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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 8/29/2014
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
Piotroski: High F-Score 2.06 18.2 30.6 34.4 54.1 40.4 27.4 1,056.0 -53.6 43.1 -42.0 10.9 137.6 91.7 -36.4 138.8 34.6 Value
Stock Market Winners 1.46 15.9 20.2 5.1 15.2 32.3 15.0 372.2 -51.3 22.0 -23.4 0.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Oberweis Octagon 1.91 10.5 14.1 20.8 23.4 19.5 10.5 244.2 -70.6 24.6 -23.2 -4.8 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Driehaus 2.24 9.0 12.2 -7.9 10.7 19.0 18.8 327.9 -53.4 51.3 -25.7 -15.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
MAGNET Simple 2.98 9.7 16.0 -28.8 -19.5 5.3 13.2 291.1 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Est Rev: Top 30 Up 1.83 17.0 25.8 24.0 23.0 23.9 26.5 411.4 -37.8 36.4 -26.7 1.3 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
Graham--Enterprising Investor 1.74 12.8 17.4 13.5 6.1 12.8 16.4 176.2 -50.3 33.1 -23.4 2.4 9.6 1.1 -1.1 43.5 48.5 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.6 17.8 48.0 23.1 17.3 9.7 145.6 -27.8 52.7 -26.7 20.5 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
Murphy Technology 2.76 -12.2 -0.3 44.3 30.5 16.6 10.9 256.0 -58.3 58.5 -44.9 24.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Rule #1 Investing 1.81 10.9 14.4 52.1 33.2 33.8 15.3 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value
Price-to-Free-Cash-Flow 1.77 14.7 21.1 46.7 31.7 28.1 19.5 784.7 -62.8 51.2 -31.7 9.4 97.8 1.1 -7.0 39.2 147.2 Value
Est Rev: Lowest 30 Down 2.32 -6.7 0.8 12.5 8.2 6.5 2.3 179.5 -71.0 43.0 -29.9 -5.8 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Est Rev: Up 5% 1.76 18.4 27.3 16.3 22.7 22.1 26.0 310.2 -23.4 30.8 -21.7 -3.0 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Neff 1.63 14.2 19.0 18.3 18.8 20.4 12.0 304.4 -52.8 32.6 -21.7 -3.0 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Graham--Enterprising Investor Revised 1.74 15.5 22.1 28.8 5.9 14.5 25.8 341.8 -49.9 36.4 -22.4 18.0 2.1 -4.9 -4.1 32.9 168.4 Value
Lakonishok 1.20 13.1 14.4 23.4 15.4 16.7 15.3 209.2 -32.5 16.6 -17.9 -0.6 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Return on Equity 1.28 11.2 12.5 8.6 10.8 15.2 10.6 175.0 -47.2 14.6 -22.2 -8.4 34.2 10.1 -5.7 32.0 40.0 Growth
Value on the Move--PEG With Hist Growth 1.06 14.1 14.5 18.3 14.8 19.6 11.6 190.7 -50.1 12.7 -19.1 -3.7 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.6 17.6 16.1 20.1 20.8 18.3 302.4 -52.1 25.8 -17.3 1.1 33.9 18.9 7.0 31.4 57.9 Value
Dual Cash Flow 1.53 12.0 14.9 24.9 15.8 13.6 9.8 209.8 -61.0 34.7 -23.6 3.4 48.9 5.1 -21.6 31.0 76.0 Growth
S&P MidCap 400 Growth (TR) 1.31 10.8 12.2 18.8 20.7 19.0 11.7 216.0 -47.7 19.0 -22.2 0.7 32.8 15.8 -0.9 30.6 38.1 Indexes
Est Rev: Down 5% 1.95 -4.4 0.9 10.2 8.6 5.4 3.5 142.3 -63.8 33.5 -30.5 -4.8 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Value on the Move--PEG With Est Growth 1.33 16.6 20.0 25.5 23.0 22.1 16.3 251.0 -50.2 15.7 -23.1 0.8 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
P/E Relative 1.13 15.4 16.6 12.9 18.2 18.1 15.9 193.2 -27.6 18.4 -18.3 0.4 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Price-to-Sales 1.32 13.4 15.7 18.5 15.8 17.4 11.7 224.5 -55.1 18.3 -20.6 -4.1 36.3 11.3 -2.6 29.6 47.1 Growth & Value
O'Shaughnessy: All Cap 1.37 10.2 11.6 26.2 12.9 13.6 10.8 134.1 -52.1 18.4 -21.5 -1.4 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 8.9 9.6 16.2 19.7 19.5 11.2 234.3 -51.1 17.0 -21.7 -4.2 42.6 14.9 4.1 28.0 30.7 Indexes
Buffett: Hagstrom 1.11 14.0 14.8 16.7 16.1 19.3 13.2 210.5 -39.8 13.2 -19.0 0.3 35.4 13.0 8.2 27.7 30.0 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.4 11.2 21.5 17.6 18.9 10.8 202.5 -43.1 16.0 -16.8 3.6 21.3 19.2 7.6 26.9 27.9 Value
Magic Formula 1.64 9.0 10.6 9.9 6.7 5.6 5.9 154.7 -51.6 30.7 -22.4 -3.7 27.9 7.9 -30.6 26.6 97.0 Value
Dreman With Est Revisions 1.36 13.8 16.4 31.4 26.4 22.1 17.0 277.3 -39.9 21.4 -26.2 2.0 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
All Exchange-Listed Stocks 1.38 9.8 11.0 25.7 18.4 16.1 9.3 233.5 -58.6 23.9 -22.1 5.3 38.1 14.8 -12.3 26.2 65.8 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.52 14.5 18.8 14.0 23.1 19.2 15.6 169.8 -50.6 18.5 -18.2 -12.5 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Dividend Screen: Non-DRPs 0.91 13.7 13.1 18.3 17.6 15.2 8.5 197.7 -48.1 17.6 -15.3 5.2 22.2 18.1 4.3 25.3 25.4 Growth & Value
Foolish Small Cap 8 2.26 7.8 9.5 -13.8 -0.1 11.0 2.8 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
S&P SmallCap 600 1.27 7.8 8.2 17.5 19.2 17.4 9.3 202.1 -52.2 17.3 -20.2 -3.1 39.7 14.8 -0.2 25.0 23.8 Indexes
Lynch 1.24 11.4 12.5 25.5 6.2 9.3 9.7 133.4 -47.5 18.9 -21.3 9.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
S&P MidCap 400 1.20 8.7 9.2 21.5 18.0 17.1 9.6 194.1 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
S&P SmallCap 600 Value (TR) 1.22 8.4 8.8 17.1 20.5 17.3 9.7 203.0 -51.0 18.4 -19.6 -0.8 35.6 17.8 -1.2 24.7 20.6 Indexes
S&P MidCap 400 Value (TR) 1.11 8.8 9.1 25.5 22.6 18.9 11.1 225.7 -49.4 15.7 -21.8 5.3 34.3 20.1 -2.4 22.8 33.7 Indexes
Dreman 1.25 10.2 11.1 17.0 19.5 15.0 8.4 142.3 -55.0 23.9 -22.2 4.9 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Templeton 1.26 10.0 10.9 6.9 23.5 18.3 11.8 207.3 -40.0 14.5 -23.1 -2.7 29.4 31.0 3.2 22.4 54.7 Growth & Value
O'Shaughnessy: Growth 1.51 13.5 17.1 25.0 21.0 20.0 13.0 208.7 -57.2 18.6 -17.9 -1.6 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
IBD Stable 70 1.19 10.1 10.8 10.1 18.0 17.6 8.5 207.1 -50.6 18.4 -21.9 -6.7 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: Tiny Titans 1.93 16.7 26.1 49.4 28.2 19.0 12.8 271.5 -67.3 37.4 -21.0 16.1 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 7.1 12.3 14.7 8.1 186.1 -61.6 23.5 -35.5 -5.4 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Buffettology: EPS Growth 1.22 10.3 11.1 17.8 18.4 19.2 11.7 252.1 -48.4 15.1 -20.8 0.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
Dividend Screen: DRPs 1.10 8.8 9.1 22.8 16.4 14.3 6.4 184.7 -50.4 20.5 -18.2 4.2 26.1 10.9 1.9 19.8 29.4 Growth & Value
Dividend (High Relative Yield) 0.97 9.7 9.6 25.8 20.2 16.7 7.6 166.6 -40.4 12.5 -14.2 4.6 40.6 9.8 3.0 19.4 16.4 Growth & Value
Dogs of the Dow 1.22 2.4 3.2 16.7 18.1 16.9 3.0 201.3 -69.0 17.1 -23.4 4.8 27.9 9.6 10.7 19.4 8.1 Value
NASDAQ 100 1.81 7.8 8.9 32.8 22.1 20.2 11.5 191.6 -50.1 25.0 -27.5 8.4 35.0 16.8 2.7 19.2 53.5 Indexes
ADR Screen 1.48 8.7 9.7 62.2 15.7 12.6 9.7 183.2 -68.7 31.1 -29.7 35.1 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Buffettology: Sustainable Growth 1.28 10.5 11.6 16.8 14.4 16.5 11.8 220.9 -41.9 16.5 -20.4 -0.3 35.8 8.8 0.7 18.4 68.0 Growth & Value
Fundamental Rule of Thumb 1.71 10.6 13.6 14.1 4.1 2.2 9.4 96.0 -57.0 33.8 -19.2 -8.0 46.1 -6.9 -35.2 17.7 92.1 Value
Inve$tWare Quality Growth 1.26 7.3 7.5 21.7 17.0 15.4 8.8 176.5 -44.7 18.2 -22.0 3.0 30.4 19.7 -9.4 17.3 39.6 Growth
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 20.1 22.5 17.9 0.1 250.2 -82.9 27.6 -34.8 2.4 34.5 15.7 13.1 17.3 -7.7 Value
O'Shaughnessy: Growth Market Leaders 1.23 7.4 7.6 31.6 19.9 16.0 7.9 133.1 -50.5 13.6 -18.6 -2.4 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Foolish Small Cap 8 Revised 2.14 10.2 14.4 -2.1 -9.3 5.1 6.0 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Kirkpatrick Growth 2.15 10.9 15.9 13.5 -7.9 4.4 17.1 101.9 -38.7 64.1 -23.1 -2.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
S&P 500 Value (TR) 1.00 6.1 6.1 23.0 21.0 15.9 8.1 180.9 -56.0 11.3 -17.1 5.3 33.7 17.7 -0.5 15.1 21.2 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.3 27.5 20.3 17.9 8.9 184.0 -44.4 10.8 -16.5 6.0 35.5 14.6 4.7 15.0 31.6 Indexes
Cash Rich Firms 1.37 10.4 11.8 32.9 19.7 10.1 7.3 116.4 -45.6 17.6 -20.7 12.7 36.6 10.5 -32.8 14.4 56.9 Value
Zweig 1.85 13.4 19.3 29.6 15.7 6.6 6.3 64.1 -54.4 32.7 -24.2 -8.4 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
S&P 500 1.00 4.4 4.4 22.7 18.0 14.4 6.1 151.1 -52.6 10.8 -16.8 4.5 29.6 13.4 0.0 12.8 23.5 Indexes
Wanger (Revised) 1.43 8.9 10.0 29.9 24.4 18.8 12.1 184.6 -51.3 22.8 -19.8 -3.4 51.1 23.5 -5.2 12.5 24.7 Growth & Value
Schloss 1.91 8.0 9.4 -18.7 1.5 -3.6 3.1 10.0 -37.6 27.1 -40.4 -29.0 16.7 13.1 -35.1 12.5 57.5 Value
T. Rowe Price 1.67 8.7 10.2 4.4 4.5 24.9 11.2 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Dow Jones 30 0.97 4.8 4.7 15.4 13.7 12.5 5.3 124.7 -49.3 11.8 -15.1 -0.1 26.5 7.3 5.5 11.0 18.8 Indexes
Kirkpatrick Bargain 1.37 7.7 8.2 8.2 4.9 8.8 15.5 111.2 -43.2 21.1 -21.7 -2.0 7.3 14.9 3.6 9.4 22.2 Growth & Value
Fisher (Philip) 2.20 3.0 4.9 24.6 9.8 -1.6 2.0 76.4 -58.2 32.8 -27.9 9.1 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
O'Shaughnessy: Value 1.34 6.2 6.3 24.4 16.9 11.6 4.0 166.5 -69.1 22.0 -23.8 2.6 29.6 20.3 -11.2 7.4 31.5 Value
Insider Net Purchases 1.87 -8.1 -1.3 -8.0 1.7 -2.7 -4.1 64.4 -65.5 27.8 -27.2 -18.8 21.5 11.5 -31.4 7.4 59.0 Specialty
Graham--Defensive Investor (Utility) 0.92 8.2 8.1 13.4 8.6 8.5 7.8 70.6 -31.4 12.0 -13.4 4.7 10.0 1.2 8.6 4.6 7.9 Value
Muhlenkamp 1.54 -4.9 -0.9 -45.7 -28.7 -24.9 -11.4 -64.0 -49.0 21.0 -26.2 -56.5 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.0 37.8 19.2 8.5 19.0 183.7 -10.1 69.6 -23.1 32.7 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
MAGNET Complex 2.71 8.5 11.9 20.1 -3.6 -6.5 -3.9 -30.5 -55.9 63.0 -28.2 -10.6 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Kirkpatrick Value 2.21 8.5 10.8 -3.7 -6.4 -3.4 13.5 -11.0 -23.3 49.0 -25.3 -13.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value