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 6/30/2016
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 12.2 17.2 -15.6 29.8 17.4 10.8 195.4 -27.8 52.7 -26.7 -14.0 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Price-to-Free-Cash-Flow 1.78 13.7 19.3 3.8 22.6 14.9 15.1 998.1 -62.8 51.2 -31.7 7.6 12.4 97.8 1.1 -7.0 39.2 Value
ADR Screen 1.47 7.8 8.4 0.1 19.0 5.8 4.6 196.7 -68.7 31.1 -29.7 9.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Foolish Small Cap 8 2.37 8.5 11.3 -14.2 16.3 6.0 2.3 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
NASDAQ 100 1.78 7.6 8.4 0.5 15.2 13.7 10.9 215.6 -50.1 25.0 -27.5 -3.8 17.9 35.0 16.8 2.7 19.2 Indexes
Driehaus 2.22 9.7 13.5 16.3 14.6 12.0 18.4 608.2 -53.4 51.3 -25.7 8.1 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Est Rev: Top 30 Up 1.82 16.1 24.1 -0.9 14.5 14.8 19.8 595.3 -37.8 36.4 -26.7 7.3 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Dreman With Est Revisions 1.35 13.1 15.4 6.3 14.3 13.8 13.2 362.3 -39.9 21.4 -26.2 -0.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Inve$tWare Quality Growth 1.27 7.3 7.5 -6.0 14.2 10.2 7.2 239.3 -44.7 18.2 -22.0 3.3 21.6 30.4 19.7 -9.4 17.3 Growth
T. Rowe Price 1.66 9.3 11.1 39.9 13.5 16.3 10.0 625.1 -62.5 33.5 -20.0 19.2 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Dogs of the Dow: Low Priced 5 1.55 1.7 3.4 20.9 13.4 15.7 1.2 403.1 -82.9 27.6 -34.8 12.6 3.0 34.5 15.7 13.1 17.3 Value
S&P 500 Growth (TR) 1.10 6.3 6.3 4.3 13.4 12.9 9.1 241.1 -44.4 10.8 -16.5 1.5 14.9 35.5 14.6 4.7 15.0 Indexes
Wanger (Revised) 1.43 8.5 9.3 6.4 13.1 12.7 8.2 229.5 -51.3 22.8 -19.8 11.0 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Value on the Move--PEG With Est Growth 1.34 15.1 18.0 -13.8 12.8 11.6 9.9 281.6 -50.2 15.7 -23.1 -0.7 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Fisher (Philip) 2.21 0.9 4.0 -18.5 12.4 -0.6 0.3 89.9 -58.2 32.8 -27.9 -13.1 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Lakonishok 1.20 12.4 13.5 -3.7 12.3 8.5 11.9 263.0 -32.5 16.6 -17.9 6.5 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.2 -3.5 11.7 12.9 19.6 425.2 -23.4 30.8 -21.7 14.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
O'Shaughnessy: Growth Market Leaders 1.24 6.6 6.6 2.8 11.2 9.1 3.8 154.4 -50.5 13.6 -18.6 2.1 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.30 8.6 9.2 -0.6 11.0 11.2 9.0 302.3 -51.1 17.0 -21.7 3.9 3.9 42.6 14.9 4.1 28.0 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.1 13.4 -2.7 10.8 8.5 7.8 229.5 -50.1 12.7 -19.1 -2.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Price-to-Sales 1.33 12.5 14.4 9.0 10.7 8.3 7.7 283.0 -55.1 18.3 -20.6 21.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P MidCap 400 Growth (TR) 1.29 10.3 11.5 0.0 10.3 11.2 9.3 276.1 -47.7 19.0 -22.2 5.7 7.6 32.8 15.8 -0.9 30.6 Indexes
Stock Market Winners 1.43 15.6 19.5 0.8 10.3 17.3 13.5 542.2 -51.3 22.0 -23.4 -4.1 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 1.3 10.1 11.2 8.1 267.4 -49.4 15.7 -21.8 10.3 12.1 34.3 20.1 -2.4 22.8 Indexes
O'Shaughnessy: Tiny Titans 1.90 15.2 23.0 -2.6 10.0 11.0 6.6 307.0 -67.3 37.4 -21.0 0.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Buffett: Hagstrom 1.10 13.1 13.8 1.3 10.0 11.0 11.1 269.2 -39.8 13.2 -19.0 3.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P 500 Value (TR) 1.00 5.8 5.8 3.4 9.7 11.2 5.9 226.9 -56.0 11.3 -17.1 6.2 12.5 33.7 17.7 -0.5 15.1 Indexes
Dogs of the Dow 1.21 2.9 3.5 16.4 9.4 11.9 4.2 285.6 -69.0 17.1 -23.4 15.1 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 1.00 4.3 4.3 1.7 9.3 9.7 5.2 185.5 -52.6 10.8 -16.8 2.7 11.4 29.6 13.4 0.0 12.8 Indexes
Buffettology: Sustainable Growth 1.27 9.8 10.8 5.9 9.2 9.4 9.5 261.8 -41.9 16.5 -20.4 1.7 3.2 35.8 8.8 0.7 18.4 Growth & Value
Buffettology: EPS Growth 1.21 9.6 10.2 -0.9 8.8 11.3 9.0 286.2 -48.4 15.1 -20.8 -0.8 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P MidCap 400 1.19 8.1 8.5 -0.4 8.8 8.9 6.9 233.0 -50.5 14.8 -21.8 7.0 8.2 31.6 16.1 -3.1 24.9 Indexes
Weiss Blue Chip Div Yield 1.25 9.5 10.2 9.8 8.8 8.9 8.7 232.3 -43.1 16.0 -16.8 21.0 5.4 21.3 19.2 7.6 26.9 Value
S&P SmallCap 600 1.26 7.4 7.6 -1.5 8.8 9.8 6.5 243.9 -52.2 17.3 -20.2 5.5 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Neil's CAN SLIM No Float 1.38 12.8 15.1 -0.5 8.7 8.4 6.9 223.1 -61.6 23.5 -35.5 -1.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P SmallCap 600 Value (TR) 1.22 7.9 8.2 0.7 8.3 10.6 6.6 245.7 -51.0 18.4 -19.6 8.8 7.5 35.6 17.8 -1.2 24.7 Indexes
Dividend (High Relative Yield) 0.98 8.3 8.2 -0.4 8.1 8.9 5.7 169.6 -40.4 12.5 -14.2 9.2 2.0 40.6 9.8 3.0 19.4 Growth & Value
Graham--Enterprising Investor Revised 1.75 14.1 19.8 -10.8 7.9 4.8 18.7 485.4 -49.9 36.4 -22.4 -6.8 41.9 2.1 -4.9 -4.1 32.9 Value
Oberweis Octagon 1.94 9.7 12.6 9.6 7.9 9.2 5.0 264.1 -70.6 24.6 -23.2 33.1 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
O'Neil's CAN SLIM 1.92 14.4 21.6 -22.2 7.8 5.3 13.5 156.3 -10.1 69.6 -23.1 -7.0 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
O'Shaughnessy: Growth 1.50 12.3 15.1 0.4 7.5 7.7 6.5 218.9 -57.2 18.6 -17.9 6.9 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Graham--Defensive Investor (Utility) 1.02 7.9 7.9 40.0 7.4 6.9 5.1 96.6 -31.4 12.2 -13.7 12.2 16.0 10.0 1.2 8.6 4.6 Value
Dow Jones 30 0.98 4.6 4.5 1.8 6.3 7.6 4.9 153.9 -49.3 11.8 -15.1 2.9 7.5 26.5 7.3 5.5 11.0 Indexes
Return on Equity 1.27 10.3 11.3 -2.0 5.2 4.6 6.3 193.7 -47.2 14.6 -22.2 4.0 -8.8 34.2 10.1 -5.7 32.0 Growth
All Exchange-Listed Stocks 1.37 8.4 9.1 -11.8 5.0 5.4 4.6 227.2 -58.6 23.9 -22.1 3.5 5.0 38.1 14.8 -12.3 26.2 Indexes
Fundamental Rule of Thumb 1.69 9.6 11.8 -13.2 4.9 -0.7 2.0 116.3 -57.0 33.8 -19.2 2.6 -11.6 46.1 -6.9 -35.2 17.7 Value
O'Shaughnessy: Small Cap Growth & Value 1.52 13.2 16.7 -3.9 4.6 10.7 9.1 183.4 -50.6 18.5 -18.2 -3.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Cash Rich Firms 1.38 8.3 9.0 -19.9 4.5 3.8 1.7 80.9 -45.6 17.6 -20.7 -5.2 2.5 36.6 10.5 -32.8 14.4 Value
Dreman 1.25 9.1 9.7 -5.3 4.3 7.5 3.4 189.1 -55.0 23.9 -22.2 1.6 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Est Rev: Lowest 30 Down 2.33 -7.4 0.5 7.4 3.6 -1.1 -1.6 212.8 -71.0 43.0 -29.9 31.5 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Kirkpatrick Growth 2.10 10.1 14.1 -0.9 3.2 -4.0 9.3 109.2 -38.7 64.1 -23.1 1.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
O'Shaughnessy: All Cap 1.45 8.7 9.7 -8.1 3.1 3.2 2.8 127.6 -52.1 18.4 -21.5 17.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
P/E Relative 1.14 13.4 14.4 -9.7 2.6 6.0 9.7 204.3 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 12.3 14.4 -9.6 2.3 6.1 10.6 270.3 -52.1 25.8 -17.3 3.4 -13.1 33.9 18.9 7.0 31.4 Value
Zweig 1.91 11.4 15.8 -11.9 2.1 1.2 -2.1 30.6 -54.4 32.7 -24.2 5.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Templeton 1.26 8.8 9.4 -10.9 1.8 11.6 8.7 220.6 -40.0 14.5 -23.1 1.4 13.0 29.4 31.0 3.2 22.4 Growth & Value
Est Rev: Down 5% 1.95 -5.5 0.4 -4.1 1.8 -1.3 -0.9 151.3 -63.8 33.5 -30.5 13.1 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dual Cash Flow 1.55 10.0 11.8 -12.9 1.6 1.1 2.5 184.3 -61.0 34.7 -23.6 4.6 -3.2 48.9 5.1 -21.6 31.0 Growth
O'Shaughnessy: Value 1.34 3.8 4.5 -7.5 1.4 2.8 -0.4 143.8 -69.1 22.0 -23.8 3.4 -5.8 29.6 20.3 -11.2 7.4 Value
Lynch 1.27 9.1 9.8 -16.3 0.5 -3.2 2.5 98.2 -47.5 18.9 -21.3 6.2 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Kirkpatrick Bargain 1.37 6.6 6.6 -14.4 -2.0 0.1 6.7 92.7 -43.2 21.1 -21.7 -7.4 5.9 7.3 14.9 3.6 9.4 Growth & Value
MAGNET Simple Revised 2.30 -8.6 -0.1 -31.3 -3.1 -14.5 -3.6 -37.1 -31.0 38.9 -35.9 -28.9 -13.7 45.7 -25.0 -45.7 32.9
Neff 1.63 11.8 15.2 -28.7 -3.5 0.8 5.4 240.7 -52.8 32.6 -21.7 -7.2 5.1 39.5 15.0 -4.2 35.0 Growth & Value
MAGNET Complex Revised 2.20 -3.7 1.9 7.9 -4.6 -13.9 -6.6 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Magic Formula 1.63 7.5 8.1 -7.0 -4.8 -3.7 2.8 117.6 -51.6 30.7 -22.4 5.8 -16.5 27.9 7.9 -30.6 26.6 Value
Murphy Technology 2.73 -20.3 -3.3 -9.2 -5.7 0.8 -0.5 111.5 -58.3 58.5 -44.9 -13.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Piotroski: High F-Score 2.07 14.7 23.5 -26.3 -7.2 15.6 14.9 661.2 -53.6 43.1 -42.0 7.4 -0.3 137.6 91.7 -36.4 138.8 Value
Kirkpatrick Value 2.18 7.3 8.3 -16.3 -8.0 -8.5 0.3 -30.5 -23.3 49.0 -25.3 -8.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
MAGNET Simple 2.96 9.2 14.6 28.4 -8.0 -11.3 0.5 436.6 -75.9 52.1 -34.0 23.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Foolish Small Cap 8 Revised 2.38 8.4 11.1 -52.0 -8.1 -9.1 -1.2 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Rule #1 Investing 1.89 7.3 7.9 -56.0 -8.4 -0.4 3.8 234.2 -54.0 27.0 -28.5 -18.9 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Muhlenkamp 1.57 -3.2 0.3 -8.1 -8.6 -17.3 -13.3 -50.9 -49.0 21.0 -26.2 0.6 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Schloss 1.93 7.0 7.5 -24.6 -10.9 -5.2 -1.9 8.3 -37.6 27.1 -40.4 -11.7 -5.9 16.7 13.1 -35.1 12.5 Value
Insider Net Purchases 1.91 -11.7 -3.0 -36.2 -11.1 -9.1 -8.3 23.5 -65.5 27.8 -27.2 -16.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
MAGNET Complex 2.75 6.7 7.0 -53.7 -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