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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 10/31/2014
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
Zweig 1.89 11.9 16.7 -19.0 2.1 0.6 1.4 0.0 62.4 -54.4 32.7 -24.2 -24.8 26.2 6.4 -18.3 12.8 Growth & Value
Weiss Blue Chip Div Yield 1.22 10.4 11.2 13.4 15.8 18.1 10.9 0.0 203.3 -43.1 16.0 -16.8 8.8 21.3 19.2 7.6 26.9 Value
Wanger (Revised) 1.44 8.9 10.0 14.9 22.4 18.2 11.4 0.0 185.5 -51.3 22.8 -19.8 5.1 51.1 23.5 -5.2 12.5 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 8.6 15.1 18.9 10.5 0.0 191.1 -50.1 12.7 -19.1 0.0 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.3 19.7 13.4 21.9 21.7 15.0 0.0 236.0 -50.2 15.7 -23.1 6.4 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Templeton 1.26 10.0 10.9 7.7 22.9 19.0 11.2 0.0 217.7 -40.0 14.5 -23.1 5.2 29.4 31.0 3.2 22.4 Growth & Value
T. Rowe Price 1.67 8.6 10.1 4.4 4.5 24.4 9.9 0.0 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Stock Market Winners 1.46 16.0 20.4 5.7 16.4 33.9 14.3 0.0 390.2 -51.3 22.0 -23.4 4.6 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Schloss 1.92 8.2 9.7 -17.8 2.4 -2.2 3.6 0.0 9.3 -37.6 27.1 -40.4 -17.2 16.7 13.1 -35.1 12.5 Value
S&P SmallCap 600 Value (TR) 1.23 8.3 8.8 7.0 19.6 18.0 9.2 0.0 205.4 -51.0 18.4 -19.6 4.4 35.6 17.8 -1.2 24.7 Indexes
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.6 8.0 19.0 19.9 10.5 0.0 241.7 -51.1 17.0 -21.7 1.8 42.6 14.9 4.1 28.0 Indexes
S&P SmallCap 600 1.27 7.8 8.2 8.0 18.5 17.8 8.6 0.0 207.0 -52.2 17.3 -20.2 2.1 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.4 21.3 18.7 10.4 0.0 223.4 -49.4 15.7 -21.8 9.2 34.3 20.1 -2.4 22.8 Indexes
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 9.3 20.0 19.3 11.3 0.0 220.6 -47.7 19.0 -22.2 4.8 32.8 15.8 -0.9 30.6 Indexes
S&P MidCap 400 1.20 8.6 9.0 10.0 16.9 16.6 8.9 0.0 193.0 -50.5 14.8 -21.8 5.7 31.6 16.1 -3.1 24.9 Indexes
S&P 500 Value (TR) 1.00 6.0 6.0 15.1 19.9 16.1 7.7 0.0 174.9 -56.0 11.3 -17.1 9.4 33.7 17.7 -0.5 15.1 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.4 19.4 19.7 17.4 8.9 0.0 175.6 -44.4 10.8 -16.5 12.6 35.5 14.6 4.7 15.0 Indexes
S&P 500 1.00 4.4 4.4 14.9 17.2 14.3 6.0 0.0 145.7 -52.6 10.8 -16.8 9.2 29.6 13.4 0.0 12.8 Indexes
Rule #1 Investing 1.81 10.8 14.2 43.3 32.4 30.3 14.3 0.0 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Return on Equity 1.29 11.1 12.4 -3.4 10.6 13.7 9.8 0.0 180.1 -47.2 14.6 -22.2 -5.9 34.2 10.1 -5.7 32.0 Growth
Price-to-Sales 1.33 13.1 15.2 4.5 14.1 15.9 10.2 0.0 232.5 -55.1 18.3 -20.6 -3.5 36.3 11.3 -2.6 29.6 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.6 20.9 25.6 31.3 27.4 18.9 0.0 780.1 -62.8 51.2 -31.7 12.6 97.8 1.1 -7.0 39.2 Value
Piotroski: High F-Score 2.06 17.8 29.8 5.1 56.5 33.9 26.7 0.0 1,122.5 -53.6 43.1 -42.0 3.4 137.6 91.7 -36.4 138.8 Value
P/E Relative 1.13 15.2 16.4 6.5 15.6 17.4 15.0 0.0 186.0 -27.6 18.4 -18.3 4.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: Value 1.34 5.6 5.9 5.7 13.9 9.3 3.0 0.0 165.9 -69.1 22.0 -23.8 -0.9 29.6 20.3 -11.2 7.4 Value
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 27.0 29.2 18.8 11.2 0.0 282.2 -67.3 37.4 -21.0 18.8 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.4 18.6 2.4 24.6 21.4 15.0 0.0 169.6 -50.6 18.5 -18.2 -2.9 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.2 7.3 4.7 18.3 16.1 7.0 0.0 137.3 -50.5 13.6 -18.6 -4.3 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Shaughnessy: Growth 1.51 13.2 16.7 7.0 21.1 18.0 11.6 0.0 204.7 -57.2 18.6 -17.9 1.4 38.7 28.8 -7.5 21.3 Value With Price Momentum
O'Shaughnessy: All Cap 1.38 9.8 11.0 6.3 10.2 11.9 8.7 0.0 126.1 -52.1 18.4 -21.5 -2.1 18.4 12.4 -5.0 29.4 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 13.0 18.7 48.2 30.5 19.7 11.2 0.0 132.1 -27.8 52.7 -26.7 48.0 55.2 7.3 -30.1 42.7 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.2 2.7 14.5 13.5 8.0 0.0 178.4 -61.6 23.5 -35.5 3.2 30.8 8.9 -3.9 20.6 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 16.6 25.9 35.1 30.9 10.5 21.0 0.0 178.2 -10.1 69.6 -23.1 56.0 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Oberweis Octagon 1.92 10.2 13.6 2.4 21.2 17.8 9.3 0.0 243.7 -70.6 24.6 -23.2 -3.6 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Neff 1.64 14.0 18.8 3.2 16.3 18.4 11.4 0.0 305.7 -52.8 32.6 -21.7 2.3 39.5 15.0 -4.2 35.0 Growth & Value
NASDAQ 100 1.80 7.8 8.9 23.1 20.8 20.1 10.8 0.0 175.0 -50.1 25.0 -27.5 15.8 35.0 16.8 2.7 19.2 Indexes
Murphy Technology 2.77 -14.8 -1.2 13.2 24.2 15.1 6.6 0.0 247.8 -58.3 58.5 -44.9 9.9 39.7 42.3 -29.8 40.0 Growth & Value
Muhlenkamp 1.58 -5.0 -0.8 -51.0 -27.1 -24.6 -12.0 0.0 -60.3 -49.0 21.0 -26.2 -52.3 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Simple 2.99 9.6 15.6 -13.5 -19.7 5.2 14.0 0.0 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
MAGNET Complex 2.71 8.6 12.2 18.7 -1.5 -2.6 -5.8 0.0 -29.0 -55.9 63.0 -28.2 -3.7 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Magic Formula 1.65 8.6 9.9 -7.2 5.7 3.2 4.3 0.0 161.4 -51.6 30.7 -22.4 -10.8 27.9 7.9 -30.6 26.6 Value
Lynch 1.24 10.9 12.0 -1.5 4.6 5.7 7.7 0.0 161.2 -47.5 18.9 -21.3 0.0 24.3 0.7 -27.9 24.9 Growth & Value
Lakonishok 1.20 13.0 14.3 15.0 15.3 16.3 14.7 0.0 205.2 -32.5 16.6 -17.9 6.5 26.8 7.5 -0.6 32.7 Value With Price Momentum
Kirkpatrick Value 2.21 8.1 10.0 -20.4 -0.4 -3.3 10.7 0.0 -14.3 -23.3 49.0 -25.3 -17.4 21.9 19.4 -15.1 -25.5 Growth & Value
Kirkpatrick Growth 2.15 10.6 15.3 -4.2 -5.1 4.4 15.2 0.0 108.9 -38.7 64.1 -23.1 -6.1 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Kirkpatrick Bargain 1.37 7.5 7.9 4.7 7.6 9.5 13.9 0.0 111.6 -43.2 21.1 -21.7 -0.8 7.3 14.9 3.6 9.4 Growth & Value
Inve$tWare Quality Growth 1.26 7.6 7.8 20.0 19.5 16.3 9.0 0.0 158.2 -44.7 18.2 -22.0 16.7 30.4 19.7 -9.4 17.3 Growth
Insider Net Purchases 1.87 -8.1 -1.3 -10.6 5.4 -3.0 -5.1 0.0 92.2 -65.5 27.8 -27.2 -16.6 21.5 11.5 -31.4 7.4 Specialty
IBD Stable 70 1.19 10.2 10.9 0.9 18.0 17.6 8.0 0.0 214.0 -50.6 18.4 -21.9 -3.1 34.3 24.6 3.7 21.2 Growth
Graham--Enterprising Investor Revised 1.75 15.3 21.9 26.3 7.9 13.1 25.5 0.0 289.1 -49.9 36.4 -22.4 32.1 2.1 -4.9 -4.1 32.9 Value
Graham--Enterprising Investor 1.75 12.2 16.4 -6.1 1.9 8.6 14.6 0.0 166.0 -50.3 33.1 -23.4 -4.7 9.6 1.1 -1.1 43.5 Value
Graham--Defensive Investor (Utility) 0.94 8.4 8.3 11.8 8.8 9.7 7.9 0.0 76.7 -31.4 12.0 -13.4 15.4 10.0 1.2 8.6 4.6 Value
Graham--Defensive Investor (Non-Utility) 1.37 14.2 17.0 -2.1 16.2 19.0 17.1 0.0 297.8 -52.1 25.8 -17.3 -2.7 33.9 18.9 7.0 31.4 Value
Fundamental Rule of Thumb 1.71 10.4 13.1 -3.8 4.2 0.3 7.7 0.0 114.2 -57.0 33.8 -19.2 -10.6 46.1 -6.9 -35.2 17.7 Value
Foolish Small Cap 8 Revised 2.14 10.1 14.3 -2.1 11.2 2.8 6.5 0.0 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.4 -13.4 -0.9 8.7 1.6 0.0 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Fisher (Philip) 2.20 3.3 5.1 11.0 13.2 -1.4 1.6 0.0 73.3 -58.2 32.8 -27.9 17.4 39.5 -0.6 -50.9 9.2 Growth & Value
Est Rev: Up 5% 1.76 18.1 26.8 7.1 20.2 21.5 24.0 0.0 315.7 -23.4 30.8 -21.7 -1.7 27.7 28.8 6.1 35.9 Earnings Estimates
Est Rev: Top 30 Up 1.83 16.7 25.2 11.8 20.8 23.6 24.2 0.0 427.8 -37.8 36.4 -26.7 0.2 42.1 21.9 -2.3 47.6 Earnings Estimates
Est Rev: Lowest 30 Down 2.33 -9.0 -0.1 -13.2 0.9 2.6 -0.1 0.0 198.9 -71.0 43.0 -29.9 -19.0 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -5.8 0.2 -8.0 3.2 3.1 1.4 0.0 158.4 -63.8 33.5 -30.5 -13.9 28.2 9.2 -31.1 30.3 Earnings Estimates
Dual Cash Flow 1.54 11.5 14.2 6.2 12.8 11.7 7.9 0.0 214.7 -61.0 34.7 -23.6 -1.7 48.9 5.1 -21.6 31.0 Growth
Driehaus 2.26 9.4 13.0 3.5 17.0 21.0 19.1 0.0 373.4 -53.4 51.3 -25.7 -5.6 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Dreman With Est Revisions 1.36 13.6 16.1 18.1 20.1 22.0 15.8 0.0 283.1 -39.9 21.4 -26.2 4.5 35.8 13.0 21.6 26.5 Earnings Estimates
Dreman 1.25 10.1 11.0 12.3 17.4 14.4 7.8 0.0 138.9 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Dow Jones 30 0.97 4.8 4.8 11.3 13.3 12.4 5.7 0.0 121.1 -49.3 11.8 -15.1 4.9 26.5 7.3 5.5 11.0 Indexes
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 10.1 20.1 18.6 -0.2 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 Value
Dogs of the Dow 1.22 2.4 3.1 10.3 16.3 16.3 3.3 0.0 196.2 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 Value
Dividend (High Relative Yield) 0.97 9.5 9.5 13.1 19.0 16.4 7.3 0.0 174.4 -40.4 12.5 -14.2 5.5 40.6 9.8 3.0 19.4 Growth & Value
Cash Rich Firms 1.38 10.0 11.3 13.8 18.3 7.5 5.8 0.0 113.2 -45.6 17.6 -20.7 10.8 36.6 10.5 -32.8 14.4 Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 8.2 14.6 15.2 11.4 0.0 221.2 -41.9 16.5 -20.4 2.6 35.8 8.8 0.7 18.4 Growth & Value
Buffettology: EPS Growth 1.22 10.3 11.1 8.0 18.6 18.0 11.3 0.0 253.3 -48.4 15.1 -20.8 3.3 38.4 17.4 3.8 20.5 Growth & Value
Buffett: Hagstrom 1.12 14.0 14.8 11.2 16.8 19.6 12.7 0.0 208.3 -39.8 13.2 -19.0 5.9 35.4 13.0 8.2 27.7 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.7 12.0 17.4 15.0 8.2 0.0 236.3 -58.6 23.9 -22.1 5.5 38.1 14.8 -12.3 26.2 Indexes
ADR Screen 1.48 8.4 9.3 34.9 18.1 10.6 8.4 0.0 177.4 -68.7 31.1 -29.7 31.0 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum