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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 8/29/2014
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
Muhlenkamp 1.54 -4.9 -0.9 -45.7 -28.7 -24.9 -11.4 -64.0 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Insider Net Purchases 1.87 -8.1 -1.3 -8.0 1.7 -2.7 -4.1 64.4 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
MAGNET Complex 2.71 8.5 11.9 20.1 -3.6 -6.5 -3.9 -30.5 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 20.1 22.5 17.9 0.1 250.2 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
Fisher (Philip) 2.20 3.0 4.9 24.6 9.8 -1.6 2.0 76.4 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Est Rev: Lowest 30 Down 2.32 -6.7 0.8 12.5 8.2 6.5 2.3 179.5 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Foolish Small Cap 8 2.26 7.8 9.5 -13.8 -0.1 11.0 2.8 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Dogs of the Dow 1.22 2.4 3.2 16.7 18.1 16.9 3.0 201.3 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
Schloss 1.91 8.0 9.4 -18.7 1.5 -3.6 3.1 10.0 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
Est Rev: Down 5% 1.95 -4.4 0.9 10.2 8.6 5.4 3.5 142.3 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
O'Shaughnessy: Value 1.34 6.2 6.3 24.4 16.9 11.6 4.0 166.5 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Dow Jones 30 0.97 4.8 4.7 15.4 13.7 12.5 5.3 124.7 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
Magic Formula 1.64 9.0 10.6 9.9 6.7 5.6 5.9 154.7 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Foolish Small Cap 8 Revised 2.14 10.2 14.4 -2.1 -9.3 5.1 6.0 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
S&P 500 1.00 4.4 4.4 22.7 18.0 14.4 6.1 151.1 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
Zweig 1.85 13.4 19.3 29.6 15.7 6.6 6.3 64.1 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Dividend Screen: DRPs 1.10 8.8 9.1 22.8 16.4 14.3 6.4 184.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Cash Rich Firms 1.37 10.4 11.8 32.9 19.7 10.1 7.3 116.4 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
Dividend (High Relative Yield) 0.97 9.7 9.6 25.8 20.2 16.7 7.6 166.6 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Graham--Defensive Investor (Utility) 0.92 8.2 8.1 13.4 8.6 8.5 7.8 70.6 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 31.6 19.9 16.0 7.9 133.1 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P 500 Value (TR) 1.00 6.1 6.1 23.0 21.0 15.9 8.1 180.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 7.1 12.3 14.7 8.1 186.1 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Dreman 1.25 10.2 11.1 17.0 19.5 15.0 8.4 142.3 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Dividend Screen: Non-DRPs 0.91 13.7 13.1 18.3 17.6 15.2 8.5 197.7 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
IBD Stable 70 1.19 10.1 10.8 10.1 18.0 17.6 8.5 207.1 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
Inve$tWare Quality Growth 1.26 7.3 7.5 21.7 17.0 15.4 8.8 176.5 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
S&P 500 Growth (TR) 1.10 6.3 6.3 27.5 20.3 17.9 8.9 184.0 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
All Exchange-Listed Stocks 1.38 9.8 11.0 25.7 18.4 16.1 9.3 233.5 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
S&P SmallCap 600 1.27 7.8 8.2 17.5 19.2 17.4 9.3 202.1 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
Fundamental Rule of Thumb 1.71 10.6 13.6 14.1 4.1 2.2 9.4 96.0 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
S&P MidCap 400 1.20 8.7 9.2 21.5 18.0 17.1 9.6 194.1 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.4 8.8 17.1 20.5 17.3 9.7 203.0 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.8 48.0 23.1 17.3 9.7 145.6 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Lynch 1.24 11.4 12.5 25.5 6.2 9.3 9.7 133.4 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
ADR Screen 1.48 8.7 9.7 62.2 15.7 12.6 9.7 183.2 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dual Cash Flow 1.53 12.0 14.9 24.9 15.8 13.6 9.8 209.8 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
Oberweis Octagon 1.91 10.5 14.1 20.8 23.4 19.5 10.5 244.2 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Return on Equity 1.28 11.2 12.5 8.6 10.8 15.2 10.6 175.0 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Weiss Blue Chip Div Yield 1.21 10.4 11.2 21.5 17.6 18.9 10.8 202.5 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
O'Shaughnessy: All Cap 1.37 10.2 11.6 26.2 12.9 13.6 10.8 134.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Murphy Technology 2.76 -12.2 -0.3 44.3 30.5 16.6 10.9 256.0 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
S&P MidCap 400 Value (TR) 1.11 8.8 9.1 25.5 22.6 18.9 11.1 225.7 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.9 9.6 16.2 19.7 19.5 11.2 234.3 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.9 11.2 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
NASDAQ 100 1.81 7.8 8.9 32.8 22.1 20.2 11.5 191.6 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.1 14.5 18.3 14.8 19.6 11.6 190.7 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.31 10.8 12.2 18.8 20.7 19.0 11.7 216.0 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
Buffettology: EPS Growth 1.22 10.3 11.1 17.8 18.4 19.2 11.7 252.1 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Price-to-Sales 1.32 13.4 15.7 18.5 15.8 17.4 11.7 224.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Buffettology: Sustainable Growth 1.28 10.5 11.6 16.8 14.4 16.5 11.8 220.9 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Templeton 1.26 10.0 10.9 6.9 23.5 18.3 11.8 207.3 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
Neff 1.63 14.2 19.0 18.3 18.8 20.4 12.0 304.4 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Wanger (Revised) 1.43 8.9 10.0 29.9 24.4 18.8 12.1 184.6 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
O'Shaughnessy: Tiny Titans 1.93 16.7 26.1 49.4 28.2 19.0 12.8 271.5 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Shaughnessy: Growth 1.51 13.5 17.1 25.0 21.0 20.0 13.0 208.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Buffett: Hagstrom 1.11 14.0 14.8 16.7 16.1 19.3 13.2 210.5 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
MAGNET Simple 2.98 9.7 16.0 -28.8 -19.5 5.3 13.2 291.1 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Kirkpatrick Value 2.21 8.5 10.8 -3.7 -6.4 -3.4 13.5 -11.0 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Stock Market Winners 1.46 15.9 20.2 5.1 15.2 32.3 15.0 372.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Lakonishok 1.20 13.1 14.4 23.4 15.4 16.7 15.3 209.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Rule #1 Investing 1.81 10.9 14.4 52.1 33.2 33.8 15.3 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Kirkpatrick Bargain 1.37 7.7 8.2 8.2 4.9 8.8 15.5 111.2 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.52 14.5 18.8 14.0 23.1 19.2 15.6 169.8 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
P/E Relative 1.13 15.4 16.6 12.9 18.2 18.1 15.9 193.2 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Value on the Move--PEG With Est Growth 1.33 16.6 20.0 25.5 23.0 22.1 16.3 251.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.74 12.8 17.4 13.5 6.1 12.8 16.4 176.2 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
Dreman With Est Revisions 1.36 13.8 16.4 31.4 26.4 22.1 17.0 277.3 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Kirkpatrick Growth 2.15 10.9 15.9 13.5 -7.9 4.4 17.1 101.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 16.1 20.1 20.8 18.3 302.4 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
Driehaus 2.24 9.0 12.2 -7.9 10.7 19.0 18.8 327.9 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.0 37.8 19.2 8.5 19.0 183.7 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.77 14.7 21.1 46.7 31.7 28.1 19.5 784.7 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
Graham--Enterprising Investor Revised 1.74 15.5 22.1 28.8 5.9 14.5 25.8 341.8 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
Est Rev: Up 5% 1.76 18.4 27.3 16.3 22.7 22.1 26.0 310.2 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.0 25.8 24.0 23.0 23.9 26.5 411.4 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Piotroski: High F-Score 2.06 18.2 30.6 34.4 54.1 40.4 27.4 1,056.0 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 Value