Close

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 12/31/2014
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
Graham--Enterprising Investor Revised 1.75 15.5 22.2 41.9 11.2 11.9 25.1 379.8 -49.9 36.4 -22.4 41.9 2.1 -4.9 -4.1 32.9 168.4 Value
Piotroski: High F-Score 2.07 17.5 29.2 -0.3 65.5 47.1 24.7 961.0 -53.6 43.1 -42.0 -0.3 137.6 91.7 -36.4 138.8 34.6 Value
Est Rev: Up 5% 1.76 18.2 27.1 5.5 20.1 20.1 23.7 329.0 -23.4 30.8 -21.7 5.5 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Est Rev: Top 30 Up 1.83 16.9 25.5 8.3 23.3 22.0 23.7 430.6 -37.8 36.4 -26.7 8.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
O'Neil's CAN SLIM 1.92 16.2 25.1 44.1 24.4 9.3 19.2 208.2 -10.1 69.6 -23.1 44.1 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Driehaus 2.26 9.5 13.2 -0.7 19.6 19.5 18.5 415.2 -53.4 51.3 -25.7 -0.7 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.5 20.6 12.4 30.9 23.8 16.6 784.8 -62.8 51.2 -31.7 12.4 97.8 1.1 -7.0 39.2 147.2 Value
Dreman With Est Revisions 1.36 13.9 16.5 14.2 20.5 21.9 16.0 304.3 -39.9 21.4 -26.2 14.2 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.1 -13.1 11.4 14.2 14.9 241.6 -52.1 25.8 -17.3 -13.1 33.9 18.9 7.0 31.4 57.9 Value
P/E Relative 1.13 15.1 16.3 5.3 15.9 14.6 14.1 195.4 -27.6 18.4 -18.3 5.3 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Kirkpatrick Growth 2.15 10.7 15.4 -1.2 1.7 1.4 14.1 98.9 -38.7 64.1 -23.1 -1.2 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Lakonishok 1.20 13.2 14.6 13.0 16.7 15.9 13.9 230.8 -32.5 16.6 -17.9 13.0 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Stock Market Winners 1.46 16.1 20.5 9.7 18.9 35.5 13.8 419.7 -51.3 22.0 -23.4 9.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.3 19.6 8.9 23.7 19.6 13.7 252.6 -50.2 15.7 -23.1 8.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.5 18.8 2.4 25.1 19.8 13.0 186.6 -50.6 18.5 -18.2 2.4 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Rule #1 Investing 1.81 10.7 14.1 50.3 35.0 27.8 12.6 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Buffett: Hagstrom 1.12 14.0 14.9 9.6 18.8 18.3 12.2 230.6 -39.8 13.2 -19.0 9.6 35.4 13.0 8.2 27.7 30.0 Growth & Value
Kirkpatrick Bargain 1.37 7.8 8.2 5.9 9.3 8.1 12.1 119.5 -43.2 21.1 -21.7 5.9 7.3 14.9 3.6 9.4 22.2 Growth & Value
Graham--Enterprising Investor 1.76 11.3 15.0 -20.6 -4.2 4.6 11.4 104.1 -50.3 33.1 -23.4 -20.6 9.6 1.1 -1.1 43.5 48.5 Value
MAGNET Simple 2.98 9.5 15.3 -15.2 -20.0 -0.9 10.9 272.9 -75.9 52.1 -34.0 -15.2 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Templeton 1.26 10.2 11.2 13.0 24.2 19.3 10.6 231.5 -40.0 14.5 -23.1 13.0 29.4 31.0 3.2 22.4 54.7 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 5.8 20.3 17.3 10.5 228.5 -47.7 19.0 -22.2 7.6 32.8 15.8 -0.9 30.6 38.1 Indexes
Buffettology: EPS Growth 1.22 10.2 11.0 4.4 19.2 16.2 10.5 259.7 -48.4 15.1 -20.8 4.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
Buffettology: Sustainable Growth 1.28 10.3 11.4 3.2 15.1 12.7 10.4 224.0 -41.9 16.5 -20.4 3.2 35.8 8.8 0.7 18.4 68.0 Growth & Value
NASDAQ 100 1.80 7.8 8.9 17.9 23.0 17.9 10.1 202.6 -50.1 25.0 -27.5 17.9 35.0 16.8 2.7 19.2 53.5 Indexes
Kirkpatrick Value 2.21 8.1 10.1 -15.1 5.7 -5.7 10.0 -17.7 -23.3 49.0 -25.3 -15.1 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Neff 1.64 14.0 18.8 5.1 19.0 16.9 9.9 314.3 -52.8 32.6 -21.7 5.1 39.5 15.0 -4.2 35.0 52.5 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.7 3.9 19.4 17.8 9.7 248.3 -51.1 17.0 -21.7 3.9 42.6 14.9 4.1 28.0 30.7 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 3.5 17.2 16.4 9.7 199.8 -50.1 12.7 -19.1 3.5 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 10.1 10.9 5.4 15.1 15.8 9.6 197.9 -43.1 16.0 -16.8 5.4 21.3 19.2 7.6 26.9 27.9 Value
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 12.1 21.8 16.7 9.6 229.5 -49.4 15.7 -21.8 12.1 34.3 20.1 -2.4 22.8 33.7 Indexes
Wanger (Revised) 1.44 8.7 9.6 1.3 23.6 15.0 9.5 179.1 -51.3 22.8 -19.8 1.3 51.1 23.5 -5.2 12.5 24.7 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.5 25.8 25.7 32.5 16.8 9.2 285.1 -67.3 37.4 -21.0 25.7 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 18.0 37.3 31.7 17.9 9.2 166.3 -27.8 52.7 -26.7 37.3 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Shaughnessy: Growth 1.51 13.1 16.5 1.7 22.0 15.3 8.8 198.2 -57.2 18.6 -17.9 1.7 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Price-to-Sales 1.33 12.8 14.9 -5.1 12.9 12.7 8.7 204.4 -55.1 18.3 -20.6 -5.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
S&P 500 Growth (TR) 1.10 6.4 6.4 14.9 20.4 16.0 8.4 195.1 -44.4 10.8 -16.5 14.9 35.5 14.6 4.7 15.0 31.6 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.4 8.9 7.5 19.7 16.2 8.3 214.4 -51.0 18.4 -19.6 7.5 35.6 17.8 -1.2 24.7 20.6 Indexes
S&P MidCap 400 1.20 8.6 9.0 8.2 18.2 14.9 8.2 197.0 -50.5 14.8 -21.8 8.2 31.6 16.1 -3.1 24.9 35.0 Indexes
Inve$tWare Quality Growth 1.26 7.7 8.0 21.6 23.8 15.1 8.2 205.4 -44.7 18.2 -22.0 21.6 30.4 19.7 -9.4 17.3 39.6 Growth
S&P SmallCap 600 1.27 7.9 8.2 4.4 18.7 15.9 7.8 212.5 -52.2 17.3 -20.2 4.4 39.7 14.8 -0.2 25.0 23.8 Indexes
Return on Equity 1.29 10.8 12.1 -8.8 10.4 10.9 7.8 166.3 -47.2 14.6 -22.2 -8.8 34.2 10.1 -5.7 32.0 40.0 Growth
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 22.6 7.5 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 16.0 8.9 8.0 7.3 78.7 -31.4 12.0 -13.4 16.0 10.0 1.2 8.6 4.6 7.9 Value
S&P 500 Value (TR) 1.00 6.1 6.1 12.5 20.4 14.9 7.2 189.2 -56.0 11.3 -17.1 12.5 33.7 17.7 -0.5 15.1 21.2 Indexes
O'Shaughnessy: All Cap 1.38 9.7 10.9 -1.4 9.5 10.0 7.2 119.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.3 15.9 2.0 13.2 11.0 7.2 194.5 -61.6 23.5 -35.5 2.0 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
ADR Screen 1.48 8.2 9.0 27.3 19.8 8.6 7.0 163.0 -68.7 31.1 -29.7 27.3 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Oberweis Octagon 1.92 10.1 13.3 -5.9 20.1 21.4 6.8 219.7 -70.6 24.6 -23.2 -5.9 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
All Exchange-Listed Stocks 1.38 9.4 10.5 5.0 18.5 13.0 6.7 220.4 -58.6 23.9 -22.1 5.0 38.1 14.8 -12.3 26.2 65.8 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 2.3 20.7 15.0 6.6 140.5 -50.5 13.6 -18.6 -4.2 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Dreman 1.25 10.0 10.9 7.7 18.3 12.4 6.5 143.0 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Dividend (High Relative Yield) 0.97 9.2 9.1 2.0 16.3 14.1 6.1 157.8 -40.4 12.5 -14.2 2.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
Dual Cash Flow 1.54 11.3 13.9 -3.2 14.8 9.2 6.0 180.9 -61.0 34.7 -23.6 -3.2 48.9 5.1 -21.6 31.0 76.0 Growth
S&P 500 1.00 4.5 4.5 11.4 17.8 13.0 5.4 158.0 -52.6 10.8 -16.8 11.4 29.6 13.4 0.0 12.8 23.5 Indexes
Lynch 1.24 10.4 11.4 -7.2 5.1 0.9 5.3 103.2 -47.5 18.9 -21.3 -7.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Dow Jones 30 0.97 4.9 4.9 7.5 13.4 11.3 5.2 134.2 -49.3 11.8 -15.1 7.5 26.5 7.3 5.5 11.0 18.8 Indexes
Foolish Small Cap 8 Revised 2.13 10.1 14.1 -2.1 11.7 -4.0 4.8 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Schloss 1.92 8.6 10.5 -5.9 7.5 -2.0 4.6 34.3 -37.6 27.1 -40.4 -5.9 16.7 13.1 -35.1 12.5 57.5 Value
Murphy Technology 2.77 -16.5 -1.8 -1.3 25.2 14.0 4.1 172.2 -58.3 58.5 -44.9 -1.3 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Fundamental Rule of Thumb 1.71 10.2 12.9 -11.6 6.3 -1.7 4.0 84.6 -57.0 33.8 -19.2 -11.6 46.1 -6.9 -35.2 17.7 92.1 Value
Cash Rich Firms 1.38 9.5 10.7 2.5 15.6 3.5 3.6 87.8 -45.6 17.6 -20.7 2.5 36.6 10.5 -32.8 14.4 56.9 Value
Magic Formula 1.65 8.3 9.4 -16.5 4.8 0.2 3.4 119.2 -51.6 30.7 -22.4 -16.5 27.9 7.9 -30.6 26.6 97.0 Value
Dogs of the Dow 1.22 2.3 3.1 6.8 14.4 14.6 2.7 201.0 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 8.1 Value
Foolish Small Cap 8 2.27 8.2 10.3 -19.9 7.6 5.8 1.8 141.6 -67.7 38.8 -25.9 -19.9 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
O'Shaughnessy: Value 1.34 5.1 5.5 -5.8 13.7 7.0 1.3 139.5 -69.1 22.0 -23.8 -5.8 29.6 20.3 -11.2 7.4 31.5 Value
Zweig 1.90 12.2 17.4 -14.6 4.7 1.1 1.0 32.0 -54.4 32.7 -24.2 -14.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Est Rev: Down 5% 1.95 -5.7 0.2 -13.5 6.6 1.7 -0.3 117.5 -63.8 33.5 -30.5 -13.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.3 3.0 17.0 16.3 -0.6 245.2 -82.9 27.6 -34.8 3.0 34.5 15.7 13.1 17.3 -7.7 Value
Fisher (Philip) 2.21 0.8 3.9 -1.3 11.0 -6.0 -2.0 53.5 -58.2 32.8 -27.9 -1.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Est Rev: Lowest 30 Down 2.33 -9.2 -0.2 -20.4 4.1 0.5 -2.4 133.7 -71.0 43.0 -29.9 -20.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
MAGNET Complex 2.73 8.8 12.8 7.4 4.7 -0.5 -5.6 -17.5 -55.9 63.0 -28.2 7.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Insider Net Purchases 1.87 -7.5 -1.0 -11.9 6.1 -2.5 -6.0 72.8 -65.5 27.8 -27.2 -11.9 21.5 11.5 -31.4 7.4 59.0 Specialty
Muhlenkamp 1.58 -4.3 -0.3 -48.5 -24.6 -24.9 -12.6 -60.4 -49.0 21.0 -26.2 -48.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum