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 1/29/2016
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
Est Rev: Top 30 Up 1.83 15.7 23.2 -7.7 10.4 10.9 17.7 595.7 -37.8 36.4 -26.7 -13.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Est Rev: Up 5% 1.76 16.4 24.0 -13.8 2.8 9.0 17.3 432.5 -23.4 30.8 -21.7 -13.5 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Graham--Enterprising Investor Revised 1.75 14.1 19.9 -6.5 6.6 2.4 17.3 568.7 -49.9 36.4 -22.4 -13.1 41.9 2.1 -4.9 -4.1 32.9 Value
Driehaus 2.22 9.3 12.7 6.9 12.4 9.9 16.7 470.1 -53.4 51.3 -25.7 -9.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.2 18.5 -6.3 22.3 12.9 13.0 951.0 -62.8 51.2 -31.7 -12.2 12.4 97.8 1.1 -7.0 39.2 Value
Dreman With Est Revisions 1.35 13.0 15.3 -2.0 13.4 14.5 13.0 340.7 -39.9 21.4 -26.2 -8.8 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Stock Market Winners 1.43 15.9 20.0 11.1 17.7 16.3 12.9 526.7 -51.3 22.0 -23.4 -4.9 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 14.5 23.1 -41.2 2.4 8.8 12.7 991.3 -53.6 43.1 -42.0 -8.1 -0.3 137.6 91.7 -36.4 138.8 Value
O'Neil's CAN SLIM 1.92 14.6 22.0 -15.5 7.6 7.2 12.6 225.2 -10.1 69.6 -23.1 -8.3 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Buffett: Hagstrom 1.10 13.2 13.9 2.8 12.1 12.5 10.7 264.7 -39.8 13.2 -19.0 -0.8 9.6 35.4 13.0 8.2 27.7 Growth & Value
Lakonishok 1.20 11.9 13.0 -9.3 6.4 7.1 10.6 269.8 -32.5 16.6 -17.9 -7.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.9 17.0 33.7 16.2 10.2 231.0 -27.8 52.7 -26.7 -10.2 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.38 12.3 14.4 -6.2 -0.1 5.6 9.9 317.2 -52.1 25.8 -17.3 -2.5 -13.1 33.9 18.9 7.0 31.4 Value
NASDAQ 100 1.78 7.6 8.4 3.2 16.1 13.4 9.6 222.0 -50.1 25.0 -27.5 -6.8 17.9 35.0 16.8 2.7 19.2 Indexes
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 -2.7 15.4 12.8 9.4 346.4 -50.2 15.7 -23.1 -7.1 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.27 9.9 10.8 6.7 10.4 9.8 9.2 231.9 -41.9 16.5 -20.4 -1.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
Graham--Enterprising Investor 1.80 11.0 14.6 11.6 -1.6 -0.9 8.6 184.4 -50.3 33.1 -23.4 0.8 -20.6 9.6 1.1 -1.1 43.5 Value
P/E Relative 1.14 12.9 13.8 -19.2 0.3 3.4 8.6 244.4 -27.6 18.4 -18.3 -9.3 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: Small Cap Growth & Value 1.52 13.3 16.8 -4.7 8.2 11.4 8.5 194.0 -50.6 18.5 -18.2 -8.7 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Buffettology: EPS Growth 1.21 9.6 10.2 0.7 10.2 11.6 8.4 282.4 -48.4 15.1 -20.8 -4.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
Kirkpatrick Growth 2.11 10.0 13.9 -6.8 1.1 -4.1 8.2 108.7 -38.7 64.1 -23.1 -7.8 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
S&P 500 Growth (TR) 1.10 6.0 6.0 1.9 13.7 12.5 8.1 233.5 -44.4 10.8 -16.5 -5.0 14.9 35.5 14.6 4.7 15.0 Indexes
S&P SmallCap 600 Growth (TR) 1.31 8.3 8.8 -2.1 10.3 11.2 7.7 298.5 -51.1 17.0 -21.7 -6.4 3.9 42.6 14.9 4.1 28.0 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.0 11.0 -4.7 9.1 10.1 7.5 272.4 -47.7 19.0 -22.2 -5.8 7.6 32.8 15.8 -0.9 30.6 Indexes
Templeton 1.26 8.6 9.2 -17.0 4.5 9.5 7.5 267.6 -40.0 14.5 -23.1 -5.2 13.0 29.4 31.0 3.2 22.4 Growth & Value
Value on the Move--PEG With Hist Growth 1.05 13.2 13.6 3.6 13.6 10.5 7.2 236.2 -50.1 12.7 -19.1 -5.1 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.11 7.6 7.7 -9.1 7.3 8.7 6.5 269.2 -49.4 15.7 -21.8 -5.6 12.1 34.3 20.1 -2.4 22.8 Indexes
Weiss Blue Chip Div Yield 1.23 8.6 9.0 -13.6 -0.3 5.5 6.4 215.7 -43.1 16.0 -16.8 -4.2 5.4 21.3 19.2 7.6 26.9 Value
Inve$tWare Quality Growth 1.27 7.2 7.3 -4.7 14.0 11.4 6.4 256.9 -44.7 18.2 -22.0 -2.1 21.6 30.4 19.7 -9.4 17.3 Growth
Wanger (Revised) 1.43 8.1 8.7 -1.8 11.3 10.5 6.1 219.9 -51.3 22.8 -19.8 -3.0 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: Tiny Titans 1.91 15.3 23.2 -2.8 14.0 9.1 6.0 331.6 -67.3 37.4 -21.0 -5.2 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
T. Rowe Price 1.65 8.6 9.9 10.5 14.0 17.8 5.9 418.1 -62.5 33.5 -20.0 -5.9 4.4 28.5 -15.0 117.4 11.9 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.8 15.2 6.5 9.5 8.6 5.9 217.5 -61.6 23.5 -35.5 -5.8 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Kirkpatrick Bargain 1.37 6.5 6.5 -16.0 -5.1 1.0 5.8 109.7 -43.2 21.1 -21.7 -11.5 5.9 7.3 14.9 3.6 9.4 Growth & Value
S&P MidCap 400 1.19 7.7 7.9 -8.2 6.4 7.3 5.4 239.2 -50.5 14.8 -21.8 -5.8 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 1.26 7.0 7.1 -6.0 7.7 8.6 5.2 246.1 -52.2 17.3 -20.2 -6.2 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P 500 Value (TR) 1.00 5.3 5.3 -3.6 8.7 9.2 5.1 222.6 -56.0 11.3 -17.1 -4.9 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P SmallCap 600 Value (TR) 1.22 7.3 7.5 -7.3 6.7 8.3 5.1 241.7 -51.0 18.4 -19.6 -5.9 7.5 35.6 17.8 -1.2 24.7 Indexes
Neff 1.63 11.9 15.4 -26.2 0.3 1.3 4.9 392.4 -52.8 32.6 -21.7 -9.6 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Price-to-Sales 1.32 11.5 13.1 -10.1 2.0 4.3 4.9 252.6 -55.1 18.3 -20.6 -6.9 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Return on Equity 1.27 10.0 10.9 -5.6 3.5 4.8 4.8 200.3 -47.2 14.6 -22.2 -5.9 -8.8 34.2 10.1 -5.7 32.0 Growth
O'Shaughnessy: Growth 1.50 11.8 14.5 -11.6 4.3 7.2 4.5 219.5 -57.2 18.6 -17.9 -8.7 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Dividend (High Relative Yield) 0.98 7.6 7.6 -12.3 4.5 6.6 4.3 176.2 -40.4 12.5 -14.2 -5.6 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dow Jones 30 0.98 4.2 4.1 -4.1 5.9 6.7 4.2 155.0 -49.3 11.8 -15.1 -5.5 7.5 26.5 7.3 5.5 11.0 Indexes
S&P 500 1.00 3.9 3.9 -2.7 9.0 8.6 4.2 186.7 -52.6 10.8 -16.8 -5.1 11.4 29.6 13.4 0.0 12.8 Indexes
Graham--Defensive Investor (Utility) 0.98 6.9 6.9 1.6 2.2 3.6 3.6 50.7 -31.4 12.0 -13.7 -7.6 16.0 10.0 1.2 8.6 4.6 Value
Rule #1 Investing 1.90 7.3 8.1 -56.7 -2.1 1.5 3.5 745.9 -54.0 27.0 -28.5 -19.7 50.3 47.1 11.3 -1.0 40.0 Growth & Value
ADR Screen 1.47 7.3 7.6 -9.7 13.3 1.6 3.4 190.8 -68.7 31.1 -29.7 -6.1 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
All Exchange-Listed Stocks 1.37 8.0 8.6 -17.4 2.9 2.9 3.2 275.0 -58.6 23.9 -22.1 -9.1 5.0 38.1 14.8 -12.3 26.2 Indexes
Dogs of the Dow 1.21 1.9 2.7 -0.5 7.4 10.1 3.1 241.7 -69.0 17.1 -23.4 -2.4 6.8 27.9 9.6 10.7 19.4 Value
Dreman 1.25 8.8 9.4 -10.5 4.6 5.1 2.8 219.2 -55.0 23.9 -22.2 -8.0 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.2 6.3 -3.4 9.8 9.3 2.7 148.9 -50.5 13.6 -18.6 -6.1 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Cash Rich Firms 1.38 8.4 9.1 -11.2 4.5 -2.2 1.8 122.0 -45.6 17.6 -20.7 -6.4 2.5 36.6 10.5 -32.8 14.4 Value
Magic Formula 1.63 7.3 7.8 -17.2 -5.3 -8.5 1.6 144.4 -51.6 30.7 -22.4 -2.8 -16.5 27.9 7.9 -30.6 26.6 Value
Oberweis Octagon 1.92 8.5 10.4 -23.0 -6.5 0.5 1.4 224.5 -70.6 24.6 -23.2 -11.4 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dual Cash Flow 1.54 9.6 11.3 -22.2 0.3 -2.4 1.4 238.4 -61.0 34.7 -23.6 -9.1 -3.2 48.9 5.1 -21.6 31.0 Growth
Lynch 1.27 8.7 9.3 -20.1 -5.1 -8.1 1.3 145.5 -47.5 18.9 -21.3 -6.5 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
MAGNET Simple Revised 2.24 -3.9 1.8 6.2 6.4 -13.1 1.0 -12.6 -31.0 38.9 -27.1 0.0 -13.7 45.7 -25.0 -45.7 32.9
O'Shaughnessy: All Cap 1.42 7.8 8.3 -22.4 -7.6 -3.2 0.7 149.8 -52.1 18.4 -21.5 -10.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Fundamental Rule of Thumb 1.69 9.3 11.3 -10.6 -0.1 -7.6 0.7 144.9 -57.0 33.8 -19.2 -10.5 -11.6 46.1 -6.9 -35.2 17.7 Value
Dogs of the Dow: Low Priced 5 1.55 0.7 2.8 11.2 12.6 15.1 0.6 329.9 -82.9 27.6 -34.8 -1.1 3.0 34.5 15.7 13.1 17.3 Value
Kirkpatrick Value 2.18 7.4 8.5 -8.9 -6.7 0.1 0.4 -16.9 -23.3 49.0 -25.3 -8.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.96 8.8 13.2 -15.7 -22.4 -17.1 -0.2 363.3 -75.9 52.1 -34.0 -5.7 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Fisher (Philip) 2.21 1.2 4.1 9.8 11.0 -6.0 -0.8 125.2 -58.2 32.8 -27.9 -12.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
O'Shaughnessy: Value 1.34 3.2 4.0 -13.5 -2.2 1.2 -1.3 169.7 -69.1 22.0 -23.8 -5.6 -5.8 29.6 20.3 -11.2 7.4 Value
Schloss 1.93 7.3 8.0 -13.5 -9.7 -10.9 -1.6 48.4 -37.6 27.1 -40.4 -7.1 -5.9 16.7 13.1 -35.1 12.5 Value
Murphy Technology 2.74 -20.3 -3.3 -19.3 -0.8 -0.4 -2.3 183.7 -58.3 58.5 -44.9 -11.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Foolish Small Cap 8 2.33 7.7 9.4 -13.9 0.7 1.6 -2.3 259.4 -67.7 38.8 -25.9 -18.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Est Rev: Down 5% 1.94 -8.2 -1.1 -16.6 -6.1 -7.9 -3.7 165.2 -63.8 33.5 -30.5 -12.8 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Foolish Small Cap 8 Revised 2.36 7.7 9.4 -42.2 -17.3 -15.5 -3.8 204.7 -64.0 42.9 -40.5 -40.5 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
MAGNET Complex Revised 2.21 -3.3 2.1 16.0 -16.5 -15.9 -4.1 -64.9 -21.0 46.3 -25.1 0.0 -38.4 -5.7 -6.8 -32.5 -21.7
Zweig 1.90 11.1 15.3 -6.7 -4.0 -4.0 -4.3 53.9 -54.4 32.7 -24.2 -9.4 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Est Rev: Lowest 30 Down 2.31 -12.0 -1.5 -16.2 -8.3 -10.3 -5.1 196.0 -71.0 43.0 -29.9 -9.3 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Insider Net Purchases 1.90 -12.5 -3.5 -35.6 -13.9 -11.8 -9.7 114.5 -65.5 27.8 -27.2 -22.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Muhlenkamp 1.57 -3.8 -0.1 3.6 -23.0 -23.9 -14.2 -47.5 -49.0 21.0 -26.2 -5.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Complex 2.74 7.1 8.3 -45.8 -8.2 -5.5 -14.9 -21.6 -55.9 63.0 -28.2 -4.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum