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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 1/30/2015
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
Graham--Enterprising Investor Revised 1.75 15.1 21.6 35.1 7.6 10.4 24.3 351.1 -49.9 36.4 -22.4 -6.0 41.9 2.1 -4.9 -4.1 32.9 Value
Est Rev: Up 5% 1.75 18.2 27.0 17.6 17.7 22.0 24.1 336.2 -23.4 30.8 -21.7 1.7 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Piotroski: High F-Score 2.07 17.1 28.5 -13.7 54.0 38.7 23.9 886.9 -53.6 43.1 -42.0 -7.0 -0.3 137.6 91.7 -36.4 138.8 Value
Est Rev: Top 30 Up 1.83 16.8 25.3 11.6 19.5 23.2 23.5 429.7 -37.8 36.4 -26.7 -0.2 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.26 9.4 13.1 4.9 17.2 20.6 19.4 414.3 -53.4 51.3 -25.7 -0.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 16.0 24.7 38.5 21.6 13.3 18.9 199.2 -10.1 69.6 -23.1 -2.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.2 20.1 8.5 25.4 22.1 16.0 733.8 -62.8 51.2 -31.7 -5.8 12.4 97.8 1.1 -7.0 39.2 Value
Dreman With Est Revisions 1.36 13.8 16.4 17.6 17.7 22.6 15.9 299.8 -39.9 21.4 -26.2 -1.1 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 13.2 15.8 -10.6 7.3 14.3 15.0 230.1 -52.1 25.8 -17.3 -3.4 -13.1 33.9 18.9 7.0 31.4 Value
Kirkpatrick Growth 2.14 10.6 15.2 -1.0 1.1 3.5 14.2 95.4 -38.7 64.1 -23.1 -1.8 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
P/E Relative 1.13 15.0 16.1 7.9 13.8 15.1 14.1 192.8 -27.6 18.4 -18.3 -0.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Lakonishok 1.20 13.1 14.4 13.6 13.9 16.8 14.0 227.8 -32.5 16.6 -17.9 -0.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Stock Market Winners 1.46 16.1 20.5 11.7 18.6 33.8 14.0 430.4 -51.3 22.0 -23.4 2.1 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.1 19.4 14.9 21.2 19.1 13.5 246.2 -50.2 15.7 -23.1 -1.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Rule #1 Investing 1.81 10.7 14.0 41.4 28.2 25.4 12.9 574.7 -54.0 27.0 -26.8 0.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.2 5.2 21.3 19.1 12.3 166.8 -50.6 18.5 -18.2 -6.9 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Buffett: Hagstrom 1.12 13.8 14.6 12.4 14.8 18.6 11.8 220.0 -39.8 13.2 -19.0 -3.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
MAGNET Simple 2.98 9.4 15.2 -10.6 -19.3 -0.5 11.5 270.6 -75.9 52.1 -34.0 -0.6 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.76 11.2 14.8 -16.2 -8.4 4.3 11.1 100.2 -50.3 33.1 -23.4 -1.9 -20.6 9.6 1.1 -1.1 43.5 Value
Kirkpatrick Bargain 1.37 7.6 8.0 5.5 5.4 9.0 10.8 111.9 -43.2 21.1 -21.7 -3.5 5.9 7.3 14.9 3.6 9.4 Growth & Value
NASDAQ 100 1.80 7.7 8.7 17.8 18.9 19.0 10.6 196.3 -50.1 25.0 -27.5 -2.1 17.9 35.0 16.8 2.7 19.2 Indexes
Buffettology: EPS Growth 1.22 10.0 10.8 5.9 14.7 16.7 10.5 249.6 -48.4 15.1 -20.8 -2.8 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P MidCap 400 Growth (TR) 1.30 10.7 12.0 6.2 16.3 17.3 10.3 217.0 -47.7 19.0 -22.2 0.6 7.6 32.8 15.8 -0.9 30.6 Indexes
Templeton 1.26 10.1 11.0 14.8 19.4 19.0 10.2 222.0 -40.0 14.5 -23.1 -2.9 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffettology: Sustainable Growth 1.28 10.1 11.1 4.3 9.9 12.7 10.1 209.2 -41.9 16.5 -20.4 -4.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
Neff 1.64 13.8 18.4 7.3 13.3 15.6 9.8 297.5 -52.8 32.6 -21.7 -4.1 5.1 39.5 15.0 -4.2 35.0 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.8 9.5 6.4 16.6 18.4 9.6 242.0 -51.1 17.0 -21.7 -1.8 3.9 42.6 14.9 4.1 28.0 Indexes
S&P MidCap 400 Value (TR) 1.12 8.5 8.7 10.6 18.1 16.6 9.6 219.6 -49.4 15.7 -21.8 -3.0 12.1 34.3 20.1 -2.4 22.8 Indexes
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.8 38.1 28.8 20.9 9.6 163.7 -27.8 52.7 -26.7 -1.0 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 13.8 14.2 10.1 14.6 15.9 9.6 193.2 -50.1 12.7 -19.1 -2.2 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Wanger (Revised) 1.44 8.5 9.4 -4.5 18.0 14.8 9.5 170.3 -51.3 22.8 -19.8 -3.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Weiss Blue Chip Div Yield 1.22 9.8 10.5 3.2 10.5 15.5 9.3 183.1 -43.1 16.0 -16.8 -5.0 5.4 21.3 19.2 7.6 26.9 Value
O'Shaughnessy: Tiny Titans 1.93 16.1 25.0 10.2 26.3 13.9 9.1 248.4 -67.3 37.4 -21.0 -9.5 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Kirkpatrick Value 2.21 7.9 9.6 -20.6 3.5 -4.1 9.0 -22.9 -23.3 49.0 -25.3 -6.3 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Inve$tWare Quality Growth 1.26 7.8 8.1 28.6 18.3 15.2 8.8 210.8 -44.7 18.2 -22.0 1.8 21.6 30.4 19.7 -9.4 17.3 Growth
O'Shaughnessy: Growth 1.51 13.0 16.3 2.0 20.0 16.3 8.8 191.1 -57.2 18.6 -17.9 -2.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Price-to-Sales 1.32 12.6 14.6 -6.9 9.3 12.7 8.7 196.5 -55.1 18.3 -20.6 -2.6 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P 500 Growth (TR) 1.10 6.3 6.3 16.4 18.2 16.9 8.6 190.2 -44.4 10.8 -16.5 -1.7 14.9 35.5 14.6 4.7 15.0 Indexes
S&P MidCap 400 1.20 8.5 8.9 9.3 15.3 15.3 8.3 193.5 -50.5 14.8 -21.8 -1.2 8.2 31.6 16.1 -3.1 24.9 Indexes
Return on Equity 1.29 10.8 12.0 -3.9 6.0 11.8 8.2 165.9 -47.2 14.6 -22.2 -0.1 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 5.7 14.7 15.6 8.1 198.0 -51.0 18.4 -19.6 -5.2 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P SmallCap 600 1.27 7.6 8.0 4.8 14.9 15.9 7.6 201.4 -52.2 17.3 -20.2 -3.6 4.4 39.7 14.8 -0.2 25.0 Indexes
T. Rowe Price 1.66 8.5 9.9 4.4 4.5 22.4 7.3 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.1 15.7 8.7 11.2 13.3 7.1 190.2 -61.6 23.5 -35.5 -1.4 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P 500 Value (TR) 1.00 5.8 5.8 12.0 16.7 14.3 6.9 176.3 -56.0 11.3 -17.1 -4.4 12.5 33.7 17.7 -0.5 15.1 Indexes
All Exchange-Listed Stocks 1.38 9.3 10.3 2.0 13.9 12.6 6.8 211.7 -58.6 23.9 -22.1 -2.7 5.0 38.1 14.8 -12.3 26.2 Indexes
ADR Screen 1.48 8.0 8.8 21.9 13.5 9.2 6.5 154.4 -68.7 31.1 -29.7 -3.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Dreman 1.25 9.8 10.6 10.0 13.4 12.7 6.3 136.2 -55.0 23.9 -22.2 -2.8 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: All Cap 1.38 9.4 10.4 -1.5 3.5 8.6 6.3 105.1 -52.1 18.4 -21.5 -6.4 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Oberweis Octagon 1.92 9.8 12.8 -13.5 15.7 16.7 6.2 197.5 -70.6 24.6 -23.2 -6.9 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.97 8.9 8.9 3.0 14.1 13.8 6.0 148.9 -40.4 12.5 -14.2 -3.4 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 7.6 17.9 14.3 5.9 127.1 -50.5 13.6 -18.6 -5.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Dual Cash Flow 1.54 11.1 13.6 -4.0 10.5 8.6 5.9 171.8 -61.0 34.7 -23.6 -3.2 -3.2 48.9 5.1 -21.6 31.0 Growth
Graham--Defensive Investor (Utility) 0.96 7.3 7.3 -0.4 4.1 5.9 5.7 54.3 -31.4 12.0 -13.7 -13.7 16.0 10.0 1.2 8.6 4.6 Value
S&P 500 1.00 4.3 4.3 11.9 15.0 13.2 5.4 150.0 -52.6 10.8 -16.8 -3.1 11.4 29.6 13.4 0.0 12.8 Indexes
Lynch 1.24 10.3 11.3 -8.2 2.5 0.5 5.1 102.2 -47.5 18.9 -21.3 -0.5 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Dow Jones 30 0.97 4.7 4.6 9.3 10.7 11.3 5.0 125.6 -49.3 11.8 -15.1 -3.7 7.5 26.5 7.3 5.5 11.0 Indexes
Foolish Small Cap 8 Revised 2.13 10.0 14.0 -2.1 11.7 -2.9 4.7 100.9 -64.0 28.1 -31.1 0.0 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Magic Formula 1.65 8.3 9.5 -12.7 1.7 1.0 4.0 123.7 -51.6 30.7 -22.4 2.0 -16.5 27.9 7.9 -30.6 26.6 Value
Cash Rich Firms 1.38 9.3 10.4 -0.6 11.7 3.3 3.9 82.5 -45.6 17.6 -20.7 -2.8 2.5 36.6 10.5 -32.8 14.4 Value
Fundamental Rule of Thumb 1.71 10.1 12.7 -11.3 0.6 -1.6 3.8 81.6 -57.0 33.8 -19.2 -1.6 -11.6 46.1 -6.9 -35.2 17.7 Value
Foolish Small Cap 8 2.27 8.5 11.0 -11.3 8.4 8.5 3.5 168.9 -67.7 38.8 -25.9 11.3 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dogs of the Dow 1.22 2.1 2.9 6.8 12.6 14.1 3.0 190.9 -69.0 17.1 -23.4 -3.4 6.8 27.9 9.6 10.7 19.4 Value
Schloss 1.94 8.0 9.4 4.1 -1.4 -3.2 2.8 14.9 -37.6 27.1 -40.4 -14.5 -5.9 16.7 13.1 -35.1 12.5 Value
Murphy Technology 2.77 -17.7 -2.2 -4.1 17.2 11.5 2.2 152.4 -58.3 58.5 -44.9 -7.3 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
O'Shaughnessy: Value 1.34 4.7 5.2 -4.7 8.5 7.2 1.2 128.8 -69.1 22.0 -23.8 -4.5 -5.8 29.6 20.3 -11.2 7.4 Value
Zweig 1.90 11.9 16.7 -10.4 1.3 -0.3 0.4 20.9 -54.4 32.7 -24.2 -8.4 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Dogs of the Dow: Low Priced 5 1.57 -0.1 2.3 7.5 15.9 17.1 0.0 242.9 -82.9 27.6 -34.8 -0.7 3.0 34.5 15.7 13.1 17.3 Value
Est Rev: Down 5% 1.95 -6.3 -0.1 -15.6 -0.5 1.3 -0.2 105.7 -63.8 33.5 -30.5 -5.4 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Fisher (Philip) 2.21 0.5 3.8 13.8 5.1 -6.4 -2.2 50.4 -58.2 32.8 -27.9 -2.0 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Est Rev: Lowest 30 Down 2.33 -10.0 -0.6 -22.6 -2.5 0.0 -2.3 120.8 -71.0 43.0 -29.9 -5.5 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
MAGNET Complex 2.72 8.8 12.7 6.4 4.7 2.7 -5.6 -17.5 -55.9 63.0 -28.2 0.0 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Insider Net Purchases 1.87 -7.6 -1.0 -17.3 1.7 -3.4 -5.8 70.4 -65.5 27.8 -27.2 -1.4 -11.9 21.5 11.5 -31.4 7.4 Specialty
Muhlenkamp 1.59 -5.4 -1.0 -52.2 -28.8 -26.6 -13.4 -64.4 -49.0 21.0 -26.2 -10.1 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum