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 7/29/2016
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 12.5 17.6 -17.1 26.5 17.4 12.3 221.4 -27.8 52.7 -26.7 -6.5 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
ADR Screen 1.49 8.3 9.2 13.6 20.9 9.8 5.9 242.1 -68.7 31.1 -29.7 26.7 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.9 19.6 10.7 20.3 16.7 16.2 1,071.9 -62.8 51.2 -31.7 14.8 12.4 97.8 1.1 -7.0 39.2 Value
T. Rowe Price 1.67 9.7 11.8 57.6 18.0 12.4 11.7 716.5 -62.5 33.5 -20.0 34.2 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Est Rev: Top 30 Up 1.82 16.4 24.6 11.9 16.1 17.3 21.5 672.1 -37.8 36.4 -26.7 19.2 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.23 10.0 14.3 26.9 16.0 15.8 20.8 702.6 -53.4 51.3 -25.7 22.5 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.91 15.6 23.9 17.2 15.6 14.6 8.2 370.7 -67.3 37.4 -21.0 16.0 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Dreman With Est Revisions 1.35 13.3 15.8 9.8 15.6 17.8 14.3 395.1 -39.9 21.4 -26.2 6.1 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
NASDAQ 100 1.78 7.8 8.8 3.1 15.2 14.9 12.1 237.9 -50.1 25.0 -27.5 3.0 17.9 35.0 16.8 2.7 19.2 Indexes
Dogs of the Dow: Low Priced 5 1.55 2.0 3.6 23.3 13.9 17.4 1.0 419.0 -82.9 27.6 -34.8 16.1 3.0 34.5 15.7 13.1 17.3 Value
S&P 500 Growth (TR) 1.10 6.5 6.5 5.3 13.3 14.1 9.6 256.9 -44.4 10.8 -16.5 6.3 14.9 35.5 14.6 4.7 15.0 Indexes
Wanger (Revised) 1.43 8.7 9.6 18.7 12.8 14.7 9.2 246.9 -51.3 22.8 -19.8 16.9 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Inve$tWare Quality Growth 1.27 7.3 7.5 -14.0 12.7 10.6 8.2 243.5 -44.7 18.2 -22.0 4.5 21.6 30.4 19.7 -9.4 17.3 Growth
Fisher (Philip) 2.22 2.9 4.9 1.4 12.4 3.7 2.5 124.8 -58.2 32.8 -27.9 2.8 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Lakonishok 1.20 12.7 13.9 4.1 12.2 10.9 13.0 288.2 -32.5 16.6 -17.9 13.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.24 6.9 7.0 11.7 11.9 11.8 4.9 173.6 -50.5 13.6 -18.6 9.7 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Est Rev: Up 5% 1.76 17.4 25.7 9.6 11.7 16.2 21.0 474.0 -23.4 30.8 -21.7 24.8 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 15.4 18.5 -4.5 10.8 14.1 11.1 315.1 -50.2 15.7 -23.1 8.0 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 13.5 13.8 5.9 10.8 10.7 9.1 258.0 -50.1 12.7 -19.1 5.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Stock Market Winners 1.43 15.8 19.8 3.9 10.6 17.0 14.3 583.4 -51.3 22.0 -23.4 2.1 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Price-to-Sales 1.33 12.8 14.8 25.7 10.6 10.4 9.1 313.6 -55.1 18.3 -20.6 31.0 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P SmallCap 600 Growth (TR) 1.30 8.8 9.5 3.3 10.2 13.1 10.0 322.5 -51.1 17.0 -21.7 9.2 3.9 42.6 14.9 4.1 28.0 Indexes
Foolish Small Cap 8 2.37 8.5 11.3 -19.6 9.8 5.5 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 MidCap 400 Growth (TR) 1.29 10.5 11.7 6.0 9.6 13.1 10.2 295.3 -47.7 19.0 -22.2 10.4 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 7.8 9.3 13.1 8.8 282.4 -49.4 15.7 -21.8 14.8 12.1 34.3 20.1 -2.4 22.8 Indexes
Dogs of the Dow 1.21 3.0 3.6 19.4 9.1 13.3 3.9 292.9 -69.0 17.1 -23.4 17.3 6.8 27.9 9.6 10.7 19.4 Value
O'Neil's CAN SLIM No Float 1.38 12.9 15.4 1.9 9.0 9.4 7.9 241.1 -61.6 23.5 -35.5 4.0 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P 500 Value (TR) 1.00 5.9 5.9 5.8 8.9 12.6 6.1 235.8 -56.0 11.3 -17.1 9.1 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P 500 1.00 4.4 4.4 3.3 8.8 11.0 5.5 195.7 -52.6 10.8 -16.8 6.3 11.4 29.6 13.4 0.0 12.8 Indexes
Buffett: Hagstrom 1.10 13.2 13.9 1.2 8.7 11.4 11.8 279.6 -39.8 13.2 -19.0 5.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
Graham--Enterprising Investor Revised 1.75 14.1 19.9 -4.3 8.5 3.9 20.4 495.4 -49.9 36.4 -22.4 -5.3 41.9 2.1 -4.9 -4.1 32.9 Value
Buffettology: Sustainable Growth 1.27 9.9 10.8 7.5 8.5 9.7 10.3 269.0 -41.9 16.5 -20.4 3.8 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P MidCap 400 1.19 8.3 8.7 3.8 8.2 10.6 7.8 247.0 -50.5 14.8 -21.8 11.5 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 1.26 7.6 7.9 4.4 8.2 11.6 7.5 261.2 -52.2 17.3 -20.2 10.8 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Neil's CAN SLIM 1.92 14.5 21.8 -19.8 8.0 4.9 14.2 168.8 -10.1 69.6 -23.1 -2.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
O'Shaughnessy: Growth 1.51 12.7 15.8 13.9 8.0 11.3 8.2 257.6 -57.2 18.6 -17.9 19.8 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Buffettology: EPS Growth 1.21 9.7 10.3 2.4 7.9 11.8 9.7 296.1 -48.4 15.1 -20.8 1.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
Oberweis Octagon 1.94 9.9 13.0 14.4 7.8 11.5 5.8 290.8 -70.6 24.6 -23.2 42.9 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 9.0 7.8 12.4 7.5 263.6 -51.0 18.4 -19.6 14.4 7.5 35.6 17.8 -1.2 24.7 Indexes
Graham--Defensive Investor (Utility) 1.02 8.1 8.1 35.9 7.1 8.1 5.0 104.5 -31.4 12.2 -13.7 16.7 16.0 10.0 1.2 8.6 4.6 Value
Kirkpatrick Growth 2.11 10.5 15.0 11.6 7.0 -2.3 11.8 142.2 -38.7 64.1 -23.1 17.3 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dividend (High Relative Yield) 0.98 8.5 8.4 5.4 6.7 10.5 6.1 180.1 -40.4 12.5 -14.2 13.4 2.0 40.6 9.8 3.0 19.4 Growth & Value
Weiss Blue Chip Div Yield 1.24 9.4 10.1 0.5 6.4 9.3 8.9 227.8 -43.1 16.0 -16.8 19.4 5.4 21.3 19.2 7.6 26.9 Value
Dow Jones 30 0.98 4.7 4.7 4.2 5.9 8.7 5.1 161.0 -49.3 11.8 -15.1 5.8 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.53 13.6 17.3 6.5 5.4 13.6 10.3 216.3 -50.6 18.5 -18.2 7.4 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
All Exchange-Listed Stocks 1.37 8.6 9.4 -3.4 4.7 7.2 5.5 245.9 -58.6 23.9 -22.1 9.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Dreman 1.25 9.4 10.1 2.3 4.5 10.2 4.3 209.5 -55.0 23.9 -22.2 8.8 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Return on Equity 1.28 10.5 11.6 6.4 4.2 6.3 7.4 213.1 -47.2 14.6 -22.2 10.8 -8.8 34.2 10.1 -5.7 32.0 Growth
P/E Relative 1.15 13.8 14.9 5.4 3.4 9.4 11.0 234.0 -27.6 18.4 -18.3 14.8 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Cash Rich Firms 1.38 8.3 9.0 -12.6 2.9 4.1 2.2 83.9 -45.6 17.6 -20.7 -3.6 2.5 36.6 10.5 -32.8 14.4 Value
Graham--Defensive Investor (Non-Utility) 1.38 12.4 14.7 -0.2 2.5 6.8 11.7 290.4 -52.1 25.8 -17.3 9.0 -13.1 33.9 18.9 7.0 31.4 Value
Fundamental Rule of Thumb 1.69 9.7 11.9 -10.0 2.3 -1.9 2.7 119.9 -57.0 33.8 -19.2 4.2 -11.6 46.1 -6.9 -35.2 17.7 Value
Templeton 1.26 9.0 9.7 -6.7 2.2 12.4 9.8 238.2 -40.0 14.5 -23.1 7.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: All Cap 1.45 8.7 9.8 0.5 2.0 3.3 3.4 131.8 -52.1 18.4 -21.5 19.4 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Zweig 1.91 11.6 16.2 -8.3 1.8 3.2 -1.2 40.6 -54.4 32.7 -24.2 13.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
O'Shaughnessy: Value 1.34 4.0 4.6 -2.0 1.1 4.2 -0.3 152.7 -69.1 22.0 -23.8 7.2 -5.8 29.6 20.3 -11.2 7.4 Value
Kirkpatrick Bargain 1.38 7.1 7.4 0.0 1.0 3.0 8.5 121.8 -43.2 21.1 -21.7 6.6 5.9 7.3 14.9 3.6 9.4 Growth & Value
Dual Cash Flow 1.55 10.2 12.2 2.9 1.0 3.2 3.4 202.8 -61.0 34.7 -23.6 11.4 -3.2 48.9 5.1 -21.6 31.0 Growth
Lynch 1.27 9.1 9.8 -9.4 0.4 -3.2 3.1 100.4 -47.5 18.9 -21.3 7.4 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Lowest 30 Down 2.33 -7.6 0.5 16.3 0.4 0.7 -1.6 208.6 -71.0 43.0 -29.9 29.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
MAGNET Simple Revised 2.31 -7.0 0.6 -24.9 -0.9 -9.7 -2.6 -28.6 -31.0 38.9 -35.9 -19.3 -13.7 45.7 -25.0 -45.7 32.9
Est Rev: Down 5% 1.95 -5.8 0.2 2.8 -1.7 0.4 -1.0 144.9 -63.8 33.5 -30.5 10.3 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Neff 1.63 11.9 15.4 -24.4 -4.3 3.0 6.2 257.5 -52.8 32.6 -21.7 -2.7 5.1 39.5 15.0 -4.2 35.0 Growth & Value
MAGNET Complex Revised 2.20 -3.7 1.8 1.5 -4.6 -10.6 -6.8 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Magic Formula 1.63 7.6 8.3 0.8 -5.3 -2.1 3.5 128.2 -51.6 30.7 -22.4 10.9 -16.5 27.9 7.9 -30.6 26.6 Value
Kirkpatrick Value 2.19 7.8 9.4 9.2 -5.3 -5.9 3.2 -16.8 -23.3 49.0 -25.3 10.0 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.95 9.3 14.8 25.4 -6.3 -11.3 1.5 467.2 -75.9 52.1 -34.0 30.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 15.0 24.0 -8.1 -6.9 16.6 16.6 735.3 -53.6 43.1 -42.0 17.9 -0.3 137.6 91.7 -36.4 138.8 Value
Murphy Technology 2.73 -20.0 -3.2 -11.1 -7.1 3.0 0.5 114.6 -58.3 58.5 -44.9 -11.8 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.37 8.4 11.0 -43.4 -8.1 -9.8 -1.3 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Muhlenkamp 1.57 -2.9 0.5 -1.7 -10.2 -17.3 -12.5 -48.9 -49.0 21.0 -26.2 4.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Rule #1 Investing 1.89 7.4 8.2 -35.1 -10.4 -0.1 4.8 252.1 -54.0 27.0 -28.5 -14.5 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Insider Net Purchases 1.91 -11.5 -2.9 -33.1 -11.8 -8.8 -7.5 25.1 -65.5 27.8 -27.2 -15.5 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Complex 2.75 6.7 7.0 -51.7 -13.7 -13.7 -12.8 -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
Schloss 1.93 6.8 7.1 -24.6 -13.8 -6.1 -2.5 1.4 -37.6 27.1 -40.4 -17.3 -5.9 16.7 13.1 -35.1 12.5 Value