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 7/31/2015
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 2014 2013 2012 2011 2010
O'Neil's CAN SLIM Revised 3rd Edition 1.88 13.6 19.8 66.0 45.5 34.4 13.2 287.7 -27.8 52.7 -26.7 45.6 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Piotroski: High F-Score 2.08 16.3 26.9 -24.4 40.2 25.9 20.6 902.2 -53.6 43.1 -42.0 -15.9 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Free-Cash-Flow 1.78 14.2 20.2 7.0 36.7 20.9 15.9 958.2 -62.8 51.2 -31.7 4.2 12.4 97.8 1.1 -7.0 39.2 Value
O'Neil's CAN SLIM 1.91 16.0 24.7 18.1 32.3 16.9 17.1 235.2 -10.1 69.6 -23.1 8.8 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Inve$tWare Quality Growth 1.27 8.4 8.9 42.1 27.2 19.2 9.1 299.6 -44.7 18.2 -22.0 20.4 21.6 30.4 19.7 -9.4 17.3 Growth
Value on the Move--PEG With Est Growth 1.34 16.5 19.9 25.6 27.0 21.2 13.2 334.5 -50.2 15.7 -23.1 16.3 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Foolish Small Cap 8 2.31 9.5 13.4 100.1 26.7 17.1 4.5 329.5 -67.7 38.8 -25.9 70.9 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 15.7 24.3 -0.6 26.4 11.8 7.8 301.6 -67.3 37.4 -21.0 -8.1 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Est Rev: Top 30 Up 1.83 16.8 25.4 20.5 22.9 22.9 22.1 589.9 -37.8 36.4 -26.7 12.8 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
ADR Screen 1.48 8.1 8.9 -2.2 22.3 9.3 7.4 201.1 -68.7 31.1 -29.7 3.8 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.52 14.0 18.0 14.7 21.1 18.7 10.8 196.9 -50.6 18.5 -18.2 -2.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Driehaus 2.25 9.6 13.5 32.7 21.0 20.0 19.4 532.7 -53.4 51.3 -25.7 13.1 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Fisher (Philip) 2.22 3.4 5.1 12.6 20.8 -3.1 0.0 121.7 -58.2 32.8 -27.9 24.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Dreman With Est Revisions 1.36 13.6 16.1 15.0 20.8 22.0 14.7 350.7 -39.9 21.4 -26.2 2.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
NASDAQ 100 1.80 8.0 9.1 17.9 20.2 19.7 11.1 227.8 -50.1 25.0 -27.5 8.3 17.9 35.0 16.8 2.7 19.2 Indexes
Templeton 1.26 9.8 10.7 13.1 20.0 17.7 9.9 262.4 -40.0 14.5 -23.1 -2.5 13.0 29.4 31.0 3.2 22.4 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 17.8 19.8 18.4 9.7 309.1 -51.1 17.0 -21.7 8.6 3.9 42.6 14.9 4.1 28.0 Indexes
Est Rev: Up 5% 1.76 18.0 26.7 21.5 19.4 21.3 22.5 423.8 -23.4 30.8 -21.7 13.8 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Wanger (Revised) 1.44 8.3 9.1 1.1 19.2 14.1 8.3 192.3 -51.3 22.8 -19.8 -3.5 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 14.4 19.1 15.2 8.9 238.1 -50.1 12.7 -19.1 6.4 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 12.0 18.8 16.8 9.8 273.1 -47.7 19.0 -22.2 9.1 7.6 32.8 15.8 -0.9 30.6 Indexes
O'Shaughnessy: Growth 1.51 12.7 15.9 2.8 18.7 15.1 8.0 214.0 -57.2 18.6 -17.9 -0.6 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Stock Market Winners 1.45 16.4 20.8 27.6 18.7 28.1 12.7 558.0 -51.3 22.0 -23.4 17.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 5.8 18.5 15.5 8.6 254.8 -49.4 15.7 -21.8 -0.6 12.1 34.3 20.1 -2.4 22.8 Indexes
S&P 500 Growth (TR) 1.10 6.6 6.6 15.5 18.5 17.9 9.0 239.0 -44.4 10.8 -16.5 6.5 14.9 35.5 14.6 4.7 15.0 Indexes
Lakonishok 1.20 13.1 14.4 20.7 18.2 16.8 13.5 272.9 -32.5 16.6 -17.9 6.2 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Rule #1 Investing 1.87 9.1 11.4 -28.9 18.0 17.1 8.5 442.5 -54.0 27.0 -28.5 -28.9 50.3 47.1 11.3 -1.0 40.0 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.7 6.7 0.1 17.5 13.1 4.6 144.8 -50.5 13.6 -18.6 -4.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.0 21.4 20.5 17.5 9.1 21.3 522.4 -49.9 36.4 -22.4 0.2 41.9 2.1 -4.9 -4.1 32.9 Value
S&P SmallCap 600 1.27 7.8 8.1 10.5 17.3 15.4 7.3 246.0 -52.2 17.3 -20.2 2.5 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.5 8.9 9.6 16.9 14.6 7.6 234.4 -50.5 14.8 -21.8 3.5 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 6.8 16.7 14.6 6.7 217.5 -56.0 11.3 -17.1 -0.1 12.5 33.7 17.7 -0.5 15.1 Indexes
Buffettology: EPS Growth 1.22 10.0 10.8 6.1 16.5 15.6 10.1 286.6 -48.4 15.1 -20.8 1.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.1 8.4 6.2 16.4 14.6 7.3 233.7 -51.0 18.4 -19.6 -2.0 7.5 35.6 17.8 -1.2 24.7 Indexes
Dreman 1.25 9.7 10.5 3.3 16.2 11.5 5.9 202.6 -55.0 23.9 -22.2 0.5 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Neff 1.63 13.7 18.2 9.3 15.5 13.6 10.1 372.7 -52.8 32.6 -21.7 0.8 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Buffett: Hagstrom 1.12 13.8 14.7 14.8 15.4 18.1 11.4 275.2 -39.8 13.2 -19.0 4.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
All Exchange-Listed Stocks 1.37 9.2 10.2 -0.2 15.3 11.6 6.4 258.2 -58.6 23.9 -22.1 0.1 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P 500 1.00 4.5 4.5 9.0 15.1 13.8 5.5 186.2 -52.6 10.8 -16.8 2.2 11.4 29.6 13.4 0.0 12.8 Indexes
Cash Rich Firms 1.38 9.3 10.4 -7.4 14.9 4.1 3.9 110.5 -45.6 17.6 -20.7 1.8 2.5 36.6 10.5 -32.8 14.4 Value
O'Neil's CAN SLIM No Float 1.39 13.5 16.2 22.5 14.5 15.8 6.6 234.7 -61.6 23.5 -35.5 13.6 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Buffettology: Sustainable Growth 1.28 10.0 11.0 3.2 13.9 11.5 9.6 243.2 -41.9 16.5 -20.4 -0.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
Foolish Small Cap 8 Revised 2.26 10.6 15.8 40.2 13.9 4.8 7.0 216.9 -64.0 42.9 -31.1 40.2 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Weiss Blue Chip Div Yield 1.23 9.9 10.6 3.5 13.1 16.1 9.3 226.2 -43.1 16.0 -16.8 1.8 5.4 21.3 19.2 7.6 26.9 Value
Oberweis Octagon 1.93 9.8 12.9 -0.1 12.8 12.0 6.8 241.4 -70.6 24.6 -23.2 1.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.97 8.7 8.6 -5.9 12.7 12.4 5.7 165.7 -40.4 12.5 -14.2 -3.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
P/E Relative 1.13 14.4 15.4 0.8 12.0 12.4 12.5 216.9 -27.6 18.4 -18.3 -3.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
MAGNET Complex 2.73 8.5 11.9 11.9 11.7 4.5 -2.8 -19.6 -55.9 63.0 -28.2 -6.8 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.57 0.3 2.5 5.9 11.5 17.3 0.0 321.0 -82.9 27.6 -34.8 5.3 3.0 34.5 15.7 13.1 17.3 Value
Fundamental Rule of Thumb 1.70 10.5 13.3 9.3 11.2 1.6 4.9 144.4 -57.0 33.8 -19.2 13.8 -11.6 46.1 -6.9 -35.2 17.7 Value
Zweig 1.91 12.4 17.8 8.3 11.2 4.4 0.2 53.3 -54.4 32.7 -24.2 16.2 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Murphy Technology 2.77 -19.1 -2.7 -33.4 10.9 7.9 1.7 141.3 -58.3 58.5 -44.9 -16.2 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Dow Jones 30 0.97 4.7 4.7 6.8 10.8 11.1 5.2 150.5 -49.3 11.8 -15.1 -0.7 7.5 26.5 7.3 5.5 11.0 Indexes
T. Rowe Price 1.66 8.4 9.6 0.0 10.3 21.2 7.5 418.1 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Return on Equity 1.28 10.7 11.9 3.9 10.0 10.2 7.1 194.3 -47.2 14.6 -22.2 4.4 -8.8 34.2 10.1 -5.7 32.0 Growth
Graham--Defensive Investor (Non-Utility) 1.38 13.1 15.6 -12.7 9.8 12.0 14.0 291.1 -52.1 25.8 -17.3 1.5 -13.1 33.9 18.9 7.0 31.4 Value
Dual Cash Flow 1.54 10.5 12.7 -16.1 9.8 4.9 4.2 194.2 -61.0 34.7 -23.6 -10.4 -3.2 48.9 5.1 -21.6 31.0 Growth
Price-to-Sales 1.33 12.3 14.2 -3.1 9.5 11.6 7.6 228.9 -55.1 18.3 -20.6 -2.0 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
O'Shaughnessy: Value 1.34 4.5 5.0 -12.1 9.2 6.6 0.8 157.8 -69.1 22.0 -23.8 -4.3 -5.8 29.6 20.3 -11.2 7.4 Value
Dogs of the Dow 1.22 2.0 2.8 -1.2 8.8 13.2 3.0 229.0 -69.0 17.1 -23.4 -3.1 6.8 27.9 9.6 10.7 19.4 Value
O'Shaughnessy: All Cap 1.40 9.2 10.3 -3.8 7.8 6.6 5.2 130.7 -52.1 18.4 -21.5 -3.8 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Kirkpatrick Growth 2.14 10.6 15.2 5.8 7.5 3.8 13.7 116.9 -38.7 64.1 -23.1 4.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Lynch 1.26 10.1 11.0 -14.4 7.4 -0.8 4.3 121.2 -47.5 18.9 -21.3 0.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Kirkpatrick Bargain 1.37 7.5 7.8 5.4 5.8 10.0 10.5 121.7 -43.2 21.1 -21.7 -2.4 5.9 7.3 14.9 3.6 9.4 Growth & Value
Est Rev: Down 5% 1.95 -6.1 0.1 -11.9 3.5 0.4 -0.9 138.1 -63.8 33.5 -30.5 -3.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Est Rev: Lowest 30 Down 2.33 -9.6 -0.4 -17.8 3.3 -1.3 -1.9 165.4 -71.0 43.0 -29.9 -2.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Insider Net Purchases 1.88 -7.0 -0.7 12.5 2.5 -3.1 -4.9 86.9 -65.5 27.8 -27.2 3.6 -11.9 21.5 11.5 -31.4 7.4 Specialty
Kirkpatrick Value 2.21 7.8 9.4 -8.0 -0.4 2.2 8.8 -23.8 -23.3 49.0 -25.3 -5.7 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Graham--Defensive Investor (Utility) 0.97 6.7 6.7 -9.7 -0.5 3.8 3.6 50.5 -31.4 12.0 -13.7 -18.5 16.0 10.0 1.2 8.6 4.6 Value
Magic Formula 1.65 7.9 8.8 -17.1 -0.5 -1.6 4.3 126.3 -51.6 30.7 -22.4 -4.4 -16.5 27.9 7.9 -30.6 26.6 Value
Schloss 1.94 7.9 9.3 15.8 -1.9 -1.0 2.2 34.5 -37.6 27.1 -40.4 -12.6 -5.9 16.7 13.1 -35.1 12.5 Value
Graham--Enterprising Investor 1.80 11.2 15.0 -16.0 -7.2 2.5 10.9 139.7 -50.3 33.1 -23.4 8.3 -20.6 9.6 1.1 -1.1 43.5 Value
MAGNET Simple 2.98 9.1 14.3 -9.8 -10.6 -0.1 5.8 352.2 -75.9 52.1 -34.0 -8.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Muhlenkamp 1.58 -2.8 0.6 40.6 -19.9 -21.7 -12.0 -48.0 -49.0 21.0 -26.2 18.5 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum