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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 6/30/2014
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 9.7 73.8 10.9 15.2 9.5 177.4 -68.7 31.1 -29.7 34.2 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
All Exchange-Listed Stocks 1.38 9.9 11.2 32.8 14.3 19.7 8.6 236.3 -58.6 23.9 -22.1 10.2 38.1 14.8 -12.3 26.2 65.8 Indexes
Buffett: Hagstrom 1.11 14.0 14.9 20.1 15.0 21.1 13.4 208.3 -39.8 13.2 -19.0 2.2 35.4 13.0 8.2 27.7 30.0 Growth & Value
Buffettology: EPS Growth 1.22 10.4 11.3 24.3 18.2 22.2 10.9 253.3 -48.4 15.1 -20.8 2.6 38.4 17.4 3.8 20.5 57.5 Growth & Value
Buffettology: Sustainable Growth 1.28 10.6 11.7 23.0 13.9 19.6 11.2 221.2 -41.9 16.5 -20.4 2.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Cash Rich Firms 1.37 10.4 11.9 48.1 16.1 11.7 5.9 113.2 -45.6 17.6 -20.7 16.4 36.6 10.5 -32.8 14.4 56.9 Value
Dividend (High Relative Yield) 0.96 10.0 9.8 37.3 18.5 19.5 8.0 174.4 -40.4 12.5 -14.2 8.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Dividend Screen: DRPs 1.10 8.8 9.1 26.2 12.6 16.8 6.1 180.7 -50.4 20.5 -18.2 6.3 26.1 10.9 1.9 19.8 29.4 Growth & Value
Dividend Screen: Non-DRPs 0.91 13.9 13.2 24.6 16.0 18.1 9.0 199.5 -48.1 17.6 -15.3 7.3 22.2 18.1 4.3 25.3 25.4 Growth & Value
Dogs of the Dow 1.22 2.3 3.1 13.5 15.0 19.7 2.8 196.2 -69.0 17.1 -23.4 5.1 27.9 9.6 10.7 19.4 8.1 Value
Dogs of the Dow: Low Priced 5 1.58 0.1 2.4 16.4 18.4 20.9 0.0 247.0 -82.9 27.6 -34.8 3.5 34.5 15.7 13.1 17.3 -7.7 Value
Dow Jones 30 0.97 4.7 4.7 12.9 10.7 14.8 4.9 121.1 -49.3 11.8 -15.1 1.5 26.5 7.3 5.5 11.0 18.8 Indexes
Dreman 1.25 10.2 11.1 16.3 13.7 15.4 8.2 138.9 -55.0 23.9 -22.2 5.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Dreman With Est Revisions 1.35 14.0 16.7 34.5 19.7 25.2 17.6 283.1 -39.9 21.4 -26.2 8.2 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Driehaus 2.24 9.4 13.0 9.3 8.6 30.4 17.5 373.4 -53.4 51.3 -25.7 -8.7 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Dual Cash Flow 1.53 12.2 15.2 35.8 11.0 18.2 8.5 214.7 -61.0 34.7 -23.6 8.5 48.9 5.1 -21.6 31.0 76.0 Growth
Est Rev: Down 5% 1.95 -3.6 1.3 22.4 2.8 11.8 2.6 158.4 -63.8 33.5 -30.5 2.7 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Est Rev: Lowest 30 Down 2.32 -5.7 1.3 24.1 1.8 13.4 1.5 198.9 -71.0 43.0 -29.9 1.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.3 26.3 31.6 20.4 29.1 26.4 427.8 -37.8 36.4 -26.7 7.7 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Est Rev: Up 5% 1.76 18.6 27.7 23.7 17.6 26.2 25.6 315.7 -23.4 30.8 -21.7 2.2 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Fisher (Philip) 2.20 2.8 4.8 50.5 0.9 -1.3 0.9 73.3 -58.2 32.8 -27.9 11.4 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.5 -4.1 -6.6 10.6 1.3 102.3 -67.7 38.8 -25.9 -32.9 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Foolish Small Cap 8 Revised 2.14 10.3 14.7 0.0 -7.3 8.2 5.0 105.1 -64.0 28.1 -31.1 0.0 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Fundamental Rule of Thumb 1.70 11.1 14.3 32.8 3.6 6.6 9.7 114.2 -57.0 33.8 -19.2 2.6 46.1 -6.9 -35.2 17.7 92.1 Value
