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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 6/30/2014
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
Muhlenkamp 1.51 -3.9 -0.3 -31.6 -29.7 -21.4 -10.4 -60.3 -49.0 21.0 -26.2 -48.4 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
MAGNET Simple 2.98 9.9 16.8 -18.9 -17.0 11.6 14.7 324.4 -75.9 52.1 -34.0 -3.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Kirkpatrick Value 2.21 8.4 10.7 -5.6 -8.1 -2.4 13.3 -14.3 -23.3 49.0 -25.3 -11.6 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.3 14.7 0.0 -7.3 8.2 5.0 105.1 -64.0 28.1 -31.1 0.0 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.5 -4.1 -6.6 10.6 1.3 102.3 -67.7 38.8 -25.9 -32.9 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Kirkpatrick Growth 2.15 11.1 16.3 14.8 -5.3 12.7 16.9 108.9 -38.7 64.1 -23.1 3.7 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Schloss 1.91 8.0 9.4 -18.3 -3.9 -5.6 3.0 9.3 -37.6 27.1 -40.4 -23.4 16.7 13.1 -35.1 12.5 57.5 Value
MAGNET Complex 2.71 8.6 12.2 22.9 -2.8 -6.6 -3.5 -29.0 -55.9 63.0 -28.2 -7.5 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Insider Net Purchases 1.85 -6.1 -0.3 14.3 0.3 3.9 -4.0 92.2 -65.5 27.8 -27.2 -2.0 21.5 11.5 -31.4 7.4 59.0 Specialty
Fisher (Philip) 2.20 2.8 4.8 50.5 0.9 -1.3 0.9 73.3 -58.2 32.8 -27.9 11.4 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Est Rev: Lowest 30 Down 2.32 -5.7 1.3 24.1 1.8 13.4 1.5 198.9 -71.0 43.0 -29.9 1.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Magic Formula 1.64 9.2 10.9 11.8 2.5 10.5 5.2 161.4 -51.6 30.7 -22.4 -0.5 27.9 7.9 -30.6 26.6 97.0 Value
Est Rev: Down 5% 1.95 -3.6 1.3 22.4 2.8 11.8 2.6 158.4 -63.8 33.5 -30.5 2.7 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Graham--Enterprising Investor Revised 1.74 15.1 21.4 8.0 2.9 17.8 24.7 289.1 -49.9 36.4 -22.4 15.1 2.1 -4.9 -4.1 32.9 168.4 Value
Fundamental Rule of Thumb 1.70 11.1 14.3 32.8 3.6 6.6 9.7 114.2 -57.0 33.8 -19.2 2.6 46.1 -6.9 -35.2 17.7 92.1 Value
Kirkpatrick Bargain 1.37 7.8 8.3 6.9 4.6 13.8 15.1 111.6 -43.2 21.1 -21.7 2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Graham--Enterprising Investor 1.75 12.7 17.4 18.8 4.7 16.0 15.5 166.0 -50.3 33.1 -23.4 3.5 9.6 1.1 -1.1 43.5 48.5 Value
Lynch 1.23 12.2 13.4 44.6 6.6 14.5 11.3 161.2 -47.5 18.9 -21.3 19.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Return on Equity 1.28 11.4 12.8 17.5 8.2 17.4 9.8 180.1 -47.2 14.6 -22.2 -4.1 34.2 10.1 -5.7 32.0 40.0 Growth
O'Shaughnessy: All Cap 1.37 10.1 11.5 19.2 8.3 14.0 10.1 126.1 -52.1 18.4 -21.5 1.8 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Driehaus 2.24 9.4 13.0 9.3 8.6 30.4 17.5 373.4 -53.4 51.3 -25.7 -8.7 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.0 10.6 8.8 16.9 7.4 178.4 -61.6 23.5 -35.5 -3.6 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Graham--Defensive Investor (Utility) 0.91 8.6 8.4 15.1 9.1 10.1 8.6 76.7 -31.4 12.0 -13.4 14.7 10.0 1.2 8.6 4.6 7.9 Value
Zweig 1.83 13.6 19.4 32.3 9.7 6.0 5.9 62.4 -54.4 32.7 -24.2 5.1 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Lakonishok 1.20 13.2 14.5 26.2 10.3 20.5 15.1 205.2 -32.5 16.6 -17.9 4.2 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.0 7.2 23.3 10.4 16.8 7.6 158.2 -44.7 18.2 -22.0 2.8 30.4 19.7 -9.4 17.3 39.6 Growth
Dow Jones 30 0.97 4.7 4.7 12.9 10.7 14.8 4.9 121.1 -49.3 11.8 -15.1 1.5 26.5 7.3 5.5 11.0 18.8 Indexes
ADR Screen 1.48 8.6 9.7 73.8 10.9 15.2 9.5 177.4 -68.7 31.1 -29.7 34.2 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dual Cash Flow 1.53 12.2 15.2 35.8 11.0 18.2 8.5 214.7 -61.0 34.7 -23.6 8.5 48.9 5.1 -21.6 31.0 76.0 Growth
O'Neil's CAN SLIM 1.91 16.2 25.1 36.0 11.9 10.4 18.8 178.2 -10.1 69.6 -23.1 30.1 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
O'Shaughnessy: Value 1.34 6.3 6.3 27.9 12.0 14.3 4.0 165.9 -69.1 22.0 -23.8 4.5 29.6 20.3 -11.2 7.4 31.5 Value
Value on the Move--PEG With Hist Growth 1.05 14.3 14.7 27.5 12.0 22.2 11.4 191.1 -50.1 12.7 -19.1 0.5 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
P/E Relative 1.13 15.4 16.6 13.2 12.0 19.8 15.3 186.0 -27.6 18.4 -18.3 2.0 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Neff 1.63 14.4 19.3 21.1 12.0 22.6 11.5 305.7 -52.8 32.6 -21.7 2.9 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Price-to-Sales 1.32 13.7 16.0 29.8 12.5 20.4 10.9 232.5 -55.1 18.3 -20.6 3.6 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Dividend Screen: DRPs 1.10 8.8 9.1 26.2 12.6 16.8 6.1 180.7 -50.4 20.5 -18.2 6.3 26.1 10.9 1.9 19.8 29.4 Growth & Value
T. Rowe Price 1.67 8.6 10.0 0.0 13.4 24.0 10.8 330.5 -62.5 33.5 -20.0 0.0 28.5 -15.0 117.4 11.9 40.1 Growth & Value
S&P MidCap 400 1.19 8.8 9.2 23.4 13.5 20.1 9.0 193.0 -50.5 14.8 -21.8 6.7 31.6 16.1 -3.1 24.9 35.0 Indexes
O'Shaughnessy: Growth 1.51 13.6 17.2 25.8 13.6 21.7 12.1 204.7 -57.2 18.6 -17.9 4.0 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Dreman 1.25 10.2 11.1 16.3 13.7 15.4 8.2 138.9 -55.0 23.9 -22.2 5.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Buffettology: Sustainable Growth 1.28 10.6 11.7 23.0 13.9 19.6 11.2 221.2 -41.9 16.5 -20.4 2.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
S&P 500 1.00 4.4 4.4 22.0 14.1 16.4 5.6 145.7 -52.6 10.8 -16.8 6.1 29.6 13.4 0.0 12.8 23.5 Indexes
All Exchange-Listed Stocks 1.38 9.9 11.2 32.8 14.3 19.7 8.6 236.3 -58.6 23.9 -22.1 10.2 38.1 14.8 -12.3 26.2 65.8 Indexes
Weiss Blue Chip Div Yield 1.21 10.5 11.4 26.6 14.6 21.0 10.6 203.3 -43.1 16.0 -16.8 7.3 21.3 19.2 7.6 26.9 27.9 Value
Dogs of the Dow 1.22 2.3 3.1 13.5 15.0 19.7 2.8 196.2 -69.0 17.1 -23.4 5.1 27.9 9.6 10.7 19.4 8.1 Value
Buffett: Hagstrom 1.11 14.0 14.9 20.1 15.0 21.1 13.4 208.3 -39.8 13.2 -19.0 2.2 35.4 13.0 8.2 27.7 30.0 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 7.6 7.8 37.0 15.3 18.0 6.7 137.3 -50.5 13.6 -18.6 1.0 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
S&P SmallCap 600 1.27 8.0 8.4 24.0 15.4 20.5 8.7 207.0 -52.2 17.3 -20.2 2.6 39.7 14.8 -0.2 25.0 23.8 Indexes
Oberweis Octagon 1.91 10.6 14.3 25.4 15.8 24.2 10.7 243.7 -70.6 24.6 -23.2 1.2 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Dividend Screen: Non-DRPs 0.91 13.9 13.2 24.6 16.0 18.1 9.0 199.5 -48.1 17.6 -15.3 7.3 22.2 18.1 4.3 25.3 25.4 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 25.5 16.0 23.0 10.7 241.7 -51.1 17.0 -21.7 1.9 42.6 14.9 4.1 28.0 30.7 Indexes
Cash Rich Firms 1.37 10.4 11.9 48.1 16.1 11.7 5.9 113.2 -45.6 17.6 -20.7 16.4 36.6 10.5 -32.8 14.4 56.9 Value
S&P 500 Value (TR) 1.00 6.0 6.0 22.0 16.2 18.5 7.7 174.9 -56.0 11.3 -17.1 7.0 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.5 8.9 21.5 16.6 20.4 9.1 205.4 -51.0 18.4 -19.6 4.5 35.6 17.8 -1.2 24.7 20.6 Indexes
IBD Stable 70 1.19 10.3 11.0 19.5 16.6 22.2 8.9 214.0 -50.6 18.4 -21.9 -3.9 34.3 24.6 3.7 21.2 56.0 Growth
S&P MidCap 400 Growth (TR) 1.30 10.9 12.3 25.6 16.8 22.0 11.2 220.6 -47.7 19.0 -22.2 5.1 32.8 15.8 -0.9 30.6 38.1 Indexes
S&P 500 Growth (TR) 1.10 6.2 6.2 27.1 16.9 19.2 8.1 175.6 -44.4 10.8 -16.5 7.3 35.5 14.6 4.7 15.0 31.6 Indexes
Value on the Move--PEG With Est Growth 1.33 16.6 19.9 34.0 17.4 23.6 15.4 236.0 -50.2 15.7 -23.1 3.7 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Est Rev: Up 5% 1.76 18.6 27.7 23.7 17.6 26.2 25.6 315.7 -23.4 30.8 -21.7 2.2 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
S&P MidCap 400 Value (TR) 1.11 8.9 9.2 27.4 17.6 22.2 10.5 223.4 -49.4 15.7 -21.8 10.0 34.3 20.1 -2.4 22.8 33.7 Indexes
Graham--Defensive Investor (Non-Utility) 1.37 14.7 17.7 29.7 17.6 23.9 17.8 297.8 -52.1 25.8 -17.3 1.2 33.9 18.9 7.0 31.4 57.9 Value
Buffettology: EPS Growth 1.22 10.4 11.3 24.3 18.2 22.2 10.9 253.3 -48.4 15.1 -20.8 2.6 38.4 17.4 3.8 20.5 57.5 Growth & Value
NASDAQ 100 1.81 7.6 8.6 33.1 18.3 21.1 9.8 175.0 -50.1 25.0 -27.5 7.2 35.0 16.8 2.7 19.2 53.5 Indexes
Dogs of the Dow: Low Priced 5 1.58 0.1 2.4 16.4 18.4 20.9 0.0 247.0 -82.9 27.6 -34.8 3.5 34.5 15.7 13.1 17.3 -7.7 Value
Dividend (High Relative Yield) 0.96 10.0 9.8 37.3 18.5 19.5 8.0 174.4 -40.4 12.5 -14.2 8.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.51 14.7 19.0 15.0 18.6 21.8 14.8 169.6 -50.6 18.5 -18.2 -3.7 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Wanger (Revised) 1.43 9.0 10.1 36.2 19.5 19.1 11.2 185.5 -51.3 22.8 -19.8 3.6 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Dreman With Est Revisions 1.35 14.0 16.7 34.5 19.7 25.2 17.6 283.1 -39.9 21.4 -26.2 8.2 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Est Rev: Top 30 Up 1.83 17.3 26.3 31.6 20.4 29.1 26.4 427.8 -37.8 36.4 -26.7 7.7 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.6 72.1 20.5 18.3 8.5 132.1 -27.8 52.7 -26.7 19.7 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 17.0 26.7 42.0 21.5 22.2 11.5 282.2 -67.3 37.4 -21.0 24.7 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Murphy Technology 2.76 -12.6 -0.4 45.8 21.9 20.9 9.4 247.8 -58.3 58.5 -44.9 26.1 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Stock Market Winners 1.46 16.2 20.7 10.7 22.2 32.9 15.5 390.2 -51.3 22.0 -23.4 3.5 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.77 14.8 21.3 69.6 22.6 37.7 18.3 780.1 -62.8 51.2 -31.7 11.8 97.8 1.1 -7.0 39.2 147.2 Value
Templeton 1.24 10.4 11.3 17.2 24.4 21.7 11.6 217.7 -40.0 14.5 -23.1 8.2 29.4 31.0 3.2 22.4 54.7 Growth & Value
Rule #1 Investing 1.81 11.0 14.7 80.6 31.9 37.9 14.6 593.4 -54.0 27.0 -26.8 54.5 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Piotroski: High F-Score 2.06 18.6 31.4 44.3 54.9 46.8 27.3 1,122.5 -53.6 43.1 -42.0 14.9 137.6 91.7 -36.4 138.8 34.6 Value