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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 3/31/2014
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
ADR Screen 1.48 8.4 9.3 73.3 6.1 20.9 8.4 158.7 -68.7 -29.7 25.2 33.2 1.0 -25.9 18.8 53.2 53.2 Growth & Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 17.0 26.8 47.3 17.1 29.7 12.4 266.8 -67.3 -21.0 19.7 54.4 20.0 -22.9 21.1 71.1 71.1 Value With Price Momentum
Piotroski: High F-Score 2.06 18.9 32.1 68.1 51.9 65.8 28.3 1,152.8 -53.6 -42.0 17.8 137.6 92.0 -36.4 138.8 34.6 34.6 Value
Lynch 1.23 12.2 13.5 38.7 1.5 20.6 11.4 155.4 -47.5 -21.3 16.6 24.3 1.0 -27.9 24.9 82.8 82.8 Growth & Value
Zweig 1.82 14.2 20.4 35.3 5.9 12.2 6.6 77.8 -54.4 -24.2 15.0 26.2 6.0 -18.3 12.8 -13.3 -13.3 Growth & Value
O'Neil's CAN SLIM 1.90 15.9 24.4 9.3 8.3 19.2 17.5 140.8 -10.1 -23.1 12.6 13.1 18.0 -10.2 -9.6 97.3 97.3 Growth With Price Momentum
Murphy Technology 2.76 -15.1 -1.3 33.9 14.8 24.6 7.4 200.1 -58.3 -44.9 8.8 39.7 42.0 -29.8 40.0 28.8 28.8 Growth & Value
Rule #1 Investing 1.77 9.9 12.5 48.6 19.5 37.2 10.1 386.6 -54.0 -26.8 8.4 47.1 11.0 -1.0 40.0 99.8 99.8 Growth & Value
Price-to-Free-Cash-Flow 1.77 14.9 21.4 87.7 21.7 53.4 17.9 749.1 -62.8 -31.7 7.8 97.8 1.0 -7.0 39.2 147.2 147.2 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.85 12.2 17.1 51.7 9.6 15.8 5.4 108.0 -27.8 -26.7 7.3 55.2 7.0 -30.1 42.7 16.8 16.8 Growth With Price Momentum
Graham--Defensive Investor (Utility) 0.90 8.3 8.1 5.4 7.7 10.5 7.7 64.7 -31.4 -13.4 6.9 10.0 1.0 8.6 4.6 7.9 7.9 Value
Graham--Enterprising Investor Revised 1.74 14.9 21.2 1.0 -3.1 29.1 22.0 259.2 -49.9 -22.4 6.2 2.1 -5.0 -4.1 32.9 168.4 168.4 Value
Stock Market Winners 1.46 16.6 21.3 27.8 21.9 38.1 13.7 402.0 -51.3 -23.4 6.0 34.8 14.0 21.2 124.6 -9.0 -9.0 Growth & Value With Price Momentum
Cash Rich Firms 1.37 10.1 11.4 29.6 4.2 14.2 5.3 93.8 -45.6 -20.7 5.8 36.6 10.0 -32.8 14.4 56.9 56.9 Value
Insider Net Purchases 1.82 -5.0 0.2 9.9 -1.0 15.6 -3.4 106.4 -65.5 -27.2 5.3 21.5 12.0 -31.4 7.4 59.0 59.0 Specialty
O'Shaughnessy: Growth 1.51 13.8 17.6 29.1 13.7 25.2 13.0 207.8 -57.2 -17.9 5.0 38.7 29.0 -7.5 21.3 22.4 22.4 Value With Price Momentum
Dual Cash Flow 1.53 12.2 15.2 38.5 7.1 25.0 8.7 204.7 -61.0 -23.6 5.0 48.9 5.0 -21.6 31.0 76.0 76.0 Growth
All Exchange-Listed Stocks 1.37 9.8 11.0 29.4 10.9 26.1 7.9 219.2 -58.6 -22.1 4.6 38.1 15.0 -12.3 26.2 65.8 65.8 Indexes
S&P MidCap 400 Value (TR) 1.11 8.7 8.9 21.6 14.5 25.0 10.1 205.6 -49.4 -21.8 4.0 34.3 20.0 -2.4 22.8 33.7 33.7 Indexes
Dividend (High Relative Yield) 0.96 9.8 9.7 31.9 17.0 21.2 7.9 161.6 -40.4 -14.2 3.6 40.6 10.0 3.0 19.4 16.4 16.4 Growth & Value
Templeton 1.24 10.3 11.1 26.2 21.9 24.8 11.1 202.8 -40.0 -23.1 3.2 29.4 31.0 3.2 22.4 54.7 54.7 Growth & Value
Lakonishok 1.20 13.3 14.6 13.7 9.9 24.7 15.4 201.7 -32.5 -17.9 3.0 26.8 8.0 -0.6 32.7 53.5 53.5 Value With Price Momentum
Weiss Blue Chip Div Yield 1.21 10.4 11.3 16.8 14.4 23.8 10.3 191.0 -43.1 -16.8 2.9 21.3 19.0 7.6 26.9 27.9 27.9 Value
Muhlenkamp 1.40 3.0 4.0 4.3 -19.5 -4.6 -4.0 -21.0 -49.0 -17.6 2.9 -14.3 -3.0 -45.9 2.7 45.2 45.2 Growth & Value With Price Momentum
Dreman 1.25 10.2 11.1 17.6 11.2 18.3 7.8 131.9 -55.0 -22.2 2.8 27.6 21.0 -11.7 22.7 37.2 37.2 Growth & Value
S&P MidCap 400 1.19 8.7 9.1 19.5 11.7 23.0 8.6 181.9 -50.5 -21.8 2.7 31.6 16.0 -3.1 24.9 35.0 35.0 Indexes
Dreman With Est Revisions 1.36 13.9 16.6 28.4 18.8 29.5 17.2 263.5 -39.9 -26.2 2.6 35.8 13.0 21.6 26.5 62.9 62.9 Earnings Estimates
Dividend Screen: DRPs 1.10 8.7 8.9 19.6 11.8 22.0 6.3 170.2 -50.4 -18.2 2.4 26.1 11.0 1.9 19.8 29.4 29.4 Growth & Value
S&P 500 Value (TR) 1.00 5.8 5.8 20.5 13.9 21.3 7.4 162.8 -56.0 -17.1 2.3 33.7 18.0 -0.5 15.1 21.2 21.2 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.5 8.9 24.0 14.9 24.5 9.2 198.6 -51.0 -19.6 2.1 35.6 18.0 -1.2 24.7 20.6 20.6 Indexes
S&P MidCap 400 Growth (TR) 1.30 10.9 12.3 27.9 16.0 25.7 11.0 214.1 -47.7 -22.2 2.1 32.8 16.0 -0.9 30.6 38.1 38.1 Indexes
Est Rev: Lowest 30 Down 2.32 -5.6 1.3 18.3 -3.0 24.5 1.2 199.0 -71.0 -29.9 1.8 29.7 9.0 -34.1 37.8 106.2 106.2 Earnings Estimates
Buffettology: EPS Growth 1.22 10.5 11.4 28.5 18.0 28.5 10.6 250.8 -48.4 -20.8 1.8 38.4 17.0 3.8 20.5 57.5 57.5 Growth & Value
Magic Formula 1.64 9.4 11.2 15.9 -1.7 21.7 5.4 167.1 -51.6 -22.4 1.7 27.9 8.0 -30.6 26.6 97.0 97.0 Value
Kirkpatrick Bargain 1.36 7.9 8.4 -1.8 3.6 16.1 15.2 110.8 -43.2 -21.7 1.6 7.3 15.0 3.6 9.4 22.2 22.2 Growth & Value
Fundamental Rule of Thumb 1.70 11.2 14.5 31.4 -2.4 16.2 9.3 112.0 -57.0 -19.2 1.5 46.1 -7.0 -35.2 17.7 92.1 92.1 Value
Est Rev: Down 5% 1.95 -3.7 1.3 18.1 -1.4 20.6 2.1 155.2 -63.8 -30.5 1.5 28.2 9.0 -31.1 30.3 76.0 76.0 Earnings Estimates
S&P 500 Growth (TR) 1.10 5.9 5.9 23.1 15.4 21.1 7.7 160.5 -44.4 -16.5 1.4 35.5 15.0 4.7 15.0 31.6 31.6 Indexes
S&P 500 1.00 4.1 4.1 19.3 12.2 18.6 5.2 134.7 -52.6 -16.8 1.3 29.6 13.0 0.0 12.8 23.5 23.5 Indexes
Dividend Screen: Non-DRPs 0.91 13.7 13.1 15.1 14.4 23.1 8.3 182.9 -48.1 -15.3 1.3 22.2 18.0 4.3 25.3 25.4 25.4 Growth & Value
Wanger (Revised) 1.43 9.0 10.1 38.5 18.1 22.7 11.5 178.6 -51.3 -19.8 1.1 51.1 24.0 -5.2 12.5 24.7 24.7 Growth & Value
Inve$tWare Quality Growth 1.25 7.0 7.2 23.3 11.3 20.5 7.6 153.9 -44.7 -22.0 1.1 30.4 20.0 -9.4 17.3 39.6 39.6 Growth
Graham--Defensive Investor (Non-Utility) 1.37 14.9 18.0 29.2 16.3 31.7 17.7 296.4 -52.1 -17.3 0.9 33.9 19.0 7.0 31.4 57.9 57.9 Value
P/E Relative 1.13 15.6 16.8 15.5 10.7 23.1 15.6 182.8 -27.6 -18.3 0.8 29.5 14.0 -1.9 29.6 51.8 51.8 Earnings Estimates
S&P SmallCap 600 1.26 8.0 8.4 26.3 14.5 24.7 8.9 201.7 -52.2 -20.2 0.8 39.7 15.0 -0.2 25.0 23.8 23.8 Indexes
Buffett: Hagstrom 1.11 14.2 15.1 21.9 16.1 24.9 13.8 204.1 -39.8 -19.0 0.8 35.4 13.0 8.2 27.7 30.0 30.0 Growth & Value
Dogs of the Dow 1.22 2.1 2.9 15.0 15.3 23.2 2.2 184.1 -69.0 -23.4 0.8 27.9 10.0 10.7 19.4 8.1 8.1 Value
Neff 1.63 14.4 19.4 27.3 9.7 31.7 11.2 296.6 -52.8 -21.7 0.6 39.5 15.0 -4.2 35.0 52.5 52.5 Growth & Value
Buffettology: Sustainable Growth 1.28 10.7 11.8 24.8 13.5 25.9 11.0 215.8 -41.9 -20.4 0.6 35.8 9.0 0.7 18.4 68.0 68.0 Growth & Value
NASDAQ 100 1.81 7.5 8.3 27.6 15.4 23.8 9.6 156.8 -50.1 -27.5 0.1 35.0 17.0 2.7 19.2 53.5 53.5 Indexes
S&P SmallCap 600 Growth (TR) 1.31 9.1 9.9 27.5 16.1 27.4 10.9 235.6 -51.1 -21.7 0.1 42.6 15.0 4.1 28.0 30.7 30.7 Indexes
T. Rowe Price 1.67 8.7 10.1 17.5 12.4 33.9 11.3 330.5 -62.5 -20.0 0.0 28.5 -15.0 117.4 11.9 40.1 40.1 Growth & Value
Foolish Small Cap 8 Revised 2.14 10.5 15.0 0.0 -6.6 15.5 5.5 105.1 -64.0 -31.1 0.0 0.4 42.0 -49.2 15.4 161.0 161.0 Growth & Value
Kirkpatrick Growth 2.14 11.1 16.3 6.0 -4.6 15.0 15.9 101.1 -38.7 -23.1 -0.1 18.1 -10.0 -11.6 15.3 80.2 80.2 Growth With Price Momentum
O'Shaughnessy: Value 1.34 6.0 6.1 19.5 9.9 20.5 3.6 153.7 -69.1 -23.8 -0.3 29.6 20.0 -11.2 7.4 31.5 31.5 Value
Price-to-Sales 1.31 13.7 16.0 25.3 10.8 26.2 9.5 219.7 -55.1 -20.6 -0.4 36.3 11.0 -2.6 29.6 47.1 47.1 Growth & Value
Kirkpatrick Value 2.20 8.8 11.7 6.1 5.6 -0.7 13.0 -3.6 -23.3 -25.3 -0.5 21.9 19.0 -15.1 -25.5 -8.9 -8.9 Growth & Value
Dow Jones 30 0.97 4.7 4.6 12.9 10.1 16.7 4.7 116.3 -49.3 -15.1 -0.7 26.5 7.0 5.5 11.0 18.8 18.8 Indexes
Dogs of the Dow: Low Priced 5 1.58 -0.3 2.2 19.0 19.2 27.2 -0.7 232.7 -82.9 -34.8 -0.7 34.5 16.0 13.1 17.3 -7.7 -7.7 Value
Est Rev: Top 30 Up 1.83 17.3 26.1 24.8 15.6 37.2 25.6 386.2 -37.8 -26.7 -0.8 42.1 22.0 -2.3 47.6 110.0 110.0 Earnings Estimates
Oberweis Octagon 1.91 10.6 14.3 15.3 11.4 27.5 9.1 236.3 -70.6 -23.2 -1.0 38.9 33.0 -14.7 78.4 2.1 2.1 Growth & Value With Price Momentum
IBD Stable 70 1.18 10.6 11.4 23.4 17.2 26.4 9.2 222.8 -50.6 -21.9 -1.2 34.3 25.0 3.7 21.2 56.0 56.0 Growth
Fisher (Philip) 2.20 1.2 4.1 16.8 -9.1 8.8 2.1 52.6 -58.2 -27.9 -1.9 39.5 -1.0 -50.9 9.2 107.9 107.9 Growth & Value
O'Shaughnessy: All Cap 1.37 10.1 11.4 15.0 5.9 16.8 10.2 117.4 -52.1 -21.5 -2.1 18.4 12.0 -5.0 29.4 23.3 23.3 Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.6 16.3 13.3 10.2 22.8 8.0 179.7 -61.6 -35.5 -3.2 30.8 9.0 -3.9 20.6 36.9 36.9 Growth With Price Momentum
Value on the Move--PEG With Est Growth 1.33 16.5 19.7 36.0 15.5 25.6 14.9 213.2 -50.2 -23.1 -3.3 59.5 9.0 -0.3 29.7 24.2 24.2 Growth & Value With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 14.2 14.6 29.7 12.0 22.7 10.9 178.2 -50.1 -19.1 -4.0 49.2 4.0 1.0 31.7 23.9 23.9 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 23.1 14.2 17.6 6.0 125.2 -50.5 -18.6 -4.2 48.5 16.0 -1.2 15.7 12.6 12.6 Value With Price Momentum
Graham--Enterprising Investor 1.74 12.5 17.0 9.5 1.4 19.6 14.6 144.8 -50.3 -23.4 -4.8 9.6 1.0 -1.1 43.5 48.5 48.5 Value
Return on Equity 1.28 11.5 12.9 18.5 8.3 22.6 10.0 177.1 -47.2 -22.2 -5.1 34.2 10.0 -5.7 32.0 40.0 40.0 Growth
Est Rev: Up 5% 1.75 18.5 27.5 11.6 14.7 30.7 24.8 281.2 -23.4 -21.7 -6.3 27.7 29.0 6.1 35.9 86.3 86.3 Earnings Estimates
O'Shaughnessy: Small Cap Growth & Value 1.51 14.8 19.1 16.8 14.4 21.2 14.5 161.3 -50.6 -18.2 -6.6 46.8 30.0 -0.3 26.1 -3.3 -3.3 Value With Price Momentum
MAGNET Complex 2.72 8.7 12.4 22.9 7.2 -6.6 -3.2 -29.0 -55.9 -28.2 -7.5 32.9 -20.0 6.9 -20.4 -31.1 -31.1 Growth & Value With Price Momentum
Driehaus 2.23 9.5 13.3 13.3 7.7 36.6 17.2 376.5 -53.4 -25.7 -8.1 47.7 17.0 -14.1 65.7 106.0 106.0 Growth With Price Momentum
MAGNET Simple 2.98 9.9 16.6 -33.3 -19.7 31.8 13.6 297.8 -75.9 -34.0 -9.5 -31.1 -12.0 19.5 56.1 339.5 339.5 Growth & Value With Price Momentum
Schloss 1.91 8.1 9.5 -15.8 -17.4 1.5 4.4 7.5 -37.6 -40.4 -24.7 16.7 13.0 -35.1 12.5 57.5 57.5 Value
Foolish Small Cap 8 2.26 8.2 10.3 -1.0 -8.4 17.6 2.8 124.5 -67.7 -25.9 -25.6 32.9 17.0 -14.9 25.2 48.1 48.1 Growth With Price Momentum