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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 12/31/2014
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
Piotroski: High F-Score 2.07 17.5 29.2 -0.3 65.5 47.1 24.7 961.0 -53.6 43.1 -42.0 -0.3 137.6 91.7 -36.4 138.8 34.6 Value
Rule #1 Investing 1.81 10.7 14.1 50.3 35.0 27.8 12.6 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.5 25.8 25.7 32.5 16.8 9.2 285.1 -67.3 37.4 -21.0 25.7 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 18.0 37.3 31.7 17.9 9.2 166.3 -27.8 52.7 -26.7 37.3 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.5 20.6 12.4 30.9 23.8 16.6 784.8 -62.8 51.2 -31.7 12.4 97.8 1.1 -7.0 39.2 147.2 Value
Murphy Technology 2.77 -16.5 -1.8 -1.3 25.2 14.0 4.1 172.2 -58.3 58.5 -44.9 -1.3 39.7 42.3 -29.8 40.0 28.8 Growth & Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.5 18.8 2.4 25.1 19.8 13.0 186.6 -50.6 18.5 -18.2 2.4 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.2 25.1 44.1 24.4 9.3 19.2 208.2 -10.1 69.6 -23.1 44.1 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Templeton 1.26 10.2 11.2 13.0 24.2 19.3 10.6 231.5 -40.0 14.5 -23.1 13.0 29.4 31.0 3.2 22.4 54.7 Growth & Value
Inve$tWare Quality Growth 1.26 7.7 8.0 21.6 23.8 15.1 8.2 205.4 -44.7 18.2 -22.0 21.6 30.4 19.7 -9.4 17.3 39.6 Growth
Value on the Move--PEG With Est Growth 1.34 16.3 19.6 8.9 23.7 19.6 13.7 252.6 -50.2 15.7 -23.1 8.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Wanger (Revised) 1.44 8.7 9.6 1.3 23.6 15.0 9.5 179.1 -51.3 22.8 -19.8 1.3 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Est Rev: Top 30 Up 1.83 16.9 25.5 8.3 23.3 22.0 23.7 430.6 -37.8 36.4 -26.7 8.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
NASDAQ 100 1.80 7.8 8.9 17.9 23.0 17.9 10.1 202.6 -50.1 25.0 -27.5 17.9 35.0 16.8 2.7 19.2 53.5 Indexes
O'Shaughnessy: Growth 1.51 13.1 16.5 1.7 22.0 15.3 8.8 198.2 -57.2 18.6 -17.9 1.7 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 12.1 21.8 16.7 9.6 229.5 -49.4 15.7 -21.8 12.1 34.3 20.1 -2.4 22.8 33.7 Indexes
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 2.3 20.7 15.0 6.6 140.5 -50.5 13.6 -18.6 -4.2 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Dreman With Est Revisions 1.36 13.9 16.5 14.2 20.5 21.9 16.0 304.3 -39.9 21.4 -26.2 14.2 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
S&P 500 Value (TR) 1.00 6.1 6.1 12.5 20.4 14.9 7.2 189.2 -56.0 11.3 -17.1 12.5 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P 500 Growth (TR) 1.10 6.4 6.4 14.9 20.4 16.0 8.4 195.1 -44.4 10.8 -16.5 14.9 35.5 14.6 4.7 15.0 31.6 Indexes
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 5.8 20.3 17.3 10.5 228.5 -47.7 19.0 -22.2 7.6 32.8 15.8 -0.9 30.6 38.1 Indexes
Oberweis Octagon 1.92 10.1 13.3 -5.9 20.1 21.4 6.8 219.7 -70.6 24.6 -23.2 -5.9 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Est Rev: Up 5% 1.76 18.2 27.1 5.5 20.1 20.1 23.7 329.0 -23.4 30.8 -21.7 5.5 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
