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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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: 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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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 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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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