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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 10/31/2014
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
Muhlenkamp 1.58 -5.0 -0.8 -51.0 -27.1 -24.6 -12.0 0.0 -60.3 -49.0 21.0 -26.2 -52.3 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.4 -13.4 -0.9 8.7 1.6 0.0 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Zweig 1.89 11.9 16.7 -19.0 2.1 0.6 1.4 0.0 62.4 -54.4 32.7 -24.2 -24.8 26.2 6.4 -18.3 12.8 Growth & Value
Est Rev: Lowest 30 Down 2.33 -9.0 -0.1 -13.2 0.9 2.6 -0.1 0.0 198.9 -71.0 43.0 -29.9 -19.0 29.7 9.3 -34.1 37.8 Earnings Estimates
Kirkpatrick Value 2.21 8.1 10.0 -20.4 -0.4 -3.3 10.7 0.0 -14.3 -23.3 49.0 -25.3 -17.4 21.9 19.4 -15.1 -25.5 Growth & Value
Schloss 1.92 8.2 9.7 -17.8 2.4 -2.2 3.6 0.0 9.3 -37.6 27.1 -40.4 -17.2 16.7 13.1 -35.1 12.5 Value
Insider Net Purchases 1.87 -8.1 -1.3 -10.6 5.4 -3.0 -5.1 0.0 92.2 -65.5 27.8 -27.2 -16.6 21.5 11.5 -31.4 7.4 Specialty
Est Rev: Down 5% 1.95 -5.8 0.2 -8.0 3.2 3.1 1.4 0.0 158.4 -63.8 33.5 -30.5 -13.9 28.2 9.2 -31.1 30.3 Earnings Estimates
MAGNET Simple 2.99 9.6 15.6 -13.5 -19.7 5.2 14.0 0.0 324.4 -75.9 52.1 -34.0 -13.5 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Magic Formula 1.65 8.6 9.9 -7.2 5.7 3.2 4.3 0.0 161.4 -51.6 30.7 -22.4 -10.8 27.9 7.9 -30.6 26.6 Value
Fundamental Rule of Thumb 1.71 10.4 13.1 -3.8 4.2 0.3 7.7 0.0 114.2 -57.0 33.8 -19.2 -10.6 46.1 -6.9 -35.2 17.7 Value
Kirkpatrick Growth 2.15 10.6 15.3 -4.2 -5.1 4.4 15.2 0.0 108.9 -38.7 64.1 -23.1 -6.1 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Return on Equity 1.29 11.1 12.4 -3.4 10.6 13.7 9.8 0.0 180.1 -47.2 14.6 -22.2 -5.9 34.2 10.1 -5.7 32.0 Growth
Driehaus 2.26 9.4 13.0 3.5 17.0 21.0 19.1 0.0 373.4 -53.4 51.3 -25.7 -5.6 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Graham--Enterprising Investor 1.75 12.2 16.4 -6.1 1.9 8.6 14.6 0.0 166.0 -50.3 33.1 -23.4 -4.7 9.6 1.1 -1.1 43.5 Value
O'Shaughnessy: Growth Market Leaders 1.23 7.2 7.3 4.7 18.3 16.1 7.0 0.0 137.3 -50.5 13.6 -18.6 -4.3 48.5 15.8 -1.2 15.7 Value With Price Momentum
MAGNET Complex 2.71 8.6 12.2 18.7 -1.5 -2.6 -5.8 0.0 -29.0 -55.9 63.0 -28.2 -3.7 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Oberweis Octagon 1.92 10.2 13.6 2.4 21.2 17.8 9.3 0.0 243.7 -70.6 24.6 -23.2 -3.6 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Price-to-Sales 1.33 13.1 15.2 4.5 14.1 15.9 10.2 0.0 232.5 -55.1 18.3 -20.6 -3.5 36.3 11.3 -2.6 29.6 Growth & Value
IBD Stable 70 1.19 10.2 10.9 0.9 18.0 17.6 8.0 0.0 214.0 -50.6 18.4 -21.9 -3.1 34.3 24.6 3.7 21.2 Growth
O'Shaughnessy: Small Cap Growth & Value 1.53 14.4 18.6 2.4 24.6 21.4 15.0 0.0 169.6 -50.6 18.5 -18.2 -2.9 46.8 30.3 -0.3 26.1 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.2 17.0 -2.1 16.2 19.0 17.1 0.0 297.8 -52.1 25.8 -17.3 -2.7 33.9 18.9 7.0 31.4 Value
Foolish Small Cap 8 Revised 2.14 10.1 14.3 -2.1 11.2 2.8 6.5 0.0 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
O'Shaughnessy: All Cap 1.38 9.8 11.0 6.3 10.2 11.9 8.7 0.0 126.1 -52.1 18.4 -21.5 -2.1 18.4 12.4 -5.0 29.4 Value With Price Momentum
Dual Cash Flow 1.54 11.5 14.2 6.2 12.8 11.7 7.9 0.0 214.7 -61.0 34.7 -23.6 -1.7 48.9 5.1 -21.6 31.0 Growth
Est Rev: Up 5% 1.76 18.1 26.8 7.1 20.2 21.5 24.0 0.0 315.7 -23.4 30.8 -21.7 -1.7 27.7 28.8 6.1 35.9 Earnings Estimates
O'Shaughnessy: Value 1.34 5.6 5.9 5.7 13.9 9.3 3.0 0.0 165.9 -69.1 22.0 -23.8 -0.9 29.6 20.3 -11.2 7.4 Value
Kirkpatrick Bargain 1.37 7.5 7.9 4.7 7.6 9.5 13.9 0.0 111.6 -43.2 21.1 -21.7 -0.8 7.3 14.9 3.6 9.4 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 13.9 14.3 8.6 15.1 18.9 10.5 0.0 191.1 -50.1 12.7 -19.1 0.0 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Lynch 1.24 10.9 12.0 -1.5 4.6 5.7 7.7 0.0 161.2 -47.5 18.9 -21.3 0.0 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Top 30 Up 1.83 16.7 25.2 11.8 20.8 23.6 24.2 0.0 427.8 -37.8 36.4 -26.7 0.2 42.1 21.9 -2.3 47.6 Earnings Estimates
O'Shaughnessy: Growth 1.51 13.2 16.7 7.0 21.1 18.0 11.6 0.0 204.7 -57.2 18.6 -17.9 1.4 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.32 8.9 9.6 8.0 19.0 19.9 10.5 0.0 241.7 -51.1 17.0 -21.7 1.8 42.6 14.9 4.1 28.0 Indexes
S&P SmallCap 600 1.27 7.8 8.2 8.0 18.5 17.8 8.6 0.0 207.0 -52.2 17.3 -20.2 2.1 39.7 14.8 -0.2 25.0 Indexes
Neff 1.64 14.0 18.8 3.2 16.3 18.4 11.4 0.0 305.7 -52.8 32.6 -21.7 2.3 39.5 15.0 -4.2 35.0 Growth & Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 8.2 14.6 15.2 11.4 0.0 221.2 -41.9 16.5 -20.4 2.6 35.8 8.8 0.7 18.4 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.4 16.2 2.7 14.5 13.5 8.0 0.0 178.4 -61.6 23.5 -35.5 3.2 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Buffettology: EPS Growth 1.22 10.3 11.1 8.0 18.6 18.0 11.3 0.0 253.3 -48.4 15.1 -20.8 3.3 38.4 17.4 3.8 20.5 Growth & Value
Piotroski: High F-Score 2.06 17.8 29.8 5.1 56.5 33.9 26.7 0.0 1,122.5 -53.6 43.1 -42.0 3.4 137.6 91.7 -36.4 138.8 Value
P/E Relative 1.13 15.2 16.4 6.5 15.6 17.4 15.0 0.0 186.0 -27.6 18.4 -18.3 4.3 29.5 14.3 -1.9 29.6 Earnings Estimates
S&P SmallCap 600 Value (TR) 1.23 8.3 8.8 7.0 19.6 18.0 9.2 0.0 205.4 -51.0 18.4 -19.6 4.4 35.6 17.8 -1.2 24.7 Indexes
T. Rowe Price 1.67 8.6 10.1 4.4 4.5 24.4 9.9 0.0 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Dreman With Est Revisions 1.36 13.6 16.1 18.1 20.1 22.0 15.8 0.0 283.1 -39.9 21.4 -26.2 4.5 35.8 13.0 21.6 26.5 Earnings Estimates
Stock Market Winners 1.46 16.0 20.4 5.7 16.4 33.9 14.3 0.0 390.2 -51.3 22.0 -23.4 4.6 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 10.1 20.1 18.6 -0.2 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 Value
S&P MidCap 400 Growth (TR) 1.31 10.7 12.0 9.3 20.0 19.3 11.3 0.0 220.6 -47.7 19.0 -22.2 4.8 32.8 15.8 -0.9 30.6 Indexes
Dow Jones 30 0.97 4.8 4.8 11.3 13.3 12.4 5.7 0.0 121.1 -49.3 11.8 -15.1 4.9 26.5 7.3 5.5 11.0 Indexes
Wanger (Revised) 1.44 8.9 10.0 14.9 22.4 18.2 11.4 0.0 185.5 -51.3 22.8 -19.8 5.1 51.1 23.5 -5.2 12.5 Growth & Value
Templeton 1.26 10.0 10.9 7.7 22.9 19.0 11.2 0.0 217.7 -40.0 14.5 -23.1 5.2 29.4 31.0 3.2 22.4 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.7 12.0 17.4 15.0 8.2 0.0 236.3 -58.6 23.9 -22.1 5.5 38.1 14.8 -12.3 26.2 Indexes
Dividend (High Relative Yield) 0.97 9.5 9.5 13.1 19.0 16.4 7.3 0.0 174.4 -40.4 12.5 -14.2 5.5 40.6 9.8 3.0 19.4 Growth & Value
S&P MidCap 400 1.20 8.6 9.0 10.0 16.9 16.6 8.9 0.0 193.0 -50.5 14.8 -21.8 5.7 31.6 16.1 -3.1 24.9 Indexes
Buffett: Hagstrom 1.12 14.0 14.8 11.2 16.8 19.6 12.7 0.0 208.3 -39.8 13.2 -19.0 5.9 35.4 13.0 8.2 27.7 Growth & Value
Value on the Move--PEG With Est Growth 1.34 16.3 19.7 13.4 21.9 21.7 15.0 0.0 236.0 -50.2 15.7 -23.1 6.4 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Lakonishok 1.20 13.0 14.3 15.0 15.3 16.3 14.7 0.0 205.2 -32.5 16.6 -17.9 6.5 26.8 7.5 -0.6 32.7 Value With Price Momentum
Dogs of the Dow 1.22 2.4 3.1 10.3 16.3 16.3 3.3 0.0 196.2 -69.0 17.1 -23.4 6.8 27.9 9.6 10.7 19.4 Value
Dreman 1.25 10.1 11.0 12.3 17.4 14.4 7.8 0.0 138.9 -55.0 23.9 -22.2 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Weiss Blue Chip Div Yield 1.22 10.4 11.2 13.4 15.8 18.1 10.9 0.0 203.3 -43.1 16.0 -16.8 8.8 21.3 19.2 7.6 26.9 Value
S&P 500 1.00 4.4 4.4 14.9 17.2 14.3 6.0 0.0 145.7 -52.6 10.8 -16.8 9.2 29.6 13.4 0.0 12.8 Indexes
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.4 21.3 18.7 10.4 0.0 223.4 -49.4 15.7 -21.8 9.2 34.3 20.1 -2.4 22.8 Indexes
S&P 500 Value (TR) 1.00 6.0 6.0 15.1 19.9 16.1 7.7 0.0 174.9 -56.0 11.3 -17.1 9.4 33.7 17.7 -0.5 15.1 Indexes
Murphy Technology 2.77 -14.8 -1.2 13.2 24.2 15.1 6.6 0.0 247.8 -58.3 58.5 -44.9 9.9 39.7 42.3 -29.8 40.0 Growth & Value
Cash Rich Firms 1.38 10.0 11.3 13.8 18.3 7.5 5.8 0.0 113.2 -45.6 17.6 -20.7 10.8 36.6 10.5 -32.8 14.4 Value
S&P 500 Growth (TR) 1.10 6.3 6.4 19.4 19.7 17.4 8.9 0.0 175.6 -44.4 10.8 -16.5 12.6 35.5 14.6 4.7 15.0 Indexes
Price-to-Free-Cash-Flow 1.78 14.6 20.9 25.6 31.3 27.4 18.9 0.0 780.1 -62.8 51.2 -31.7 12.6 97.8 1.1 -7.0 39.2 Value
Graham--Defensive Investor (Utility) 0.94 8.4 8.3 11.8 8.8 9.7 7.9 0.0 76.7 -31.4 12.0 -13.4 15.4 10.0 1.2 8.6 4.6 Value
NASDAQ 100 1.80 7.8 8.9 23.1 20.8 20.1 10.8 0.0 175.0 -50.1 25.0 -27.5 15.8 35.0 16.8 2.7 19.2 Indexes
Inve$tWare Quality Growth 1.26 7.6 7.8 20.0 19.5 16.3 9.0 0.0 158.2 -44.7 18.2 -22.0 16.7 30.4 19.7 -9.4 17.3 Growth
Fisher (Philip) 2.20 3.3 5.1 11.0 13.2 -1.4 1.6 0.0 73.3 -58.2 32.8 -27.9 17.4 39.5 -0.6 -50.9 9.2 Growth & Value
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 27.0 29.2 18.8 11.2 0.0 282.2 -67.3 37.4 -21.0 18.8 54.4 20.0 -22.9 21.1 Value With Price Momentum
ADR Screen 1.48 8.4 9.3 34.9 18.1 10.6 8.4 0.0 177.4 -68.7 31.1 -29.7 31.0 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.3 21.9 26.3 7.9 13.1 25.5 0.0 289.1 -49.9 36.4 -22.4 32.1 2.1 -4.9 -4.1 32.9 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 13.0 18.7 48.2 30.5 19.7 11.2 0.0 132.1 -27.8 52.7 -26.7 48.0 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Rule #1 Investing 1.81 10.8 14.2 43.3 32.4 30.3 14.3 0.0 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
O'Neil's CAN SLIM 1.92 16.6 25.9 35.1 30.9 10.5 21.0 0.0 178.2 -10.1 69.6 -23.1 56.0 13.1 18.0 -10.2 -9.6 Growth With Price Momentum