Close

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 7/31/2014
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 1.53 -5.6 -1.4 -47.5 -34.5 -25.4 -11.8 -60.3 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
MAGNET Simple 2.99 9.6 15.9 -27.3 -21.4 5.5 11.9 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Kirkpatrick Value 2.21 8.3 10.5 -15.5 -9.8 -2.7 12.8 -14.3 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Kirkpatrick Growth 2.15 10.8 15.8 3.7 -9.0 5.8 16.5 108.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Foolish Small Cap 8 Revised 2.14 10.2 14.5 -2.1 -9.0 3.6 5.2 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.5 -17.7 -6.7 9.6 2.5 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Schloss 1.91 7.7 8.9 -26.6 -5.7 -5.1 2.3 9.3 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
Insider Net Purchases 1.87 -8.5 -1.5 -8.8 -5.7 -2.9 -4.7 92.2 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
MAGNET Complex 2.71 8.5 11.9 18.8 -3.9 -7.2 -3.8 -29.0 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.71 10.6 13.5 8.9 -2.6 2.7 9.5 114.2 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
Graham--Enterprising Investor Revised 1.74 15.1 21.5 10.8 1.6 14.6 25.1 289.1 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
Fisher (Philip) 2.20 2.5 4.7 24.3 1.7 -2.8 1.8 73.3 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Magic Formula 1.64 9.0 10.6 1.6 2.5 7.1 5.7 161.4 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Est Rev: Lowest 30 Down 2.33 -6.8 0.8 5.7 2.6 7.3 2.1 198.9 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Lynch 1.24 11.6 12.8 30.7 3.1 10.8 10.5 161.2 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Kirkpatrick Bargain 1.37 7.6 8.0 -2.2 3.2 10.0 14.7 111.6 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Est Rev: Down 5% 1.95 -4.5 0.8 5.0 4.0 6.5 3.2 158.4 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Graham--Enterprising Investor 1.75 12.6 17.2 6.1 4.4 13.7 15.7 166.0 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.1 11.8 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Zweig 1.84 12.9 18.4 6.3 5.7 2.8 4.7 62.4 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Graham--Defensive Investor (Utility) 0.92 7.9 7.8 0.3 6.4 7.3 7.6 76.7 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
O'Shaughnessy: All Cap 1.37 9.9 11.2 9.7 6.8 11.5 9.9 126.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Return on Equity 1.29 11.1 12.4 2.4 7.0 14.6 10.0 180.1 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Driehaus 2.24 9.1 12.4 -7.2 7.3 19.7 18.4 373.4 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.2 15.8 3.8 7.8 13.0 7.5 178.4 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Lakonishok 1.20 12.8 14.1 12.5 10.0 16.5 14.6 205.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.1 33.0 10.2 7.5 19.2 178.2 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Price-to-Sales 1.32 13.2 15.4 11.0 10.5 16.7 11.0 232.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Dual Cash Flow 1.53 11.9 14.7 19.3 10.6 14.5 9.1 214.7 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
Inve$tWare Quality Growth 1.26 7.0 7.1 17.3 10.7 15.3 8.5 158.2 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
Dow Jones 30 0.97 4.6 4.6 6.9 10.9 12.5 5.0 121.1 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 12.4 11.2 19.6 11.1 191.1 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Neff 1.63 14.0 18.7 6.1 12.0 19.0 11.5 305.7 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
O'Shaughnessy: Value 1.34 6.1 6.2 19.9 12.5 12.1 4.0 165.9 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 15.1 12.7 16.2 11.8 221.2 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
ADR Screen 1.48 8.6 9.6 59.3 12.9 12.8 9.8 177.4 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Dividend Screen: DRPs 1.10 8.7 8.9 16.2 13.2 14.0 6.2 180.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
S&P MidCap 400 1.20 8.5 8.9 11.3 13.2 16.9 9.0 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
O'Shaughnessy: Growth 1.51 13.3 16.7 7.7 13.5 19.6 11.9 204.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
All Exchange-Listed Stocks 1.38 9.7 10.9 19.0 13.6 16.6 8.8 236.3 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
Buffett: Hagstrom 1.11 13.9 14.7 10.6 13.9 19.3 12.8 208.3 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
P/E Relative 1.13 15.2 16.4 4.1 13.9 17.5 15.3 186.0 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
S&P 500 1.00 4.2 4.2 14.5 14.3 14.3 5.8 145.7 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
S&P SmallCap 600 1.27 7.6 8.0 9.7 14.4 16.9 8.7 207.0 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
Weiss Blue Chip Div Yield 1.22 10.3 11.1 15.9 14.5 18.7 10.5 203.3 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Oberweis Octagon 1.92 10.3 13.8 9.7 14.6 18.3 10.0 243.7 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Cash Rich Firms 1.37 10.2 11.6 34.5 14.7 8.8 6.5 113.2 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
S&P SmallCap 600 Growth (TR) 1.31 8.7 9.4 10.0 15.0 18.9 10.7 241.7 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
Dreman 1.25 10.1 11.0 8.0 15.4 13.7 8.3 138.9 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
IBD Stable 70 1.19 10.1 10.8 10.0 15.4 18.9 8.8 214.0 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: Small Cap Growth & Value 1.52 14.2 18.2 -4.2 15.6 18.3 14.1 169.6 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.22 8.2 8.6 8.4 15.6 17.1 9.2 205.4 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
Dividend Screen: Non-DRPs 0.91 13.7 13.0 14.8 15.6 16.3 8.9 199.5 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
S&P MidCap 400 Growth (TR) 1.31 10.6 11.9 11.1 15.9 18.7 11.1 220.6 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 25.5 16.0 15.8 7.2 137.3 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Dogs of the Dow 1.22 2.3 3.0 10.1 16.5 17.2 2.9 196.2 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 23.6 16.7 20.9 18.2 297.8 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
S&P 500 Growth (TR) 1.10 6.0 6.1 19.5 16.7 17.3 8.4 175.6 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 14.3 17.0 16.3 7.8 174.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
Buffettology: EPS Growth 1.22 10.2 11.1 15.5 17.1 19.1 11.5 253.3 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Value on the Move--PEG With Est Growth 1.33 16.3 19.6 13.4 17.2 20.9 15.2 236.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.4 17.5 47.3 17.4 15.3 9.3 132.1 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
S&P MidCap 400 Value (TR) 1.11 8.6 8.8 14.6 17.4 18.9 10.5 223.4 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
Est Rev: Up 5% 1.76 18.3 27.2 7.2 17.7 22.2 25.1 315.7 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
NASDAQ 100 1.81 7.7 8.6 26.0 18.1 19.4 10.8 175.0 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
Est Rev: Top 30 Up 1.83 17.0 25.7 16.2 18.1 24.4 25.7 427.8 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Wanger (Revised) 1.43 8.7 9.6 19.7 18.2 16.0 11.1 185.5 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Stock Market Winners 1.46 16.0 20.4 2.1 18.3 28.6 14.6 390.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.97 9.7 9.5 22.4 18.5 16.9 7.8 174.4 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Templeton 1.25 9.7 10.5 1.3 19.2 17.0 10.9 217.7 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
O'Shaughnessy: Tiny Titans 1.93 16.6 26.0 32.6 19.3 18.1 11.4 282.2 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.4 13.1 19.5 18.2 -0.2 247.0 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
Dreman With Est Revisions 1.36 13.6 16.2 22.3 21.5 21.9 16.7 283.1 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Price-to-Free-Cash-Flow 1.77 14.7 21.0 47.0 22.1 31.3 18.1 780.1 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
Murphy Technology 2.76 -12.8 -0.5 35.1 25.1 18.5 10.6 247.8 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Rule #1 Investing 1.81 10.9 14.5 56.2 29.3 33.9 14.5 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Piotroski: High F-Score 2.06 18.3 30.9 28.1 50.6 43.5 27.1 1,122.5 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 Value