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 6/30/2016
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 2.75 6.7 7.0 -53.7 -13.7 -13.7 -12.8 -61.2 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Insider Net Purchases 1.91 -11.7 -3.0 -36.2 -11.1 -9.1 -8.3 23.5 -65.5 27.8 -27.2 -16.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Schloss 1.93 7.0 7.5 -24.6 -10.9 -5.2 -1.9 8.3 -37.6 27.1 -40.4 -11.7 -5.9 16.7 13.1 -35.1 12.5 Value
Muhlenkamp 1.57 -3.2 0.3 -8.1 -8.6 -17.3 -13.3 -50.9 -49.0 21.0 -26.2 0.6 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Rule #1 Investing 1.89 7.3 7.9 -56.0 -8.4 -0.4 3.8 234.2 -54.0 27.0 -28.5 -18.9 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.38 8.4 11.1 -52.0 -8.1 -9.1 -1.2 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Kirkpatrick Value 2.18 7.3 8.3 -16.3 -8.0 -8.5 0.3 -30.5 -23.3 49.0 -25.3 -8.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.96 9.2 14.6 28.4 -8.0 -11.3 0.5 436.6 -75.9 52.1 -34.0 23.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 14.7 23.5 -26.3 -7.2 15.6 14.9 661.2 -53.6 43.1 -42.0 7.4 -0.3 137.6 91.7 -36.4 138.8 Value
Murphy Technology 2.73 -20.3 -3.3 -9.2 -5.7 0.8 -0.5 111.5 -58.3 58.5 -44.9 -13.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Magic Formula 1.63 7.5 8.1 -7.0 -4.8 -3.7 2.8 117.6 -51.6 30.7 -22.4 5.8 -16.5 27.9 7.9 -30.6 26.6 Value
MAGNET Complex Revised 2.20 -3.7 1.9 7.9 -4.6 -13.9 -6.6 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Neff 1.63 11.8 15.2 -28.7 -3.5 0.8 5.4 240.7 -52.8 32.6 -21.7 -7.2 5.1 39.5 15.0 -4.2 35.0 Growth & Value
MAGNET Simple Revised 2.30 -8.6 -0.1 -31.3 -3.1 -14.5 -3.6 -37.1 -31.0 38.9 -35.9 -28.9 -13.7 45.7 -25.0 -45.7 32.9
Kirkpatrick Bargain 1.37 6.6 6.6 -14.4 -2.0 0.1 6.7 92.7 -43.2 21.1 -21.7 -7.4 5.9 7.3 14.9 3.6 9.4 Growth & Value
Lynch 1.27 9.1 9.8 -16.3 0.5 -3.2 2.5 98.2 -47.5 18.9 -21.3 6.2 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
O'Shaughnessy: Value 1.34 3.8 4.5 -7.5 1.4 2.8 -0.4 143.8 -69.1 22.0 -23.8 3.4 -5.8 29.6 20.3 -11.2 7.4 Value
Dual Cash Flow 1.55 10.0 11.8 -12.9 1.6 1.1 2.5 184.3 -61.0 34.7 -23.6 4.6 -3.2 48.9 5.1 -21.6 31.0 Growth
Templeton 1.26 8.8 9.4 -10.9 1.8 11.6 8.7 220.6 -40.0 14.5 -23.1 1.4 13.0 29.4 31.0 3.2 22.4 Growth & Value
Est Rev: Down 5% 1.95 -5.5 0.4 -4.1 1.8 -1.3 -0.9 151.3 -63.8 33.5 -30.5 13.1 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Zweig 1.91 11.4 15.8 -11.9 2.1 1.2 -2.1 30.6 -54.4 32.7 -24.2 5.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 12.3 14.4 -9.6 2.3 6.1 10.6 270.3 -52.1 25.8 -17.3 3.4 -13.1 33.9 18.9 7.0 31.4 Value
P/E Relative 1.14 13.4 14.4 -9.7 2.6 6.0 9.7 204.3 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: All Cap 1.45 8.7 9.7 -8.1 3.1 3.2 2.8 127.6 -52.1 18.4 -21.5 17.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Kirkpatrick Growth 2.10 10.1 14.1 -0.9 3.2 -4.0 9.3 109.2 -38.7 64.1 -23.1 1.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Est Rev: Lowest 30 Down 2.33 -7.4 0.5 7.4 3.6 -1.1 -1.6 212.8 -71.0 43.0 -29.9 31.5 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Dreman 1.25 9.1 9.7 -5.3 4.3 7.5 3.4 189.1 -55.0 23.9 -22.2 1.6 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Cash Rich Firms 1.38 8.3 9.0 -19.9 4.5 3.8 1.7 80.9 -45.6 17.6 -20.7 -5.2 2.5 36.6 10.5 -32.8 14.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.52 13.2 16.7 -3.9 4.6 10.7 9.1 183.4 -50.6 18.5 -18.2 -3.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Fundamental Rule of Thumb 1.69 9.6 11.8 -13.2 4.9 -0.7 2.0 116.3 -57.0 33.8 -19.2 2.6 -11.6 46.1 -6.9 -35.2 17.7 Value
All Exchange-Listed Stocks 1.37 8.4 9.1 -11.8 5.0 5.4 4.6 227.2 -58.6 23.9 -22.1 3.5 5.0 38.1 14.8 -12.3 26.2 Indexes
Return on Equity 1.27 10.3 11.3 -2.0 5.2 4.6 6.3 193.7 -47.2 14.6 -22.2 4.0 -8.8 34.2 10.1 -5.7 32.0 Growth
Dow Jones 30 0.98 4.6 4.5 1.8 6.3 7.6 4.9 153.9 -49.3 11.8 -15.1 2.9 7.5 26.5 7.3 5.5 11.0 Indexes
Graham--Defensive Investor (Utility) 1.02 7.9 7.9 40.0 7.4 6.9 5.1 96.6 -31.4 12.2 -13.7 12.2 16.0 10.0 1.2 8.6 4.6 Value
O'Shaughnessy: Growth 1.50 12.3 15.1 0.4 7.5 7.7 6.5 218.9 -57.2 18.6 -17.9 6.9 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
O'Neil's CAN SLIM 1.92 14.4 21.6 -22.2 7.8 5.3 13.5 156.3 -10.1 69.6 -23.1 -7.0 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.75 14.1 19.8 -10.8 7.9 4.8 18.7 485.4 -49.9 36.4 -22.4 -6.8 41.9 2.1 -4.9 -4.1 32.9 Value
Oberweis Octagon 1.94 9.7 12.6 9.6 7.9 9.2 5.0 264.1 -70.6 24.6 -23.2 33.1 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.98 8.3 8.2 -0.4 8.1 8.9 5.7 169.6 -40.4 12.5 -14.2 9.2 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P SmallCap 600 Value (TR) 1.22 7.9 8.2 0.7 8.3 10.6 6.6 245.7 -51.0 18.4 -19.6 8.8 7.5 35.6 17.8 -1.2 24.7 Indexes
O'Neil's CAN SLIM No Float 1.38 12.8 15.1 -0.5 8.7 8.4 6.9 223.1 -61.6 23.5 -35.5 -1.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Weiss Blue Chip Div Yield 1.25 9.5 10.2 9.8 8.8 8.9 8.7 232.3 -43.1 16.0 -16.8 21.0 5.4 21.3 19.2 7.6 26.9 Value
S&P SmallCap 600 1.26 7.4 7.6 -1.5 8.8 9.8 6.5 243.9 -52.2 17.3 -20.2 5.5 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.1 8.5 -0.4 8.8 8.9 6.9 233.0 -50.5 14.8 -21.8 7.0 8.2 31.6 16.1 -3.1 24.9 Indexes
Buffettology: EPS Growth 1.21 9.6 10.2 -0.9 8.8 11.3 9.0 286.2 -48.4 15.1 -20.8 -0.8 4.4 38.4 17.4 3.8 20.5 Growth & Value
Buffettology: Sustainable Growth 1.27 9.8 10.8 5.9 9.2 9.4 9.5 261.8 -41.9 16.5 -20.4 1.7 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P 500 1.00 4.3 4.3 1.7 9.3 9.7 5.2 185.5 -52.6 10.8 -16.8 2.7 11.4 29.6 13.4 0.0 12.8 Indexes
Dogs of the Dow 1.21 2.9 3.5 16.4 9.4 11.9 4.2 285.6 -69.0 17.1 -23.4 15.1 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 Value (TR) 1.00 5.8 5.8 3.4 9.7 11.2 5.9 226.9 -56.0 11.3 -17.1 6.2 12.5 33.7 17.7 -0.5 15.1 Indexes
O'Shaughnessy: Tiny Titans 1.90 15.2 23.0 -2.6 10.0 11.0 6.6 307.0 -67.3 37.4 -21.0 0.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Buffett: Hagstrom 1.10 13.1 13.8 1.3 10.0 11.0 11.1 269.2 -39.8 13.2 -19.0 3.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 1.3 10.1 11.2 8.1 267.4 -49.4 15.7 -21.8 10.3 12.1 34.3 20.1 -2.4 22.8 Indexes
Stock Market Winners 1.43 15.6 19.5 0.8 10.3 17.3 13.5 542.2 -51.3 22.0 -23.4 -4.1 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.29 10.3 11.5 0.0 10.3 11.2 9.3 276.1 -47.7 19.0 -22.2 5.7 7.6 32.8 15.8 -0.9 30.6 Indexes
Price-to-Sales 1.33 12.5 14.4 9.0 10.7 8.3 7.7 283.0 -55.1 18.3 -20.6 21.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Value on the Move--PEG With Hist Growth 1.05 13.1 13.4 -2.7 10.8 8.5 7.8 229.5 -50.1 12.7 -19.1 -2.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.30 8.6 9.2 -0.6 11.0 11.2 9.0 302.3 -51.1 17.0 -21.7 3.9 3.9 42.6 14.9 4.1 28.0 Indexes
O'Shaughnessy: Growth Market Leaders 1.24 6.6 6.6 2.8 11.2 9.1 3.8 154.4 -50.5 13.6 -18.6 2.1 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.2 -3.5 11.7 12.9 19.6 425.2 -23.4 30.8 -21.7 14.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Lakonishok 1.20 12.4 13.5 -3.7 12.3 8.5 11.9 263.0 -32.5 16.6 -17.9 6.5 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Fisher (Philip) 2.21 0.9 4.0 -18.5 12.4 -0.6 0.3 89.9 -58.2 32.8 -27.9 -13.1 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Value on the Move--PEG With Est Growth 1.34 15.1 18.0 -13.8 12.8 11.6 9.9 281.6 -50.2 15.7 -23.1 -0.7 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Wanger (Revised) 1.43 8.5 9.3 6.4 13.1 12.7 8.2 229.5 -51.3 22.8 -19.8 11.0 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P 500 Growth (TR) 1.10 6.3 6.3 4.3 13.4 12.9 9.1 241.1 -44.4 10.8 -16.5 1.5 14.9 35.5 14.6 4.7 15.0 Indexes
Dogs of the Dow: Low Priced 5 1.55 1.7 3.4 20.9 13.4 15.7 1.2 403.1 -82.9 27.6 -34.8 12.6 3.0 34.5 15.7 13.1 17.3 Value
T. Rowe Price 1.66 9.3 11.1 39.9 13.5 16.3 10.0 625.1 -62.5 33.5 -20.0 19.2 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Inve$tWare Quality Growth 1.27 7.3 7.5 -6.0 14.2 10.2 7.2 239.3 -44.7 18.2 -22.0 3.3 21.6 30.4 19.7 -9.4 17.3 Growth
Dreman With Est Revisions 1.35 13.1 15.4 6.3 14.3 13.8 13.2 362.3 -39.9 21.4 -26.2 -0.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Est Rev: Top 30 Up 1.82 16.1 24.1 -0.9 14.5 14.8 19.8 595.3 -37.8 36.4 -26.7 7.3 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.22 9.7 13.5 16.3 14.6 12.0 18.4 608.2 -53.4 51.3 -25.7 8.1 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
NASDAQ 100 1.78 7.6 8.4 0.5 15.2 13.7 10.9 215.6 -50.1 25.0 -27.5 -3.8 17.9 35.0 16.8 2.7 19.2 Indexes
Foolish Small Cap 8 2.37 8.5 11.3 -14.2 16.3 6.0 2.3 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
ADR Screen 1.47 7.8 8.4 0.1 19.0 5.8 4.6 196.7 -68.7 31.1 -29.7 9.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.7 19.3 3.8 22.6 14.9 15.1 998.1 -62.8 51.2 -31.7 7.6 12.4 97.8 1.1 -7.0 39.2 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.2 17.2 -15.6 29.8 17.4 10.8 195.4 -27.8 52.7 -26.7 -14.0 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum