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 8/31/2016
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
T. Rowe Price 1.68 10.1 12.5 80.6 23.5 15.5 12.5 835.7 -62.5 33.5 -20.0 53.8 4.4 28.5 -15.0 117.4 11.9 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.2 17.1 -19.4 21.6 17.8 11.6 198.8 -27.8 52.7 -26.7 -13.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.9 19.6 11.4 19.7 21.7 16.5 1,086.8 -62.8 51.2 -31.7 16.3 12.4 97.8 1.1 -7.0 39.2 Value
ADR Screen 1.48 8.1 8.9 15.3 19.5 10.3 4.9 229.1 -68.7 31.1 -29.7 21.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.90 15.4 23.3 14.1 16.0 17.1 7.5 340.3 -67.3 37.4 -21.0 8.6 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
NASDAQ 100 1.78 7.8 8.8 11.6 15.8 16.3 11.7 240.8 -50.1 25.0 -27.5 3.9 17.9 35.0 16.8 2.7 19.2 Indexes
Fisher (Philip) 2.23 4.4 5.6 32.9 15.5 10.4 4.1 153.5 -58.2 32.8 -27.9 16.0 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Dreman With Est Revisions 1.36 13.1 15.5 5.3 15.3 18.7 14.0 377.8 -39.9 21.4 -26.2 2.4 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Driehaus 2.22 9.8 13.9 27.5 15.1 17.6 18.9 670.4 -53.4 51.3 -25.7 17.5 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Stock Market Winners 1.43 16.1 20.2 15.3 15.0 17.3 14.7 639.9 -51.3 22.0 -23.4 10.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Wanger (Revised) 1.43 8.8 9.8 24.8 14.7 17.5 9.3 259.6 -51.3 22.8 -19.8 21.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Est Rev: Top 30 Up 1.82 16.1 24.0 13.7 14.6 17.7 20.2 616.4 -37.8 36.4 -26.7 10.6 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Dogs of the Dow: Low Priced 5 1.55 1.7 3.4 25.6 14.5 18.1 0.6 407.6 -82.9 27.6 -34.8 13.6 3.0 34.5 15.7 13.1 17.3 Value
S&P 500 Growth (TR) 1.10 6.5 6.5 11.8 14.0 15.1 9.2 255.9 -44.4 10.8 -16.5 6.0 14.9 35.5 14.6 4.7 15.0 Indexes
Lakonishok 1.20 12.6 13.7 9.5 13.1 12.5 12.6 284.9 -32.5 16.6 -17.9 13.0 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Foolish Small Cap 8 2.37 8.5 11.2 -15.6 11.5 9.9 3.0 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
S&P SmallCap 600 Growth (TR) 1.30 8.8 9.5 11.4 11.3 15.3 10.1 329.1 -51.1 17.0 -21.7 10.9 3.9 42.6 14.9 4.1 28.0 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.5 11.7 13.3 11.1 15.2 10.3 300.6 -47.7 19.0 -22.2 11.1 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 13.3 10.9 14.9 8.7 283.9 -49.4 15.7 -21.8 15.2 12.1 34.3 20.1 -2.4 22.8 Indexes
Est Rev: Up 5% 1.76 17.1 25.1 11.8 10.8 16.7 19.6 436.8 -23.4 30.8 -21.7 16.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Inve$tWare Quality Growth 1.27 7.2 7.3 -9.3 10.8 12.3 7.7 235.8 -44.7 18.2 -22.0 2.2 21.6 30.4 19.7 -9.4 17.3 Growth
Dogs of the Dow 1.21 3.0 3.6 25.6 10.4 13.8 3.7 292.5 -69.0 17.1 -23.4 17.2 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 Value (TR) 1.00 5.9 5.9 13.2 10.4 14.2 6.0 237.8 -56.0 11.3 -17.1 9.8 12.5 33.7 17.7 -0.5 15.1 Indexes
Buffett: Hagstrom 1.10 13.2 13.9 7.3 10.1 12.4 11.8 284.3 -39.8 13.2 -19.0 7.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.24 6.5 6.5 11.3 10.1 11.8 4.4 152.4 -50.5 13.6 -18.6 1.3 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 0.5 10.0 14.6 10.8 294.5 -50.2 15.7 -23.1 2.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
S&P 500 1.00 4.4 4.4 10.1 9.9 12.2 5.2 195.3 -52.6 10.8 -16.8 6.2 11.4 29.6 13.4 0.0 12.8 Indexes
S&P MidCap 400 1.19 8.3 8.6 10.4 9.7 12.3 7.6 248.2 -50.5 14.8 -21.8 11.9 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 1.26 7.6 7.9 11.6 9.6 13.7 7.4 265.6 -52.2 17.3 -20.2 12.1 4.4 39.7 14.8 -0.2 25.0 Indexes
Price-to-Sales 1.33 12.5 14.5 24.2 9.6 11.5 8.5 297.6 -55.1 18.3 -20.6 25.9 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 15.4 9.5 14.4 7.4 267.7 -51.0 18.4 -19.6 15.7 7.5 35.6 17.8 -1.2 24.7 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.1 13.5 5.9 9.3 10.8 8.6 240.1 -50.1 12.7 -19.1 0.3 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.27 10.0 10.9 12.2 9.1 10.7 10.5 279.1 -41.9 16.5 -20.4 6.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 28.7 8.9 7.9 4.7 101.0 -31.4 12.2 -13.7 14.7 16.0 10.0 1.2 8.6 4.6 Value
O'Neil's CAN SLIM 1.92 14.4 21.6 -16.1 8.9 9.7 14.2 165.8 -10.1 69.6 -23.1 -3.6 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Dividend (High Relative Yield) 0.98 8.7 8.6 12.3 8.9 12.3 6.5 192.6 -40.4 12.5 -14.2 18.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
Buffettology: EPS Growth 1.21 9.7 10.4 7.7 8.7 12.6 10.0 306.2 -48.4 15.1 -20.8 4.3 4.4 38.4 17.4 3.8 20.5 Growth & Value
O'Shaughnessy: Growth 1.50 12.4 15.3 10.7 8.6 12.7 7.6 235.3 -57.2 18.6 -17.9 12.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 13.8 19.4 -12.8 8.0 3.1 19.2 459.8 -49.9 36.4 -22.4 -10.9 41.9 2.1 -4.9 -4.1 32.9 Value
Dow Jones 30 0.98 4.7 4.6 11.3 7.5 9.6 4.9 160.5 -49.3 11.8 -15.1 5.6 7.5 26.5 7.3 5.5 11.0 Indexes
O'Neil's CAN SLIM No Float 1.38 12.8 15.1 8.9 7.4 10.4 7.3 231.0 -61.6 23.5 -35.5 0.9 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Dreman 1.25 9.4 10.1 8.2 6.7 12.1 4.3 211.4 -55.0 23.9 -22.2 9.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Kirkpatrick Growth 2.10 10.3 14.5 12.4 6.7 -3.5 11.3 125.8 -38.7 64.1 -23.1 9.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Fundamental Rule of Thumb 1.70 10.0 12.4 7.2 6.6 3.7 3.3 142.4 -57.0 33.8 -19.2 14.9 -11.6 46.1 -6.9 -35.2 17.7 Value
Oberweis Octagon 1.94 9.6 12.5 19.7 6.3 13.3 5.1 261.8 -70.6 24.6 -23.2 32.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
O'Shaughnessy: All Cap 1.46 8.9 10.0 12.9 6.1 6.4 4.2 142.6 -52.1 18.4 -21.5 25.0 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
All Exchange-Listed Stocks 1.37 8.7 9.5 3.4 5.9 9.4 5.4 251.5 -58.6 23.9 -22.1 11.2 5.0 38.1 14.8 -12.3 26.2 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.52 13.2 16.8 -0.7 5.5 14.0 9.4 194.1 -50.6 18.5 -18.2 -0.1 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Return on Equity 1.27 10.4 11.5 11.5 5.1 7.8 7.4 211.1 -47.2 14.6 -22.2 10.1 -8.8 34.2 10.1 -5.7 32.0 Growth
Weiss Blue Chip Div Yield 1.25 9.0 9.7 1.4 4.9 9.1 7.9 208.9 -43.1 16.0 -16.8 12.5 5.4 21.3 19.2 7.6 26.9 Value
Est Rev: Lowest 30 Down 2.33 -6.7 0.8 33.3 4.5 5.2 -1.6 231.0 -71.0 43.0 -29.9 39.1 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
P/E Relative 1.14 13.7 14.7 12.0 4.4 10.7 11.0 229.8 -27.6 18.4 -18.3 13.3 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Est Rev: Down 5% 1.95 -4.9 0.6 17.4 2.3 4.4 -0.7 165.5 -63.8 33.5 -30.5 19.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Templeton 1.26 9.0 9.7 3.9 1.9 13.3 9.6 241.3 -40.0 14.5 -23.1 8.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: Value 1.34 4.0 4.7 6.3 1.9 6.3 -0.4 154.8 -69.1 22.0 -23.8 8.1 -5.8 29.6 20.3 -11.2 7.4 Value
Cash Rich Firms 1.38 8.4 9.1 -7.7 1.8 6.4 2.2 89.4 -45.6 17.6 -20.7 -0.7 2.5 36.6 10.5 -32.8 14.4 Value
Lynch 1.27 9.2 10.0 -2.0 1.2 -0.2 3.8 108.3 -47.5 18.9 -21.3 11.6 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Dual Cash Flow 1.55 10.1 12.0 6.3 1.0 5.0 3.1 198.5 -61.0 34.7 -23.6 9.8 -3.2 48.9 5.1 -21.6 31.0 Growth
Graham--Defensive Investor (Non-Utility) 1.38 12.5 14.8 5.8 0.6 8.7 11.1 298.6 -52.1 25.8 -17.3 11.3 -13.1 33.9 18.9 7.0 31.4 Value
Zweig 1.91 11.2 15.5 -9.9 0.4 3.9 -2.0 28.2 -54.4 32.7 -24.2 3.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
MAGNET Simple Revised 2.30 -6.7 0.8 -17.7 0.1 -5.3 -2.0 -26.4 -31.0 38.9 -35.9 -16.8 -13.7 45.7 -25.0 -45.7 32.9
Kirkpatrick Bargain 1.36 6.6 6.7 -5.1 -0.7 0.9 7.3 97.9 -43.2 21.1 -21.7 -4.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Neff 1.63 12.0 15.6 -13.3 -1.2 6.4 6.5 272.4 -52.8 32.6 -21.7 1.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Piotroski: High F-Score 2.07 15.1 24.4 5.2 -2.4 20.5 17.3 799.5 -53.6 43.1 -42.0 26.9 -0.3 137.6 91.7 -36.4 138.8 Value
Magic Formula 1.63 7.6 8.3 0.8 -2.8 0.3 3.4 129.8 -51.6 30.7 -22.4 11.7 -16.5 27.9 7.9 -30.6 26.6 Value
MAGNET Complex Revised 2.20 -3.8 1.8 -22.8 -4.6 -10.6 -6.2 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Kirkpatrick Value 2.19 7.6 8.9 13.4 -5.2 -6.2 1.5 -22.7 -23.3 49.0 -25.3 2.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Murphy Technology 2.73 -19.5 -3.0 5.1 -5.3 5.5 -0.3 121.4 -58.3 58.5 -44.9 -9.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
MAGNET Simple 2.95 9.4 15.1 54.7 -6.1 -9.6 2.4 498.8 -75.9 52.1 -34.0 37.2 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Foolish Small Cap 8 Revised 2.37 8.4 11.0 -43.4 -8.1 -10.0 0.6 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Schloss 1.94 7.3 8.0 -9.7 -8.6 -0.3 -0.7 18.4 -37.6 27.1 -40.4 -3.4 -5.9 16.7 13.1 -35.1 12.5 Value
Rule #1 Investing 1.90 7.6 8.6 -24.7 -9.0 3.2 6.2 277.7 -54.0 27.0 -28.5 -8.3 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Insider Net Purchases 1.91 -10.6 -2.4 -16.8 -9.9 -3.5 -6.7 36.2 -65.5 27.8 -27.2 -8.0 -11.9 21.5 11.5 -31.4 7.4 Specialty
Muhlenkamp 1.57 -3.1 0.4 0.6 -12.0 -14.6 -12.2 -50.0 -49.0 21.0 -26.2 2.5 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
MAGNET Complex 2.75 6.7 6.9 -37.4 -13.7 -13.7 -10.0 -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