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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 11/28/2014
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
Kirkpatrick Value 2.22 8.1 10.0 -20.4 1.5 -5.2 7.8 -19.6 -23.3 49.0 -25.3 -17.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
MAGNET Complex 2.71 8.4 11.6 -2.2 -1.8 -4.3 -6.8 -32.0 -55.9 63.0 -28.2 -11.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.3 25.3 43.6 28.3 9.7 20.1 213.1 -10.1 69.6 -23.1 46.4 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Muhlenkamp 1.58 -4.5 -0.4 -50.7 -24.1 -24.0 -12.7 -60.9 -49.0 21.0 -26.2 -49.1 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 14.2 8.8 9.0 7.2 77.4 -31.4 12.0 -13.4 15.1 10.0 1.2 8.6 4.6 7.9 Value
O'Shaughnessy: Value 1.34 5.5 5.8 0.4 14.8 8.2 2.2 149.3 -69.1 22.0 -23.8 -2.0 29.6 20.3 -11.2 7.4 31.5 Value
Insider Net Purchases 1.87 -8.2 -1.3 -7.3 4.9 -3.0 -6.0 62.8 -65.5 27.8 -27.2 -17.0 21.5 11.5 -31.4 7.4 59.0 Specialty
Fisher (Philip) 2.20 1.8 4.4 9.7 11.8 -2.9 -0.1 64.2 -58.2 32.8 -27.9 5.6 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Kirkpatrick Bargain 1.37 7.7 8.1 5.9 8.7 8.8 13.3 114.5 -43.2 21.1 -21.7 3.4 7.3 14.9 3.6 9.4 22.2 Growth & Value
Dow Jones 30 0.97 5.0 4.9 10.8 13.9 11.5 5.5 134.3 -49.3 11.8 -15.1 7.6 26.5 7.3 5.5 11.0 18.8 Indexes
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 23.9 9.3 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Wanger (Revised) 1.44 8.7 9.7 3.5 22.9 16.3 10.0 177.4 -51.3 22.8 -19.8 0.6 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Schloss 1.92 8.2 9.7 -30.8 3.2 -3.8 5.5 18.0 -37.6 27.1 -40.4 -17.4 16.7 13.1 -35.1 12.5 57.5 Value
Zweig 1.89 12.3 17.5 -12.2 6.9 3.9 2.2 33.4 -54.4 32.7 -24.2 -13.7 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
S&P 500 1.00 4.6 4.6 14.5 18.3 13.5 5.8 159.1 -52.6 10.8 -16.8 11.9 29.6 13.4 0.0 12.8 23.5 Indexes
Cash Rich Firms 1.38 9.6 10.8 7.1 17.0 5.0 4.4 91.7 -45.6 17.6 -20.7 4.6 36.6 10.5 -32.8 14.4 56.9 Value
S&P 500 Growth (TR) 1.10 6.5 6.5 19.1 21.0 16.8 8.9 198.0 -44.4 10.8 -16.5 16.0 35.5 14.6 4.7 15.0 31.6 Indexes
S&P 500 Value (TR) 1.00 6.1 6.1 14.5 20.9 15.2 7.4 187.6 -56.0 11.3 -17.1 11.9 33.7 17.7 -0.5 15.1 21.2 Indexes
Kirkpatrick Growth 2.15 10.7 15.5 -2.8 -0.6 2.2 14.5 97.5 -38.7 64.1 -23.1 -1.9 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Foolish Small Cap 8 Revised 2.14 10.1 14.2 -2.1 13.5 -1.2 5.5 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 6.6 20.7 16.2 6.7 139.2 -50.5 13.6 -18.6 -4.7 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Inve$tWare Quality Growth 1.26 7.7 8.0 20.9 22.3 16.4 8.9 203.8 -44.7 18.2 -22.0 20.9 30.4 19.7 -9.4 17.3 39.6 Growth
Dogs of the Dow: Low Priced 5 1.58 0.3 2.6 10.3 20.8 18.1 0.2 259.9 -82.9 27.6 -34.8 7.4 34.5 15.7 13.1 17.3 -7.7 Value
Fundamental Rule of Thumb 1.71 10.4 13.1 -9.1 5.4 0.1 5.5 89.2 -57.0 33.8 -19.2 -9.4 46.1 -6.9 -35.2 17.7 92.1 Value
Buffettology: Sustainable Growth 1.29 10.4 11.5 6.3 16.2 14.7 11.0 226.2 -41.9 16.5 -20.4 3.9 35.8 8.8 0.7 18.4 68.0 Growth & Value
ADR Screen 1.48 8.4 9.3 32.8 19.2 9.9 7.7 172.5 -68.7 31.1 -29.7 31.8 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
NASDAQ 100 1.81 8.0 9.1 24.4 23.6 19.7 10.7 209.8 -50.1 25.0 -27.5 20.8 35.0 16.8 2.7 19.2 53.5 Indexes
Dogs of the Dow 1.22 2.6 3.3 11.9 17.1 15.7 3.5 210.2 -69.0 17.1 -23.4 10.1 27.9 9.6 10.7 19.4 8.1 Value
Dividend (High Relative Yield) 0.97 9.3 9.2 5.1 17.1 14.9 6.4 158.0 -40.4 12.5 -14.2 2.1 40.6 9.8 3.0 19.4 16.4 Growth & Value
Buffettology: EPS Growth 1.22 10.3 11.1 5.4 19.3 17.6 11.1 258.7 -48.4 15.1 -20.8 4.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
O'Neil's CAN SLIM No Float 1.40 13.3 16.0 5.2 14.4 12.1 8.0 196.6 -61.6 23.5 -35.5 2.7 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 26.8 33.0 18.4 10.2 272.1 -67.3 37.4 -21.0 21.4 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Shaughnessy: Growth 1.52 13.1 16.5 -0.4 21.7 17.1 9.6 195.8 -57.2 18.6 -17.9 0.9 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
Templeton 1.26 10.1 11.1 12.8 25.0 19.7 11.0 222.3 -40.0 14.5 -23.1 9.8 29.4 31.0 3.2 22.4 54.7 Growth & Value
Dreman 1.25 10.1 11.0 9.6 18.5 14.0 7.0 144.7 -55.0 23.9 -22.2 8.5 27.6 20.6 -11.7 22.7 37.2 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.7 21.6 18.0 9.9 224.8 -49.4 15.7 -21.8 10.5 34.3 20.1 -2.4 22.8 33.7 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 6.4 19.5 17.4 8.2 206.1 -51.0 18.4 -19.6 4.7 35.6 17.8 -1.2 24.7 20.6 Indexes
S&P MidCap 400 1.20 8.6 9.0 10.6 17.7 16.1 8.5 195.0 -50.5 14.8 -21.8 7.5 31.6 16.1 -3.1 24.9 35.0 Indexes
Lynch 1.24 10.7 11.7 -7.5 5.5 4.4 6.1 111.1 -47.5 18.9 -21.3 -3.7 24.3 0.7 -27.9 24.9 82.8 Growth & Value
S&P SmallCap 600 1.28 7.8 8.1 3.0 18.1 17.2 7.7 204.3 -52.2 17.3 -20.2 1.7 39.7 14.8 -0.2 25.0 23.8 Indexes
Foolish Small Cap 8 2.26 7.8 9.3 -26.5 -2.3 5.0 0.5 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.5 -1.7 23.3 21.4 13.6 171.2 -50.6 18.5 -18.2 -3.1 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
All Exchange-Listed Stocks 1.38 9.5 10.6 7.6 18.1 14.2 7.3 219.5 -58.6 23.9 -22.1 4.7 38.1 14.8 -12.3 26.2 65.8 Indexes
Dreman With Est Revisions 1.36 13.7 16.3 17.2 20.6 22.4 15.4 288.7 -39.9 21.4 -26.2 9.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Magic Formula 1.65 8.5 9.8 -10.0 6.8 3.1 4.1 130.9 -51.6 30.7 -22.4 -12.1 27.9 7.9 -30.6 26.6 97.0 Value
Weiss Blue Chip Div Yield 1.22 10.3 11.1 10.8 15.3 16.5 10.1 203.7 -43.1 16.0 -16.8 7.4 21.3 19.2 7.6 26.9 27.9 Value
Buffett: Hagstrom 1.12 14.0 14.9 11.0 18.0 19.3 12.5 227.3 -39.8 13.2 -19.0 8.5 35.4 13.0 8.2 27.7 30.0 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.8 9.5 2.1 18.4 19.2 9.6 238.0 -51.1 17.0 -21.7 0.8 42.6 14.9 4.1 28.0 30.7 Indexes
O'Shaughnessy: All Cap 1.38 9.7 11.0 1.6 9.1 11.0 7.4 118.0 -52.1 18.4 -21.5 -1.9 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
P/E Relative 1.13 15.3 16.5 7.7 16.5 16.6 14.4 199.0 -27.6 18.4 -18.3 6.6 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Price-to-Sales 1.33 12.9 15.0 -2.4 13.6 14.6 9.1 204.3 -55.1 18.3 -20.6 -5.2 36.3 11.3 -2.6 29.6 47.1 Growth & Value
Value on the Move--PEG With Est Growth 1.34 16.4 19.8 14.8 23.8 21.3 14.4 256.5 -50.2 15.7 -23.1 10.0 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Est Rev: Down 5% 1.96 -6.1 0.0 -14.3 5.2 2.6 0.0 110.1 -63.8 33.5 -30.5 -16.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
S&P MidCap 400 Growth (TR) 1.31 10.8 12.1 4.3 19.6 18.6 10.7 219.4 -47.7 19.0 -22.2 7.3 32.8 15.8 -0.9 30.6 38.1 Indexes
Dual Cash Flow 1.54 11.4 14.0 1.3 14.2 10.8 6.7 182.4 -61.0 34.7 -23.6 -2.6 48.9 5.1 -21.6 31.0 76.0 Growth
Graham--Defensive Investor (Non-Utility) 1.38 13.8 16.5 -7.2 12.8 16.5 15.5 259.0 -52.1 25.8 -17.3 -8.6 33.9 18.9 7.0 31.4 57.9 Value
Value on the Move--PEG With Hist Growth 1.06 14.0 14.5 5.8 16.7 18.1 10.1 199.7 -50.1 12.7 -19.1 3.4 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Return on Equity 1.29 10.9 12.2 -7.8 10.4 12.4 8.7 168.3 -47.2 14.6 -22.2 -8.1 34.2 10.1 -5.7 32.0 40.0 Growth
Lakonishok 1.21 13.1 14.4 12.2 16.4 16.2 14.2 219.6 -32.5 16.6 -17.9 9.2 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.3 21.9 31.4 9.8 11.5 24.2 353.0 -49.9 36.4 -22.4 34.0 2.1 -4.9 -4.1 32.9 168.4 Value
Neff 1.64 14.0 18.7 0.1 18.2 18.5 10.1 303.6 -52.8 32.6 -21.7 2.4 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Est Rev: Up 5% 1.76 18.2 27.1 5.8 20.7 21.6 23.3 322.4 -23.4 30.8 -21.7 3.8 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Est Rev: Lowest 30 Down 2.34 -9.9 -0.5 -21.1 2.1 1.1 -2.1 122.8 -71.0 43.0 -29.9 -24.1 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Price-to-Free-Cash-Flow 1.78 14.5 20.7 15.1 31.3 25.4 17.7 777.9 -62.8 51.2 -31.7 11.5 97.8 1.1 -7.0 39.2 147.2 Value
Murphy Technology 2.77 -15.4 -1.4 9.0 25.7 16.5 5.8 193.0 -58.3 58.5 -44.9 6.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Rule #1 Investing 1.81 10.7 14.2 48.8 34.7 28.2 13.8 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.9 18.4 48.9 29.8 19.0 10.2 179.2 -27.8 52.7 -26.7 44.0 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Graham--Enterprising Investor 1.75 11.8 15.8 -12.4 -0.6 6.6 12.6 126.9 -50.3 33.1 -23.4 -11.7 9.6 1.1 -1.1 43.5 48.5 Value
Est Rev: Top 30 Up 1.84 16.9 25.5 11.8 23.9 24.0 23.5 421.9 -37.8 36.4 -26.7 6.5 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
MAGNET Simple 2.99 9.5 15.5 -14.4 -19.5 -0.7 13.1 276.3 -75.9 52.1 -34.0 -14.4 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Driehaus 2.27 9.4 13.1 3.1 17.9 20.0 18.8 401.5 -53.4 51.3 -25.7 -3.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
Oberweis Octagon 1.92 10.1 13.4 -7.2 19.8 21.7 7.2 219.2 -70.6 24.6 -23.2 -6.1 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Stock Market Winners 1.46 16.0 20.5 12.6 19.2 35.1 13.8 411.7 -51.3 22.0 -23.4 8.0 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 17.8 30.0 5.4 69.9 33.9 27.0 1,043.2 -53.6 43.1 -42.0 7.5 137.6 91.7 -36.4 138.8 34.6 Value