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 3/31/2016
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 Complex 2.73 7.2 8.4 -34.3 -6.8 -4.1 -14.7 -21.6 -55.9 63.0 -28.2 -0.7 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Muhlenkamp 1.57 -2.9 0.5 8.1 -15.2 -21.2 -13.1 -47.5 -49.0 21.0 -26.2 4.9 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Insider Net Purchases 1.91 -12.2 -3.3 -40.5 -15.6 -11.9 -9.9 114.5 -65.5 27.8 -27.2 -20.4 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Complex Revised 2.20 -3.7 1.9 3.1 -20.7 -17.2 -5.4 -64.9 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Zweig 1.89 10.9 14.9 -25.4 -6.0 -6.1 -4.2 53.9 -54.4 32.7 -24.2 -12.2 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Est Rev: Lowest 30 Down 2.31 -9.4 -0.4 -1.0 -3.4 -7.0 -3.7 196.0 -71.0 43.0 -29.9 11.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -6.3 -0.1 -5.8 -1.7 -5.0 -2.5 165.2 -63.8 33.5 -30.5 4.3 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Fisher (Philip) 2.21 0.1 3.6 -14.0 5.1 -5.7 -1.8 125.2 -58.2 32.8 -27.9 -19.6 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Murphy Technology 2.73 -19.9 -3.2 -24.9 -2.6 0.9 -1.8 183.7 -58.3 58.5 -44.9 -10.0 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.38 8.3 10.8 -26.3 -10.3 -10.1 -1.6 204.7 -64.0 42.9 -40.5 -24.2 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Schloss 1.92 7.5 8.5 -10.8 -5.1 -10.6 -1.0 48.4 -37.6 27.1 -40.4 2.1 -5.9 16.7 13.1 -35.1 12.5 Value
O'Shaughnessy: Value 1.34 3.8 4.5 -8.8 0.4 2.4 -0.6 169.7 -69.1 22.0 -23.8 2.4 -5.8 29.6 20.3 -11.2 7.4 Value
Kirkpatrick Value 2.17 7.5 8.6 -12.7 -7.2 -2.4 -0.3 -16.9 -23.3 49.0 -25.3 -5.6 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.95 8.9 13.6 -15.0 -17.2 -15.1 -0.1 363.3 -75.9 52.1 -34.0 2.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.2 3.1 13.9 13.3 15.7 1.2 329.9 -82.9 27.6 -34.8 5.5 3.0 34.5 15.7 13.1 17.3 Value
Lynch 1.27 9.0 9.7 -15.5 -1.4 -6.3 1.5 145.5 -47.5 18.9 -21.3 2.2 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Magic Formula 1.63 7.5 8.2 -12.2 -4.7 -6.7 1.6 144.4 -51.6 30.7 -22.4 4.5 -16.5 27.9 7.9 -30.6 26.6 Value
Dual Cash Flow 1.54 9.8 11.7 -21.0 1.4 -1.6 1.6 238.4 -61.0 34.7 -23.6 -1.4 -3.2 48.9 5.1 -21.6 31.0 Growth
Fundamental Rule of Thumb 1.69 9.7 11.9 -7.6 4.0 -4.5 1.7 144.9 -57.0 33.8 -19.2 0.1 -11.6 46.1 -6.9 -35.2 17.7 Value
MAGNET Simple Revised 2.23 -2.8 2.3 9.8 6.2 -12.5 1.9 -12.6 -31.0 38.9 -27.1 9.4 -13.7 45.7 -25.0 -45.7 32.9
O'Shaughnessy: All Cap 1.44 8.4 9.2 -14.4 -0.3 0.5 2.0 149.8 -52.1 18.4 -21.5 5.5 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Foolish Small Cap 8 2.37 8.6 11.5 34.0 13.5 2.6 2.1 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Cash Rich Firms 1.37 8.7 9.5 -7.8 5.6 0.6 2.5 122.0 -45.6 17.6 -20.7 1.6 2.5 36.6 10.5 -32.8 14.4 Value
Rule #1 Investing 1.89 7.3 8.0 -56.7 -3.7 0.5 3.2 745.9 -54.0 27.0 -28.5 -19.7 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Dreman 1.25 9.2 9.8 -8.2 5.7 6.6 3.5 219.2 -55.0 23.9 -22.2 1.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
All Exchange-Listed Stocks 1.37 8.3 9.0 -15.1 4.3 3.7 3.6 275.0 -58.6 23.9 -22.1 -1.1 5.0 38.1 14.8 -12.3 26.2 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 7.6 10.2 10.1 3.9 148.9 -50.5 13.6 -18.6 4.9 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Dogs of the Dow 1.21 2.5 3.2 6.7 8.9 11.4 3.9 241.7 -69.0 17.1 -23.4 7.4 6.8 27.9 9.6 10.7 19.4 Value
ADR Screen 1.47 7.7 8.2 2.2 19.8 3.4 4.0 190.8 -68.7 31.1 -29.7 4.8 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Oberweis Octagon 1.93 9.3 11.8 -11.0 0.3 3.9 4.0 224.5 -70.6 24.6 -23.2 13.6 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P 500 1.00 4.2 4.2 -0.4 9.5 9.2 4.8 186.7 -52.6 10.8 -16.8 0.8 11.4 29.6 13.4 0.0 12.8 Indexes
Dow Jones 30 0.98 4.6 4.5 -0.5 6.6 7.5 4.8 155.0 -49.3 11.8 -15.1 1.5 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Growth 1.50 12.2 15.0 -9.3 5.9 6.2 4.9 219.5 -57.2 18.6 -17.9 0.5 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Price-to-Sales 1.32 11.9 13.7 -7.5 5.4 4.9 5.2 252.6 -55.1 18.3 -20.6 4.4 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Graham--Defensive Investor (Utility) 1.00 7.9 7.9 25.5 6.1 7.2 5.3 50.7 -31.4 12.0 -13.7 10.2 16.0 10.0 1.2 8.6 4.6 Value
Dividend (High Relative Yield) 0.98 8.2 8.2 -4.5 7.2 8.4 5.3 176.2 -40.4 12.5 -14.2 5.8 2.0 40.6 9.8 3.0 19.4 Growth & Value
Return on Equity 1.27 10.3 11.4 -1.1 5.5 4.7 5.4 200.3 -47.2 14.6 -22.2 2.9 -8.8 34.2 10.1 -5.7 32.0 Growth
Inve$tWare Quality Growth 1.27 7.0 7.1 -14.1 12.1 9.5 5.4 256.9 -44.7 18.2 -22.0 -4.0 21.6 30.4 19.7 -9.4 17.3 Growth
Neff 1.63 12.1 15.6 -27.0 -0.2 0.7 5.5 392.4 -52.8 32.6 -21.7 -4.5 5.1 39.5 15.0 -4.2 35.0 Growth & Value
S&P 500 Value (TR) 1.00 5.6 5.6 -0.3 9.5 10.0 5.6 222.6 -56.0 11.3 -17.1 2.2 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Neil's CAN SLIM No Float 1.38 12.8 15.2 1.0 8.8 8.8 5.7 217.5 -61.6 23.5 -35.5 -3.1 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P SmallCap 600 1.26 7.4 7.6 -4.6 8.9 9.0 5.7 246.1 -52.2 17.3 -20.2 2.3 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P SmallCap 600 Value (TR) 1.22 7.8 8.1 -3.1 8.6 9.4 5.8 241.7 -51.0 18.4 -19.6 5.2 7.5 35.6 17.8 -1.2 24.7 Indexes
O'Shaughnessy: Tiny Titans 1.90 15.3 23.3 -5.3 12.4 9.2 5.8 331.6 -67.3 37.4 -21.0 -0.9 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Kirkpatrick Bargain 1.36 6.8 6.9 -11.6 -3.4 0.5 6.2 109.7 -43.2 21.1 -21.7 -3.6 5.9 7.3 14.9 3.6 9.4 Growth & Value
Wanger (Revised) 1.42 8.0 8.7 -9.6 9.9 9.6 6.2 219.9 -51.3 22.8 -19.8 -2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P MidCap 400 1.19 8.1 8.4 -5.2 7.8 7.9 6.2 239.2 -50.5 14.8 -21.8 3.3 8.2 31.6 16.1 -3.1 24.9 Indexes
Weiss Blue Chip Div Yield 1.23 9.1 9.7 -5.7 3.7 7.4 7.4 215.7 -43.1 16.0 -16.8 8.7 5.4 21.3 19.2 7.6 26.9 Value
S&P MidCap 400 Value (TR) 1.12 8.1 8.3 -3.5 9.2 10.0 7.5 269.2 -49.4 15.7 -21.8 6.4 12.1 34.3 20.1 -2.4 22.8 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.3 13.7 -0.4 13.6 9.7 7.5 236.2 -50.1 12.7 -19.1 -1.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.30 8.5 9.2 -3.2 10.9 10.9 8.1 298.5 -51.1 17.0 -21.7 0.4 3.9 42.6 14.9 4.1 28.0 Indexes
Templeton 1.26 9.0 9.7 -14.1 6.9 11.9 8.2 267.6 -40.0 14.5 -23.1 4.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
T. Rowe Price 1.66 9.0 10.7 27.3 16.0 13.5 8.4 418.1 -62.5 33.5 -20.0 8.4 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P MidCap 400 Growth (TR) 1.29 10.3 11.4 -3.2 10.4 10.4 8.4 272.4 -47.7 19.0 -22.2 1.2 7.6 32.8 15.8 -0.9 30.6 Indexes
Buffettology: EPS Growth 1.21 9.8 10.5 0.9 10.9 11.7 8.6 282.4 -48.4 15.1 -20.8 0.9 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P 500 Growth (TR) 1.10 6.3 6.3 3.5 14.0 13.1 8.7 233.5 -44.4 10.8 -16.5 0.5 14.9 35.5 14.6 4.7 15.0 Indexes
Kirkpatrick Growth 2.10 10.2 14.3 -6.1 1.5 -3.1 8.7 108.7 -38.7 64.1 -23.1 0.5 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.51 13.6 17.2 -0.3 7.7 9.9 8.7 194.0 -50.6 18.5 -18.2 0.3 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 15.2 18.1 -9.7 14.9 11.5 9.5 346.4 -50.2 15.7 -23.1 -3.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.27 10.1 11.0 6.9 11.1 10.0 9.5 231.9 -41.9 16.5 -20.4 3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
P/E Relative 1.14 13.7 14.7 -10.5 4.1 5.8 10.0 244.4 -27.6 18.4 -18.3 5.8 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 12.7 15.0 -2.6 4.1 6.6 10.0 317.2 -52.1 25.8 -17.3 9.2 -13.1 33.9 18.9 7.0 31.4 Value
NASDAQ 100 1.78 7.7 8.6 3.5 16.7 13.9 10.2 222.0 -50.1 25.0 -27.5 -2.4 17.9 35.0 16.8 2.7 19.2 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.7 17.9 -3.3 32.3 15.0 10.6 231.0 -27.8 52.7 -26.7 -7.5 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Buffett: Hagstrom 1.10 13.4 14.1 -0.4 11.4 12.2 10.7 264.7 -39.8 13.2 -19.0 4.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
Lakonishok 1.20 12.3 13.4 -6.8 7.2 7.6 11.1 269.8 -32.5 16.6 -17.9 1.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Neil's CAN SLIM 1.92 14.5 21.9 -22.7 5.1 6.2 12.0 225.2 -10.1 69.6 -23.1 -7.2 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Stock Market Winners 1.43 15.8 19.7 7.3 14.3 16.2 12.5 526.7 -51.3 22.0 -23.4 -5.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.3 15.7 2.1 15.2 14.8 13.4 340.7 -39.9 21.4 -26.2 0.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Piotroski: High F-Score 2.07 14.7 23.5 -33.5 -4.8 12.5 14.0 991.3 -53.6 43.1 -42.0 1.8 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Free-Cash-Flow 1.78 13.8 19.5 2.3 27.4 14.7 15.2 951.0 -62.8 51.2 -31.7 5.2 12.4 97.8 1.1 -7.0 39.2 Value
Est Rev: Top 30 Up 1.82 15.8 23.5 -10.6 10.6 10.9 17.5 595.7 -37.8 36.4 -26.7 -6.2 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.22 9.7 13.6 13.9 15.3 11.1 17.9 470.1 -53.4 51.3 -25.7 6.8 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Est Rev: Up 5% 1.76 16.8 24.7 -11.8 6.3 10.2 18.0 432.5 -23.4 30.8 -21.7 -0.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Graham--Enterprising Investor Revised 1.75 14.3 20.2 -8.1 8.6 2.9 18.1 568.7 -49.9 36.4 -22.4 -6.0 41.9 2.1 -4.9 -4.1 32.9 Value