Graham--Defensive Investor (Non-Utility) 1.37 14.7 17.7 29.7 17.6 23.9 17.8 297.8 -52.1 25.8 -17.3 1.2 33.9 18.9 7.0 31.4 57.9 Value
Graham--Defensive Investor (Utility) 0.91 8.6 8.4 15.1 9.1 10.1 8.6 76.7 -31.4 12.0 -13.4 14.7 10.0 1.2 8.6 4.6 7.9 Value
Graham--Enterprising Investor 1.75 12.7 17.4 18.8 4.7 16.0 15.5 166.0 -50.3 33.1 -23.4 3.5 9.6 1.1 -1.1 43.5 48.5 Value
Graham--Enterprising Investor Revised 1.74 15.1 21.4 8.0 2.9 17.8 24.7 289.1 -49.9 36.4 -22.4 15.1 2.1 -4.9 -4.1 32.9 168.4 Value
IBD Stable 70 1.19 10.3 11.0 19.5 16.6 22.2 8.9 214.0 -50.6 18.4 -21.9 -3.9 34.3 24.6 3.7 21.2 56.0 Growth
Insider Net Purchases 1.85 -6.1 -0.3 14.3 0.3 3.9 -4.0 92.2 -65.5 27.8 -27.2 -2.0 21.5 11.5 -31.4 7.4 59.0 Specialty
Inve$tWare Quality Growth 1.26 7.0 7.2 23.3 10.4 16.8 7.6 158.2 -44.7 18.2 -22.0 2.8 30.4 19.7 -9.4 17.3 39.6 Growth
Kirkpatrick Bargain 1.37 7.8 8.3 6.9 4.6 13.8 15.1 111.6 -43.2 21.1 -21.7 2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Kirkpatrick Growth 2.15 11.1 16.3 14.8 -5.3 12.7 16.9 108.9 -38.7 64.1 -23.1 3.7 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Kirkpatrick Value 2.21 8.4 10.7 -5.6 -8.1 -2.4 13.3 -14.3 -23.3 49.0 -25.3 -11.6 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Lakonishok 1.20 13.2 14.5 26.2 10.3 20.5 15.1 205.2 -32.5 16.6 -17.9 4.2 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Lynch 1.23 12.2 13.4 44.6 6.6 14.5 11.3 161.2 -47.5 18.9 -21.3 19.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Magic Formula 1.64 9.2 10.9 11.8 2.5 10.5 5.2 161.4 -51.6 30.7 -22.4 -0.5 27.9 7.9 -30.6 26.6 97.0 Value
MAGNET Complex 2.71 8.6 12.2 22.9 -2.8 -6.6 -3.5 -29.0 -55.9 63.0 -28.2 -7.5 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
MAGNET Simple 2.98 9.9 16.8 -18.9 -17.0 11.6 14.7 324.4 -75.9 52.1 -34.0 -3.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Muhlenkamp 1.51 -3.9 -0.3 -31.6 -29.7 -21.4 -10.4 -60.3 -49.0 21.0 -26.2 -48.4 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Murphy Technology 2.76 -12.6 -0.4 45.8 21.9 20.9 9.4 247.8 -58.3 58.5 -44.9 26.1 39.7 42.3 -29.8 40.0 28.8 Growth & Value
NASDAQ 100 1.81 7.6 8.6 33.1 18.3 21.1 9.8 175.0 -50.1 25.0 -27.5 7.2 35.0 16.8 2.7 19.2 53.5 Indexes
Neff 1.63 14.4 19.3 21.1 12.0 22.6 11.5 305.7 -52.8 32.6 -21.7 2.9 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Oberweis Octagon 1.91 10.6 14.3 25.4 15.8 24.2 10.7 243.7 -70.6 24.6 -23.2 1.2 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.1 36.0 11.9 10.4 18.8 178.2 -10.1 69.6 -23.1 30.1 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.0 10.6 8.8 16.9 7.4 178.4 -61.6 23.5 -35.5 -3.6 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.6 72.1 20.5 18.3 8.5 132.1 -27.8 52.7 -26.7 19.7 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Shaughnessy: All Cap 1.37 10.1 11.5 19.2 8.3 14.0 10.1 126.1 -52.1 18.4 -21.5 1.8 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
O'Shaughnessy: Growth 1.51 13.6 17.2 25.8 13.6 21.7 12.1 204.7 -57.2 18.6 -17.9 4.0 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.6 7.8 37.0 15.3 18.0 6.7 137.3 -50.5 13.6 -18.6 1.0 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.51 14.7 19.0 15.0 18.6 21.8 14.8 169.6 -50.6 18.5 -18.2 -3.7 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 17.0 26.7 42.0 21.5 22.2 11.5 282.2 -67.3 37.4 -21.0 24.7 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Shaughnessy: Value 1.34 6.3 6.3 27.9 12.0 14.3 4.0 165.9 -69.1 22.0 -23.8 4.5 29.6 20.3 -11.2 7.4 31.5 Value
P/E Relative 1.13 15.4 16.6 13.2 12.0 19.8 15.3 186.0 -27.6 18.4 -18.3 2.0 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Piotroski: High F-Score 2.06 18.6 31.4 44.3 54.9 46.8 27.3 1,122.5 -53.6 43.1 -42.0 14.9 137.6 91.7 -36.4 138.8 34.6 Value
Price-to-Free-Cash-Flow 1.77 14.8 21.3 69.6 22.6 37.7 18.3 780.1 -62.8 51.2 -31.7 11.8 97.8 1.1 -7.0 39.2 147.2 Value
Price-to-Sales 1.32 13.7 16.0 29.8 12.5 20.4 10.9 232.5 -55.1 18.3 -20.6 3.6 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Return on Equity 1.28 11.4 12.8 17.5 8.2 17.4 9.8 180.1 -47.2 14.6 -22.2 -4.1 34.2 10.1 -5.7 32.0 40.0 Growth
Rule #1 Investing 1.81 11.0 14.7 80.6 31.9 37.9 14.6 593.4 -54.0 27.0 -26.8 54.5 47.1 11.3 -1.0 40.0 99.8 Growth & Value
S&P 500 1.00 4.4 4.4 22.0 14.1 16.4 5.6 145.7 -52.6 10.8 -16.8 6.1 29.6 13.4 0.0 12.8 23.5 Indexes
S&P 500 Growth (TR) 1.10 6.2 6.2 27.1 16.9 19.2 8.1 175.6 -44.4 10.8 -16.5 7.3 35.5 14.6 4.7 15.0 31.6 Indexes
S&P 500 Value (TR) 1.00 6.0 6.0 22.0 16.2 18.5 7.7 174.9 -56.0 11.3 -17.1 7.0 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P MidCap 400 1.19 8.8 9.2 23.4 13.5 20.1 9.0 193.0 -50.5 14.8 -21.8 6.7 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P MidCap 400 Growth (TR) 1.30 10.9 12.3 25.6 16.8 22.0 11.2 220.6 -47.7 19.0 -22.2 5.1 32.8 15.8 -0.9 30.6 38.1 Indexes
S&P MidCap 400 Value (TR) 1.11 8.9 9.2 27.4 17.6 22.2 10.5 223.4 -49.4 15.7 -21.8 10.0 34.3 20.1 -2.4 22.8 33.7 Indexes
S&P SmallCap 600 1.27 8.0 8.4 24.0 15.4 20.5 8.7 207.0 -52.2 17.3 -20.2 2.6 39.7 14.8 -0.2 25.0 23.8 Indexes
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 25.5 16.0 23.0 10.7 241.7 -51.1 17.0 -21.7 1.9 42.6 14.9 4.1 28.0 30.7 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.5 8.9 21.5 16.6 20.4 9.1 205.4 -51.0 18.4 -19.6 4.5 35.6 17.8 -1.2 24.7 20.6 Indexes
Schloss 1.91 8.0 9.4 -18.3 -3.9 -5.6 3.0 9.3 -37.6 27.1 -40.4 -23.4 16.7 13.1 -35.1 12.5 57.5 Value
Stock Market Winners 1.46 16.2 20.7 10.7 22.2 32.9 15.5 390.2 -51.3 22.0 -23.4 3.5 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
T. Rowe Price 1.67 8.6 10.0 0.0 13.4 24.0 10.8 330.5 -62.5 33.5 -20.0 0.0 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Templeton 1.24 10.4 11.3 17.2 24.4 21.7 11.6 217.7 -40.0 14.5 -23.1 8.2 29.4 31.0 3.2 22.4 54.7 Growth & Value
Value on the Move--PEG With Est Growth 1.33 16.6 19.9 34.0 17.4 23.6 15.4 236.0 -50.2 15.7 -23.1 3.7 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 14.3 14.7 27.5 12.0 22.2 11.4 191.1 -50.1 12.7 -19.1 0.5 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Wanger (Revised) 1.43 9.0 10.1 36.2 19.5 19.1 11.2 185.5 -51.3 22.8 -19.8 3.6 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.5 11.4 26.6 14.6 21.0 10.6 203.3 -43.1 16.0 -16.8 7.3 21.3 19.2 7.6 26.9 27.9 Value
Zweig 1.83 13.6 19.4 32.3 9.7 6.0 5.9 62.4 -54.4 32.7 -24.2 5.1 26.2 6.4 -18.3 12.8 -13.3 Growth & Value