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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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 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
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
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
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
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
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
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
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
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
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
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
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
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
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'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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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