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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 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 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
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
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