ADR Screen 1.48 8.2 9.0 27.3 19.8 8.6 7.0 163.0 -68.7 31.1 -29.7 27.3 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.4 8.9 7.5 19.7 16.2 8.3 214.4 -51.0 18.4 -19.6 7.5 35.6 17.8 -1.2 24.7 20.6 Indexes
Driehaus 2.26 9.5 13.2 -0.7 19.6 19.5 18.5 415.2 -53.4 51.3 -25.7 -0.7 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.7 3.9 19.4 17.8 9.7 248.3 -51.1 17.0 -21.7 3.9 42.6 14.9 4.1 28.0 30.7 Indexes
Buffettology: EPS Growth 1.22 10.2 11.0 4.4 19.2 16.2 10.5 259.7 -48.4 15.1 -20.8 4.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
Neff 1.64 14.0 18.8 5.1 19.0 16.9 9.9 314.3 -52.8 32.6 -21.7 5.1 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Stock Market Winners 1.46 16.1 20.5 9.7 18.9 35.5 13.8 419.7 -51.3 22.0 -23.4 9.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Buffett: Hagstrom 1.12 14.0 14.9 9.6 18.8 18.3 12.2 230.6 -39.8 13.2 -19.0 9.6 35.4 13.0 8.2 27.7 30.0 Growth & Value
S&P SmallCap 600 1.27 7.9 8.2 4.4 18.7 15.9 7.8 212.5 -52.2 17.3 -20.2 4.4 39.7 14.8 -0.2 25.0 23.8 Indexes
All Exchange-Listed Stocks 1.38 9.4 10.5 5.0 18.5 13.0 6.7 220.4 -58.6 23.9 -22.1 5.0 38.1 14.8 -12.3 26.2 65.8 Indexes
Dreman 1.25 10.0 10.9 7.7 18.3 12.4 6.5 143.0 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 37.2 Growth & Value
S&P MidCap 400 1.20 8.6 9.0 8.2 18.2 14.9 8.2 197.0 -50.5 14.8 -21.8 8.2 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P 500 1.00 4.5 4.5 11.4 17.8 13.0 5.4 158.0 -52.6 10.8 -16.8 11.4 29.6 13.4 0.0 12.8 23.5 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 3.5 17.2 16.4 9.7 199.8 -50.1 12.7 -19.1 3.5 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 -0.1 2.3 3.0 17.0 16.3 -0.6 245.2 -82.9 27.6 -34.8 3.0 34.5 15.7 13.1 17.3 -7.7 Value
Lakonishok 1.20 13.2 14.6 13.0 16.7 15.9 13.9 230.8 -32.5 16.6 -17.9 13.0 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Dividend (High Relative Yield) 0.97 9.2 9.1 2.0 16.3 14.1 6.1 157.8 -40.4 12.5 -14.2 2.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
P/E Relative 1.13 15.1 16.3 5.3 15.9 14.6 14.1 195.4 -27.6 18.4 -18.3 5.3 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Cash Rich Firms 1.38 9.5 10.7 2.5 15.6 3.5 3.6 87.8 -45.6 17.6 -20.7 2.5 36.6 10.5 -32.8 14.4 56.9 Value
Buffettology: Sustainable Growth 1.28 10.3 11.4 3.2 15.1 12.7 10.4 224.0 -41.9 16.5 -20.4 3.2 35.8 8.8 0.7 18.4 68.0 Growth & Value
Weiss Blue Chip Div Yield 1.22 10.1 10.9 5.4 15.1 15.8 9.6 197.9 -43.1 16.0 -16.8 5.4 21.3 19.2 7.6 26.9 27.9 Value
Dual Cash Flow 1.54 11.3 13.9 -3.2 14.8 9.2 6.0 180.9 -61.0 34.7 -23.6 -3.2 48.9 5.1 -21.6 31.0 76.0 Growth
Dogs of the Dow 1.22 2.3 3.1 6.8 14.4 14.6 2.7 201.0 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 8.1 Value
O'Shaughnessy: Value 1.34 5.1 5.5 -5.8 13.7 7.0 1.3 139.5 -69.1 22.0 -23.8 -5.8 29.6 20.3 -11.2 7.4 31.5 Value
Dow Jones 30 0.97 4.9 4.9 7.5 13.4 11.3 5.2 134.2 -49.3 11.8 -15.1 7.5 26.5 7.3 5.5 11.0 18.8 Indexes
O'Neil's CAN SLIM No Float 1.39 13.3 15.9 2.0 13.2 11.0 7.2 194.5 -61.6 23.5 -35.5 2.0 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Price-to-Sales 1.33 12.8 14.9 -5.1 12.9 12.7 8.7 204.4 -55.1 18.3 -20.6 -5.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Foolish Small Cap 8 Revised 2.13 10.1 14.1 -2.1 11.7 -4.0 4.8 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.1 -13.1 11.4 14.2 14.9 241.6 -52.1 25.8 -17.3 -13.1 33.9 18.9 7.0 31.4 57.9 Value
Graham--Enterprising Investor Revised 1.75 15.5 22.2 41.9 11.2 11.9 25.1 379.8 -49.9 36.4 -22.4 41.9 2.1 -4.9 -4.1 32.9 168.4 Value
Fisher (Philip) 2.21 0.8 3.9 -1.3 11.0 -6.0 -2.0 53.5 -58.2 32.8 -27.9 -1.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Return on Equity 1.29 10.8 12.1 -8.8 10.4 10.9 7.8 166.3 -47.2 14.6 -22.2 -8.8 34.2 10.1 -5.7 32.0 40.0 Growth
O'Shaughnessy: All Cap 1.38 9.7 10.9 -1.4 9.5 10.0 7.2 119.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Kirkpatrick Bargain 1.37 7.8 8.2 5.9 9.3 8.1 12.1 119.5 -43.2 21.1 -21.7 5.9 7.3 14.9 3.6 9.4 22.2 Growth & Value
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 16.0 8.9 8.0 7.3 78.7 -31.4 12.0 -13.4 16.0 10.0 1.2 8.6 4.6 7.9 Value
Foolish Small Cap 8 2.27 8.2 10.3 -19.9 7.6 5.8 1.8 141.6 -67.7 38.8 -25.9 -19.9 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Schloss 1.92 8.6 10.5 -5.9 7.5 -2.0 4.6 34.3 -37.6 27.1 -40.4 -5.9 16.7 13.1 -35.1 12.5 57.5 Value
Est Rev: Down 5% 1.95 -5.7 0.2 -13.5 6.6 1.7 -0.3 117.5 -63.8 33.5 -30.5 -13.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Fundamental Rule of Thumb 1.71 10.2 12.9 -11.6 6.3 -1.7 4.0 84.6 -57.0 33.8 -19.2 -11.6 46.1 -6.9 -35.2 17.7 92.1 Value
Insider Net Purchases 1.87 -7.5 -1.0 -11.9 6.1 -2.5 -6.0 72.8 -65.5 27.8 -27.2 -11.9 21.5 11.5 -31.4 7.4 59.0 Specialty
Kirkpatrick Value 2.21 8.1 10.1 -15.1 5.7 -5.7 10.0 -17.7 -23.3 49.0 -25.3 -15.1 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Lynch 1.24 10.4 11.4 -7.2 5.1 0.9 5.3 103.2 -47.5 18.9 -21.3 -7.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Magic Formula 1.65 8.3 9.4 -16.5 4.8 0.2 3.4 119.2 -51.6 30.7 -22.4 -16.5 27.9 7.9 -30.6 26.6 97.0 Value
Zweig 1.90 12.2 17.4 -14.6 4.7 1.1 1.0 32.0 -54.4 32.7 -24.2 -14.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
MAGNET Complex 2.73 8.8 12.8 7.4 4.7 -0.5 -5.6 -17.5 -55.9 63.0 -28.2 7.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 22.6 7.5 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Est Rev: Lowest 30 Down 2.33 -9.2 -0.2 -20.4 4.1 0.5 -2.4 133.7 -71.0 43.0 -29.9 -20.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Kirkpatrick Growth 2.15 10.7 15.4 -1.2 1.7 1.4 14.1 98.9 -38.7 64.1 -23.1 -1.2 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Graham--Enterprising Investor 1.76 11.3 15.0 -20.6 -4.2 4.6 11.4 104.1 -50.3 33.1 -23.4 -20.6 9.6 1.1 -1.1 43.5 48.5 Value
MAGNET Simple 2.98 9.5 15.3 -15.2 -20.0 -0.9 10.9 272.9 -75.9 52.1 -34.0 -15.2 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Muhlenkamp 1.58 -4.3 -0.3 -48.5 -24.6 -24.9 -12.6 -60.4 -49.0 21.0 -26.2 -48.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum