Magic Formula 1.63 7.7 8.4 2.2 -4.9 -1.8 3.7 131.3 -51.6 30.7 -22.4 12.5 -16.5 27.9 7.9 -30.6 26.6 Value
NASDAQ 100 1.78 7.8 8.8 3.1 15.2 14.9 12.1 237.9 -50.1 25.0 -27.5 3.0 17.9 35.0 16.8 2.7 19.2 Indexes
ADR Screen 1.47 8.0 8.7 4.8 17.7 8.1 5.1 215.7 -68.7 31.1 -29.7 16.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 1.02 8.1 8.1 35.9 7.1 8.1 5.0 104.5 -31.4 12.2 -13.7 16.7 16.0 10.0 1.2 8.6 4.6 Value
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 9.0 7.8 12.4 7.5 263.6 -51.0 18.4 -19.6 14.4 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 1.19 8.3 8.7 3.8 8.2 10.6 7.8 247.0 -50.5 14.8 -21.8 11.5 8.2 31.6 16.1 -3.1 24.9 Indexes
Foolish Small Cap 8 Revised 2.37 8.4 11.0 -43.4 -8.1 -9.8 -1.3 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 7.8 9.3 13.1 8.8 282.4 -49.4 15.7 -21.8 14.8 12.1 34.3 20.1 -2.4 22.8 Indexes
Foolish Small Cap 8 2.37 8.5 11.3 -19.6 9.8 5.5 3.0 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dividend (High Relative Yield) 0.98 8.5 8.5 5.9 6.8 10.6 6.2 181.4 -40.4 12.5 -14.2 13.9 2.0 40.6 9.8 3.0 19.4 Growth & Value
All Exchange-Listed Stocks 1.37 8.6 9.4 -3.4 4.7 7.2 5.5 245.9 -58.6 23.9 -22.1 9.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Cash Rich Firms 1.38 8.6 9.4 -7.1 5.0 5.3 2.8 95.6 -45.6 17.6 -20.7 2.6 2.5 36.6 10.5 -32.8 14.4 Value
S&P SmallCap 600 Growth (TR) 1.30 8.8 9.5 3.3 10.2 13.1 10.0 322.5 -51.1 17.0 -21.7 9.2 3.9 42.6 14.9 4.1 28.0 Indexes
Wanger (Revised) 1.43 8.8 9.7 21.7 13.8 15.2 9.5 255.6 -51.3 22.8 -19.8 19.8 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: All Cap 1.46 9.0 10.2 7.6 4.3 4.8 4.1 148.3 -52.1 18.4 -21.5 27.9 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Templeton 1.26 9.1 9.7 -5.4 2.7 12.7 9.9 242.9 -40.0 14.5 -23.1 8.5 13.0 29.4 31.0 3.2 22.4 Growth & Value
Lynch 1.27 9.2 9.9 -7.9 1.0 -2.9 3.2 103.6 -47.5 18.9 -21.3 9.1 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Dreman 1.25 9.3 10.0 1.0 4.0 9.9 4.2 205.7 -55.0 23.9 -22.2 7.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Weiss Blue Chip Div Yield 1.25 9.3 9.9 -1.6 5.7 8.9 8.7 221.0 -43.1 16.0 -16.8 16.9 5.4 21.3 19.2 7.6 26.9 Value
MAGNET Simple 2.95 9.4 14.9 27.6 -5.8 -11.0 1.6 476.9 -75.9 52.1 -34.0 32.2 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Buffettology: EPS Growth 1.21 9.7 10.3 2.4 7.9 11.8 9.7 296.1 -48.4 15.1 -20.8 1.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
T. Rowe Price 1.67 9.7 11.8 57.6 18.0 12.4 11.7 716.5 -62.5 33.5 -20.0 34.2 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Oberweis Octagon 1.94 9.9 13.0 14.4 7.8 11.5 5.8 290.8 -70.6 24.6 -23.2 42.9 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Driehaus 2.22 9.9 14.0 21.4 14.3 14.8 20.3 667.8 -53.4 51.3 -25.7 17.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Buffettology: Sustainable Growth 1.27 9.9 10.8 8.0 8.6 9.8 10.3 270.6 -41.9 16.5 -20.4 4.2 3.2 35.8 8.8 0.7 18.4 Growth & Value
Fundamental Rule of Thumb 1.70 10.0 12.5 0.1 6.0 0.2 3.8 144.7 -57.0 33.8 -19.2 16.0 -11.6 46.1 -6.9 -35.2 17.7 Value
Dual Cash Flow 1.55 10.1 12.1 1.8 0.6 2.9 3.3 199.5 -61.0 34.7 -23.6 10.2 -3.2 48.9 5.1 -21.6 31.0 Growth
Kirkpatrick Growth 2.10 10.2 14.3 0.6 3.3 -4.3 10.7 118.3 -38.7 64.1 -23.1 5.7 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Return on Equity 1.27 10.4 11.4 3.2 3.1 5.6 7.1 203.7 -47.2 14.6 -22.2 7.5 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P MidCap 400 Growth (TR) 1.29 10.5 11.7 6.0 9.6 13.1 10.2 295.3 -47.7 19.0 -22.2 10.4 7.6 32.8 15.8 -0.9 30.6 Indexes
Zweig 1.91 11.5 16.1 -10.1 1.2 2.8 -1.4 37.9 -54.4 32.7 -24.2 10.8 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Neff 1.63 12.1 15.6 -22.0 -3.3 3.7 6.5 268.9 -52.8 32.6 -21.7 0.5 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Shaughnessy: Growth 1.50 12.4 15.4 7.1 5.9 10.0 7.5 236.3 -57.2 18.6 -17.9 12.7 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.38 12.5 14.8 1.2 3.0 7.0 11.8 295.7 -52.1 25.8 -17.3 10.5 -13.1 33.9 18.9 7.0 31.4 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.6 -17.7 26.2 17.2 12.2 219.0 -27.8 52.7 -26.7 -7.2 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Lakonishok 1.20 12.6 13.8 3.8 12.1 10.8 12.9 287.0 -32.5 16.6 -17.9 13.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Price-to-Sales 1.33 12.7 14.8 24.3 10.1 10.2 9.0 308.7 -55.1 18.3 -20.6 29.5 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.8 15.2 -1.0 8.0 8.7 7.5 231.4 -61.6 23.5 -35.5 1.0 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 13.2 13.6 1.2 9.2 9.7 8.6 242.3 -50.1 12.7 -19.1 0.9 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.3 15.8 9.8 15.6 17.8 14.3 394.7 -39.9 21.4 -26.2 6.0 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Buffett: Hagstrom 1.10 13.3 14.0 1.8 8.9 11.6 11.8 282.0 -39.8 13.2 -19.0 6.6 9.6 35.4 13.0 8.2 27.7 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.52 13.5 17.1 2.8 4.1 12.7 9.9 205.0 -50.6 18.5 -18.2 3.6 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
P/E Relative 1.14 13.7 14.7 2.9 2.6 8.9 10.8 226.0 -27.6 18.4 -18.3 12.0 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Price-to-Free-Cash-Flow 1.78 13.9 19.6 10.4 20.2 16.6 16.2 1,068.2 -62.8 51.2 -31.7 14.4 12.4 97.8 1.1 -7.0 39.2 Value
Graham--Enterprising Investor Revised 1.75 14.2 20.0 -2.8 9.1 4.2 20.6 504.8 -49.9 36.4 -22.4 -3.7 41.9 2.1 -4.9 -4.1 32.9 Value
O'Neil's CAN SLIM 1.92 14.4 21.6 -22.3 6.9 4.2 13.9 160.5 -10.1 69.6 -23.1 -5.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Piotroski: High F-Score 2.07 15.0 24.0 -8.1 -6.9 16.6 16.6 735.3 -53.6 43.1 -42.0 17.9 -0.3 137.6 91.7 -36.4 138.8 Value
O'Shaughnessy: Tiny Titans 1.90 15.3 23.2 6.4 11.9 12.5 7.2 327.4 -67.3 37.4 -21.0 5.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 15.3 18.3 -7.6 9.6 13.3 10.8 301.3 -50.2 15.7 -23.1 4.4 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Stock Market Winners 1.43 15.8 19.8 3.9 10.6 17.0 14.3 583.4 -51.3 22.0 -23.4 2.1 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Est Rev: Top 30 Up 1.82 16.2 24.2 5.1 13.7 15.8 20.7 625.0 -37.8 36.4 -26.7 11.9 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Est Rev: Up 5% 1.76 17.2 25.3 3.4 9.5 14.9 20.3 441.4 -23.4 30.8 -21.7 17.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates