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 3/31/2016
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
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.7 17.9 -3.3 32.3 15.0 10.6 231.0 -27.8 52.7 -26.7 -7.5 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.8 19.5 2.3 27.4 14.7 15.2 951.0 -62.8 51.2 -31.7 5.2 12.4 97.8 1.1 -7.0 39.2 Value
ADR Screen 1.47 7.7 8.2 2.2 19.8 3.4 4.0 190.8 -68.7 31.1 -29.7 4.8 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
NASDAQ 100 1.78 7.7 8.6 3.5 16.7 13.9 10.2 222.0 -50.1 25.0 -27.5 -2.4 17.9 35.0 16.8 2.7 19.2 Indexes
T. Rowe Price 1.66 9.0 10.7 27.3 16.0 13.5 8.4 418.1 -62.5 33.5 -20.0 8.4 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Driehaus 2.22 9.7 13.6 13.9 15.3 11.1 17.9 470.1 -53.4 51.3 -25.7 6.8 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Dreman With Est Revisions 1.35 13.3 15.7 2.1 15.2 14.8 13.4 340.7 -39.9 21.4 -26.2 0.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 15.2 18.1 -9.7 14.9 11.5 9.5 346.4 -50.2 15.7 -23.1 -3.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Stock Market Winners 1.43 15.8 19.7 7.3 14.3 16.2 12.5 526.7 -51.3 22.0 -23.4 -5.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.3 6.3 3.5 14.0 13.1 8.7 233.5 -44.4 10.8 -16.5 0.5 14.9 35.5 14.6 4.7 15.0 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.3 13.7 -0.4 13.6 9.7 7.5 236.2 -50.1 12.7 -19.1 -1.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Foolish Small Cap 8 2.37 8.6 11.5 34.0 13.5 2.6 2.1 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Dogs of the Dow: Low Priced 5 1.55 1.2 3.1 13.9 13.3 15.7 1.2 329.9 -82.9 27.6 -34.8 5.5 3.0 34.5 15.7 13.1 17.3 Value
O'Shaughnessy: Tiny Titans 1.90 15.3 23.3 -5.3 12.4 9.2 5.8 331.6 -67.3 37.4 -21.0 -0.9 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Inve$tWare Quality Growth 1.27 7.0 7.1 -14.1 12.1 9.5 5.4 256.9 -44.7 18.2 -22.0 -4.0 21.6 30.4 19.7 -9.4 17.3 Growth
Buffett: Hagstrom 1.10 13.4 14.1 -0.4 11.4 12.2 10.7 264.7 -39.8 13.2 -19.0 4.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
Buffettology: Sustainable Growth 1.27 10.1 11.0 6.9 11.1 10.0 9.5 231.9 -41.9 16.5 -20.4 3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
Buffettology: EPS Growth 1.21 9.8 10.5 0.9 10.9 11.7 8.6 282.4 -48.4 15.1 -20.8 0.9 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P SmallCap 600 Growth (TR) 1.30 8.5 9.2 -3.2 10.9 10.9 8.1 298.5 -51.1 17.0 -21.7 0.4 3.9 42.6 14.9 4.1 28.0 Indexes
Est Rev: Top 30 Up 1.82 15.8 23.5 -10.6 10.6 10.9 17.5 595.7 -37.8 36.4 -26.7 -6.2 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
S&P MidCap 400 Growth (TR) 1.29 10.3 11.4 -3.2 10.4 10.4 8.4 272.4 -47.7 19.0 -22.2 1.2 7.6 32.8 15.8 -0.9 30.6 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 7.6 10.2 10.1 3.9 148.9 -50.5 13.6 -18.6 4.9 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Wanger (Revised) 1.42 8.0 8.7 -9.6 9.9 9.6 6.2 219.9 -51.3 22.8 -19.8 -2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P 500 Value (TR) 1.00 5.6 5.6 -0.3 9.5 10.0 5.6 222.6 -56.0 11.3 -17.1 2.2 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P 500 1.00 4.2 4.2 -0.4 9.5 9.2 4.8 186.7 -52.6 10.8 -16.8 0.8 11.4 29.6 13.4 0.0 12.8 Indexes
S&P MidCap 400 Value (TR) 1.12 8.1 8.3 -3.5 9.2 10.0 7.5 269.2 -49.4 15.7 -21.8 6.4 12.1 34.3 20.1 -2.4 22.8 Indexes
Dogs of the Dow 1.21 2.5 3.2 6.7 8.9 11.4 3.9 241.7 -69.0 17.1 -23.4 7.4 6.8 27.9 9.6 10.7 19.4 Value
S&P SmallCap 600 1.26 7.4 7.6 -4.6 8.9 9.0 5.7 246.1 -52.2 17.3 -20.2 2.3 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Neil's CAN SLIM No Float 1.38 12.8 15.2 1.0 8.8 8.8 5.7 217.5 -61.6 23.5 -35.5 -3.1 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Graham--Enterprising Investor Revised 1.75 14.3 20.2 -8.1 8.6 2.9 18.1 568.7 -49.9 36.4 -22.4 -6.0 41.9 2.1 -4.9 -4.1 32.9 Value
S&P SmallCap 600 Value (TR) 1.22 7.8 8.1 -3.1 8.6 9.4 5.8 241.7 -51.0 18.4 -19.6 5.2 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 1.19 8.1 8.4 -5.2 7.8 7.9 6.2 239.2 -50.5 14.8 -21.8 3.3 8.2 31.6 16.1 -3.1 24.9 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.51 13.6 17.2 -0.3 7.7 9.9 8.7 194.0 -50.6 18.5 -18.2 0.3 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Lakonishok 1.20 12.3 13.4 -6.8 7.2 7.6 11.1 269.8 -32.5 16.6 -17.9 1.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Dividend (High Relative Yield) 0.98 8.2 8.2 -4.5 7.2 8.4 5.3 176.2 -40.4 12.5 -14.2 5.8 2.0 40.6 9.8 3.0 19.4 Growth & Value
Templeton 1.26 9.0 9.7 -14.1 6.9 11.9 8.2 267.6 -40.0 14.5 -23.1 4.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
Dow Jones 30 0.98 4.6 4.5 -0.5 6.6 7.5 4.8 155.0 -49.3 11.8 -15.1 1.5 7.5 26.5 7.3 5.5 11.0 Indexes
Est Rev: Up 5% 1.76 16.8 24.7 -11.8 6.3 10.2 18.0 432.5 -23.4 30.8 -21.7 -0.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
MAGNET Simple Revised 2.23 -2.8 2.3 9.8 6.2 -12.5 1.9 -12.6 -31.0 38.9 -27.1 9.4 -13.7 45.7 -25.0 -45.7 32.9
Graham--Defensive Investor (Utility) 1.00 7.9 7.9 25.5 6.1 7.2 5.3 50.7 -31.4 12.0 -13.7 10.2 16.0 10.0 1.2 8.6 4.6 Value
O'Shaughnessy: Growth 1.50 12.2 15.0 -9.3 5.9 6.2 4.9 219.5 -57.2 18.6 -17.9 0.5 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Dreman 1.25 9.2 9.8 -8.2 5.7 6.6 3.5 219.2 -55.0 23.9 -22.2 1.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Cash Rich Firms 1.37 8.7 9.5 -7.8 5.6 0.6 2.5 122.0 -45.6 17.6 -20.7 1.6 2.5 36.6 10.5 -32.8 14.4 Value
Return on Equity 1.27 10.3 11.4 -1.1 5.5 4.7 5.4 200.3 -47.2 14.6 -22.2 2.9 -8.8 34.2 10.1 -5.7 32.0 Growth
Price-to-Sales 1.32 11.9 13.7 -7.5 5.4 4.9 5.2 252.6 -55.1 18.3 -20.6 4.4 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
O'Neil's CAN SLIM 1.92 14.5 21.9 -22.7 5.1 6.2 12.0 225.2 -10.1 69.6 -23.1 -7.2 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Fisher (Philip) 2.21 0.1 3.6 -14.0 5.1 -5.7 -1.8 125.2 -58.2 32.8 -27.9 -19.6 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
All Exchange-Listed Stocks 1.37 8.3 9.0 -15.1 4.3 3.7 3.6 275.0 -58.6 23.9 -22.1 -1.1 5.0 38.1 14.8 -12.3 26.2 Indexes
P/E Relative 1.14 13.7 14.7 -10.5 4.1 5.8 10.0 244.4 -27.6 18.4 -18.3 5.8 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 12.7 15.0 -2.6 4.1 6.6 10.0 317.2 -52.1 25.8 -17.3 9.2 -13.1 33.9 18.9 7.0 31.4 Value
Fundamental Rule of Thumb 1.69 9.7 11.9 -7.6 4.0 -4.5 1.7 144.9 -57.0 33.8 -19.2 0.1 -11.6 46.1 -6.9 -35.2 17.7 Value
Weiss Blue Chip Div Yield 1.23 9.1 9.7 -5.7 3.7 7.4 7.4 215.7 -43.1 16.0 -16.8 8.7 5.4 21.3 19.2 7.6 26.9 Value
Kirkpatrick Growth 2.10 10.2 14.3 -6.1 1.5 -3.1 8.7 108.7 -38.7 64.1 -23.1 0.5 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dual Cash Flow 1.54 9.8 11.7 -21.0 1.4 -1.6 1.6 238.4 -61.0 34.7 -23.6 -1.4 -3.2 48.9 5.1 -21.6 31.0 Growth
O'Shaughnessy: Value 1.34 3.8 4.5 -8.8 0.4 2.4 -0.6 169.7 -69.1 22.0 -23.8 2.4 -5.8 29.6 20.3 -11.2 7.4 Value
Oberweis Octagon 1.93 9.3 11.8 -11.0 0.3 3.9 4.0 224.5 -70.6 24.6 -23.2 13.6 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Neff 1.63 12.1 15.6 -27.0 -0.2 0.7 5.5 392.4 -52.8 32.6 -21.7 -4.5 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Shaughnessy: All Cap 1.44 8.4 9.2 -14.4 -0.3 0.5 2.0 149.8 -52.1 18.4 -21.5 5.5 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Lynch 1.27 9.0 9.7 -15.5 -1.4 -6.3 1.5 145.5 -47.5 18.9 -21.3 2.2 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Down 5% 1.95 -6.3 -0.1 -5.8 -1.7 -5.0 -2.5 165.2 -63.8 33.5 -30.5 4.3 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Murphy Technology 2.73 -19.9 -3.2 -24.9 -2.6 0.9 -1.8 183.7 -58.3 58.5 -44.9 -10.0 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Kirkpatrick Bargain 1.36 6.8 6.9 -11.6 -3.4 0.5 6.2 109.7 -43.2 21.1 -21.7 -3.6 5.9 7.3 14.9 3.6 9.4 Growth & Value
Est Rev: Lowest 30 Down 2.31 -9.4 -0.4 -1.0 -3.4 -7.0 -3.7 196.0 -71.0 43.0 -29.9 11.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Rule #1 Investing 1.89 7.3 8.0 -56.7 -3.7 0.5 3.2 745.9 -54.0 27.0 -28.5 -19.7 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Magic Formula 1.63 7.5 8.2 -12.2 -4.7 -6.7 1.6 144.4 -51.6 30.7 -22.4 4.5 -16.5 27.9 7.9 -30.6 26.6 Value
Piotroski: High F-Score 2.07 14.7 23.5 -33.5 -4.8 12.5 14.0 991.3 -53.6 43.1 -42.0 1.8 -0.3 137.6 91.7 -36.4 138.8 Value
Schloss 1.92 7.5 8.5 -10.8 -5.1 -10.6 -1.0 48.4 -37.6 27.1 -40.4 2.1 -5.9 16.7 13.1 -35.1 12.5 Value
Zweig 1.89 10.9 14.9 -25.4 -6.0 -6.1 -4.2 53.9 -54.4 32.7 -24.2 -12.2 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
MAGNET Complex 2.73 7.2 8.4 -34.3 -6.8 -4.1 -14.7 -21.6 -55.9 63.0 -28.2 -0.7 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Kirkpatrick Value 2.17 7.5 8.6 -12.7 -7.2 -2.4 -0.3 -16.9 -23.3 49.0 -25.3 -5.6 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Foolish Small Cap 8 Revised 2.38 8.3 10.8 -26.3 -10.3 -10.1 -1.6 204.7 -64.0 42.9 -40.5 -24.2 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Muhlenkamp 1.57 -2.9 0.5 8.1 -15.2 -21.2 -13.1 -47.5 -49.0 21.0 -26.2 4.9 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Insider Net Purchases 1.91 -12.2 -3.3 -40.5 -15.6 -11.9 -9.9 114.5 -65.5 27.8 -27.2 -20.4 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Simple 2.95 8.9 13.6 -15.0 -17.2 -15.1 -0.1 363.3 -75.9 52.1 -34.0 2.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
MAGNET Complex Revised 2.20 -3.7 1.9 3.1 -20.7 -17.2 -5.4 -64.9 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7