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 5/29/2015
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 2014 2013 2012 2011 2010
Est Rev: Up 5% 1.76 18.2 27.1 25.3 21.3 21.3 24.6 303.2 -23.4 30.8 -21.7 15.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.0 25.7 25.5 25.1 22.9 24.0 400.4 -37.8 36.4 -26.7 13.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Piotroski: High F-Score 2.07 16.8 27.8 -20.1 39.7 30.4 23.7 630.4 -53.6 43.1 -42.0 -8.5 -0.3 137.6 91.7 -36.4 138.8 Value
Graham--Enterprising Investor Revised 1.75 15.4 22.1 32.8 18.4 11.9 23.5 297.1 -49.9 36.4 -22.4 7.7 41.9 2.1 -4.9 -4.1 32.9 Value
Driehaus 2.25 9.4 13.0 18.1 19.5 15.8 19.9 370.9 -53.4 51.3 -25.7 2.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 16.0 24.8 19.6 28.3 17.9 17.7 223.4 -10.1 69.6 -23.1 5.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.1 37.0 20.3 16.9 517.8 -62.8 51.2 -31.7 3.5 12.4 97.8 1.1 -7.0 39.2 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.5 16.2 -7.3 14.2 14.2 16.2 196.1 -52.1 25.8 -17.3 8.2 -13.1 33.9 18.9 7.0 31.4 Value
Dreman With Est Revisions 1.36 13.6 16.1 9.1 21.1 21.7 15.7 278.1 -39.9 21.4 -26.2 0.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 16.8 20.3 32.8 28.3 21.6 15.4 255.6 -50.2 15.7 -23.1 19.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Lakonishok 1.20 13.2 14.5 18.6 18.8 16.3 14.7 202.5 -32.5 16.6 -17.9 5.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Rule #1 Investing 1.81 10.9 14.4 10.6 37.4 26.6 14.5 496.4 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Kirkpatrick Growth 2.14 10.5 15.1 4.7 4.6 2.1 14.4 78.4 -38.7 64.1 -23.1 0.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
P/E Relative 1.13 15.1 16.2 11.2 16.7 14.5 14.4 176.9 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Stock Market Winners 1.45 16.3 20.7 16.8 18.3 31.2 13.6 448.3 -51.3 22.0 -23.4 11.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.78 12.0 16.3 2.0 0.7 7.4 13.4 141.9 -50.3 33.1 -23.4 28.5 -20.6 9.6 1.1 -1.1 43.5 Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.1 6.0 21.8 17.9 12.8 148.7 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.1 19.0 62.6 35.9 27.4 12.3 205.8 -27.8 52.7 -26.7 24.3 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Buffett: Hagstrom 1.12 13.8 14.7 13.7 15.0 18.1 11.8 209.4 -39.8 13.2 -19.0 2.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
Neff 1.63 13.9 18.7 7.8 18.5 14.4 11.7 225.6 -52.8 32.6 -21.7 5.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
NASDAQ 100 1.80 7.9 9.1 20.6 21.3 19.5 11.3 215.3 -50.1 25.0 -27.5 6.4 17.9 35.0 16.8 2.7 19.2 Indexes
Kirkpatrick Value 2.20 8.1 10.0 4.2 4.7 -0.5 11.1 -18.6 -23.3 49.0 -25.3 2.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Buffettology: EPS Growth 1.22 10.0 10.8 7.1 17.6 15.1 10.8 211.3 -48.4 15.1 -20.8 0.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
Wanger (Revised) 1.44 8.8 9.7 6.5 23.3 16.4 10.7 158.5 -51.3 22.8 -19.8 5.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 10.6 20.0 16.5 10.6 192.4 -47.7 19.0 -22.2 7.5 7.6 32.8 15.8 -0.9 30.6 Indexes
Kirkpatrick Bargain 1.36 7.3 7.5 -1.0 4.9 8.4 10.6 79.6 -43.2 21.1 -21.7 -7.7 5.9 7.3 14.9 3.6 9.4 Growth & Value
Templeton 1.26 10.0 10.9 8.4 21.9 17.8 10.5 195.7 -40.0 14.5 -23.1 -1.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.1 25.1 0.5 30.4 11.7 10.4 222.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.32 9.0 9.8 13.9 19.9 17.8 10.3 209.5 -51.1 17.0 -21.7 5.8 3.9 42.6 14.9 4.1 28.0 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 14.5 17.9 15.4 10.1 184.0 -50.1 12.7 -19.1 5.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
MAGNET Simple 2.98 9.2 14.6 -15.0 -15.1 -2.4 10.0 202.4 -75.9 52.1 -34.0 -5.7 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.28 9.9 10.9 2.9 14.2 10.6 10.0 172.2 -41.9 16.5 -20.4 -3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 9.9 21.2 16.3 9.9 191.8 -49.4 15.7 -21.8 3.4 12.1 34.3 20.1 -2.4 22.8 Indexes
O'Shaughnessy: Growth 1.51 12.9 16.2 1.7 20.7 14.0 9.7 178.9 -57.2 18.6 -17.9 1.2 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 9.8 10.5 -0.2 12.4 15.7 9.4 156.9 -43.1 16.0 -16.8 -1.5 5.4 21.3 19.2 7.6 26.9 Value
Price-to-Sales 1.32 12.8 14.8 1.0 13.9 12.9 9.3 173.4 -55.1 18.3 -20.6 5.1 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P 500 Growth (TR) 1.10 6.5 6.6 14.5 19.9 18.0 9.1 180.5 -44.4 10.8 -16.5 4.8 14.9 35.5 14.6 4.7 15.0 Indexes
Inve$tWare Quality Growth 1.26 7.9 8.3 34.4 21.0 16.9 8.8 187.6 -44.7 18.2 -22.0 7.5 21.6 30.4 19.7 -9.4 17.3 Growth
Return on Equity 1.28 10.9 12.2 5.6 11.8 11.8 8.7 149.1 -47.2 14.6 -22.2 6.5 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 7.3 18.8 14.6 8.6 164.2 -51.0 18.4 -19.6 0.3 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 1.19 8.7 9.1 10.6 18.1 14.9 8.6 167.3 -50.5 14.8 -21.8 5.0 8.2 31.6 16.1 -3.1 24.9 Indexes
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 20.7 8.4 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P SmallCap 600 1.27 7.8 8.2 9.2 18.5 15.1 8.2 169.4 -52.2 17.3 -20.2 2.6 4.4 39.7 14.8 -0.2 25.0 Indexes
ADR Screen 1.48 8.1 8.8 -0.1 19.9 10.1 7.9 127.9 -68.7 31.1 -29.7 0.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
All Exchange-Listed Stocks 1.37 9.5 10.6 4.5 18.0 12.4 7.9 176.5 -58.6 23.9 -22.1 4.8 5.0 38.1 14.8 -12.3 26.2 Indexes
Oberweis Octagon 1.93 9.7 12.7 -4.6 14.0 9.9 7.8 198.2 -70.6 24.6 -23.2 -4.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Foolish Small Cap 8 Revised 2.22 10.7 15.7 32.0 18.3 2.4 7.8 55.1 -64.0 42.9 -31.1 34.9 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
S&P 500 Value (TR) 1.00 6.1 6.1 9.0 19.5 15.1 7.3 162.5 -56.0 11.3 -17.1 1.5 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: All Cap 1.39 9.7 10.9 3.7 10.3 9.5 7.3 107.0 -52.1 18.4 -21.5 4.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Dreman 1.25 10.1 11.0 11.6 19.0 12.5 7.2 133.2 -55.0 23.9 -22.2 6.0 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.3 16.0 14.4 13.4 14.6 6.9 233.9 -61.6 23.5 -35.5 7.8 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Dividend (High Relative Yield) 0.97 9.0 8.9 -2.9 15.6 14.0 6.8 137.2 -40.4 12.5 -14.2 0.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dual Cash Flow 1.53 11.2 13.8 -1.8 14.7 6.9 6.7 132.7 -61.0 34.7 -23.6 3.0 -3.2 48.9 5.1 -21.6 31.0 Growth
Fundamental Rule of Thumb 1.70 10.6 13.4 5.8 9.6 1.3 6.3 72.5 -57.0 33.8 -19.2 14.0 -11.6 46.1 -6.9 -35.2 17.7 Value
Lynch 1.25 10.7 11.8 -11.8 9.1 1.7 6.2 105.1 -47.5 18.9 -21.3 11.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Magic Formula 1.64 8.2 9.4 -11.2 2.1 -0.7 5.9 77.8 -51.6 30.7 -22.4 3.3 -16.5 27.9 7.9 -30.6 26.6 Value
S&P 500 1.00 4.6 4.6 9.6 17.1 14.1 5.9 138.9 -52.6 10.8 -16.8 2.4 11.4 29.6 13.4 0.0 12.8 Indexes
Dow Jones 30 0.97 4.9 4.8 7.7 13.3 12.2 5.6 118.4 -49.3 11.8 -15.1 1.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 0.9 20.8 12.9 5.5 127.7 -50.5 13.6 -18.6 -3.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Cash Rich Firms 1.38 9.6 10.8 1.4 17.4 4.7 5.3 71.9 -45.6 17.6 -20.7 7.3 2.5 36.6 10.5 -32.8 14.4 Value
Schloss 1.94 8.3 10.0 20.9 0.6 2.0 4.9 12.0 -37.6 27.1 -40.4 -3.6 -5.9 16.7 13.1 -35.1 12.5 Value
Graham--Defensive Investor (Utility) 0.96 6.8 6.8 -14.0 1.5 5.1 4.4 43.8 -31.4 12.0 -13.7 -18.4 16.0 10.0 1.2 8.6 4.6 Value
Foolish Small Cap 8 2.30 9.0 12.3 53.9 26.8 13.5 3.7 149.9 -67.7 38.8 -25.9 43.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dogs of the Dow 1.22 2.3 3.0 3.5 13.5 15.1 3.2 161.9 -69.0 17.1 -23.4 0.6 6.8 27.9 9.6 10.7 19.4 Value
Murphy Technology 2.76 -16.6 -1.9 -16.6 18.5 12.1 2.7 139.4 -58.3 58.5 -44.9 -1.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Zweig 1.91 12.5 18.0 -5.6 11.3 4.6 1.7 13.0 -54.4 32.7 -24.2 16.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
O'Shaughnessy: Value 1.34 5.0 5.4 -8.3 13.2 9.6 1.6 99.9 -69.1 22.0 -23.8 0.1 -5.8 29.6 20.3 -11.2 7.4 Value
Est Rev: Down 5% 1.95 -4.8 0.7 -4.2 6.8 2.5 1.4 72.0 -63.8 33.5 -30.5 8.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Fisher (Philip) 2.22 3.7 5.2 18.2 19.9 -3.7 0.4 48.8 -58.2 32.8 -27.9 26.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 8.9 16.4 19.0 0.4 190.4 -82.9 27.6 -34.8 7.5 3.0 34.5 15.7 13.1 17.3 Value
Est Rev: Lowest 30 Down 2.33 -8.1 0.2 -9.2 6.1 0.7 0.1 73.3 -71.0 43.0 -29.9 8.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Insider Net Purchases 1.87 -5.4 0.1 23.4 7.0 -1.7 -2.3 46.9 -65.5 27.8 -27.2 18.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Complex 2.73 8.5 11.9 5.5 13.2 0.7 -3.0 -25.0 -55.9 63.0 -28.2 -9.2 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Muhlenkamp 1.58 -2.7 0.7 -11.9 -20.7 -22.1 -11.3 -61.3 -49.0 21.0 -26.2 19.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum