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 6/30/2015
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
Graham--Defensive Investor (Utility) 0.97 6.3 6.3 -23.1 -2.1 3.7 3.2 32.8 -31.4 12.0 -13.7 -23.9 16.0 10.0 1.2 8.6 4.6 Value
Murphy Technology 2.77 -19.7 -2.9 -36.7 9.2 9.4 1.9 88.8 -58.3 58.5 -44.9 -19.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
MAGNET Simple 2.98 9.0 13.8 -25.3 -19.3 0.7 6.5 155.1 -75.9 52.1 -34.0 -15.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 16.5 27.2 -24.8 36.9 30.8 22.4 542.5 -53.6 43.1 -42.0 -13.3 -0.3 137.6 91.7 -36.4 138.8 Value
Schloss 1.94 8.2 9.7 14.7 -1.7 1.7 4.0 5.5 -37.6 27.1 -40.4 -6.7 -5.9 16.7 13.1 -35.1 12.5 Value
Weiss Blue Chip Div Yield 1.23 9.5 10.2 -7.2 9.9 15.8 9.0 149.1 -43.1 16.0 -16.8 -5.5 5.4 21.3 19.2 7.6 26.9 Value
O'Shaughnessy: Tiny Titans 1.92 16.0 24.7 -3.7 26.7 13.9 10.0 219.3 -67.3 37.4 -21.0 -4.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.8 -2.3 17.9 15.3 5.1 123.1 -50.5 13.6 -18.6 -3.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Templeton 1.26 9.8 10.7 1.1 19.3 18.1 10.2 180.3 -40.0 14.5 -23.1 -3.2 13.0 29.4 31.0 3.2 22.4 Growth & Value
MAGNET Complex 2.73 8.6 12.2 12.8 15.8 5.4 -2.4 -19.9 -55.9 63.0 -28.2 -2.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.0 3.5 20.4 21.3 11.8 154.7 -50.6 18.5 -18.2 -2.7 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Dogs of the Dow 1.22 2.1 2.9 -0.9 10.1 14.9 3.1 150.8 -69.0 17.1 -23.4 -2.5 6.8 27.9 9.6 10.7 19.4 Value
O'Shaughnessy: Value 1.34 4.7 5.2 -11.9 10.1 9.2 1.4 92.0 -69.1 22.0 -23.8 -2.2 -5.8 29.6 20.3 -11.2 7.4 Value
Dividend (High Relative Yield) 0.97 8.8 8.8 -7.6 13.7 14.4 6.3 131.4 -40.4 12.5 -14.2 -1.7 2.0 40.6 9.8 3.0 19.4 Growth & Value
Oberweis Octagon 1.93 9.8 12.8 -8.6 12.7 11.9 7.6 208.5 -70.6 24.6 -23.2 -1.7 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Dow Jones 30 0.97 4.7 4.7 4.7 11.0 12.5 5.5 115.7 -49.3 11.8 -15.1 -1.1 7.5 26.5 7.3 5.5 11.0 Indexes
Magic Formula 1.64 8.0 9.0 -17.1 -0.9 -0.2 5.5 65.9 -51.6 30.7 -22.4 -1.1 -16.5 27.9 7.9 -30.6 26.6 Value
Kirkpatrick Bargain 1.37 7.6 7.9 2.8 6.1 13.0 10.8 87.9 -43.2 21.1 -21.7 -0.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Buffettology: Sustainable Growth 1.28 10.0 11.0 0.0 13.4 12.4 10.1 178.9 -41.9 16.5 -20.4 -0.8 3.2 35.8 8.8 0.7 18.4 Growth & Value
Dreman With Est Revisions 1.36 13.5 16.0 4.6 19.4 23.4 15.1 265.9 -39.9 21.4 -26.2 -0.8 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Dual Cash Flow 1.53 11.0 13.5 -11.4 13.0 7.8 5.8 126.9 -61.0 34.7 -23.6 -0.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Rule #1 Investing 1.81 10.4 13.6 -3.3 28.5 26.5 12.8 434.9 -54.0 27.0 -26.8 -0.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
S&P 500 Value (TR) 1.00 5.9 5.9 4.7 16.9 16.0 7.0 159.2 -56.0 11.3 -17.1 -0.5 12.5 33.7 17.7 -0.5 15.1 Indexes
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 22.8 8.5 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P 500 1.00 4.4 4.4 5.2 14.8 14.9 5.6 136.4 -52.6 10.8 -16.8 0.2 11.4 29.6 13.4 0.0 12.8 Indexes
O'Shaughnessy: Growth 1.51 12.8 16.0 -1.6 19.3 17.7 9.0 179.2 -57.2 18.6 -17.9 0.6 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.2 8.6 3.8 17.3 16.7 8.3 167.6 -51.0 18.4 -19.6 0.8 7.5 35.6 17.8 -1.2 24.7 Indexes
Dreman 1.25 9.8 10.6 3.1 16.6 12.6 6.6 124.5 -55.0 23.9 -22.2 1.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Kirkpatrick Growth 2.14 10.5 15.1 -3.3 5.6 5.4 14.5 72.9 -38.7 64.1 -23.1 1.6 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.6 8.8 3.5 19.3 17.6 9.5 189.3 -49.4 15.7 -21.8 1.6 12.1 34.3 20.1 -2.4 22.8 Indexes
Buffett: Hagstrom 1.12 13.7 14.6 9.3 14.1 19.1 11.7 201.4 -39.8 13.2 -19.0 1.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
Neff 1.63 13.8 18.4 4.1 17.7 15.2 11.0 218.6 -52.8 32.6 -21.7 2.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
P/E Relative 1.13 14.9 15.9 5.5 13.9 15.1 13.8 172.1 -27.6 18.4 -18.3 2.2 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Wanger (Revised) 1.44 8.6 9.5 -0.1 21.0 16.9 10.0 152.6 -51.3 22.8 -19.8 2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
ADR Screen 1.48 8.1 8.9 -3.1 21.9 9.8 7.9 123.2 -68.7 31.1 -29.7 2.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Kirkpatrick Value 2.20 8.1 10.0 -1.4 3.1 3.9 10.2 -20.4 -23.3 49.0 -25.3 2.6 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Buffettology: EPS Growth 1.22 10.1 10.9 4.4 17.0 16.6 10.9 220.5 -48.4 15.1 -20.8 2.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P 500 Growth (TR) 1.10 6.4 6.4 10.1 17.8 18.6 9.0 180.1 -44.4 10.8 -16.5 2.8 14.9 35.5 14.6 4.7 15.0 Indexes
O'Shaughnessy: All Cap 1.39 9.6 10.8 0.1 9.0 10.5 6.8 96.4 -52.1 18.4 -21.5 3.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
S&P MidCap 400 1.19 8.6 9.0 4.8 16.8 16.1 8.2 167.7 -50.5 14.8 -21.8 3.4 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P SmallCap 600 1.27 7.8 8.2 5.3 17.3 17.0 8.0 175.6 -52.2 17.3 -20.2 3.5 4.4 39.7 14.8 -0.2 25.0 Indexes
All Exchange-Listed Stocks 1.37 9.4 10.5 -1.2 16.3 13.7 7.4 175.1 -58.6 23.9 -22.1 3.7 5.0 38.1 14.8 -12.3 26.2 Indexes
NASDAQ 100 1.80 7.8 8.9 14.2 18.9 20.4 11.4 214.1 -50.1 25.0 -27.5 3.8 17.9 35.0 16.8 2.7 19.2 Indexes
Dogs of the Dow: Low Priced 5 1.57 0.2 2.5 3.5 12.3 18.4 0.0 181.4 -82.9 27.6 -34.8 4.0 3.0 34.5 15.7 13.1 17.3 Value
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.7 35.0 22.2 16.6 509.4 -62.8 51.2 -31.7 4.1 12.4 97.8 1.1 -7.0 39.2 Value
Price-to-Sales 1.32 12.7 14.7 -4.1 12.1 14.6 9.0 169.4 -55.1 18.3 -20.6 4.7 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Graham--Enterprising Investor Revised 1.75 15.3 21.9 30.3 16.0 11.8 23.7 271.5 -49.9 36.4 -22.4 5.6 41.9 2.1 -4.9 -4.1 32.9 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.0 -8.8 11.7 14.3 15.8 188.3 -52.1 25.8 -17.3 6.2 -13.1 33.9 18.9 7.0 31.4 Value
Return on Equity 1.28 10.9 12.1 1.0 9.7 13.1 8.1 150.7 -47.2 14.6 -22.2 6.3 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 6.7 18.8 18.5 10.5 200.0 -47.7 19.0 -22.2 6.6 7.6 32.8 15.8 -0.9 30.6 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 9.8 18.0 16.4 9.7 193.6 -50.1 12.7 -19.1 6.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Est Rev: Down 5% 1.95 -5.0 0.6 -10.2 5.6 4.1 1.0 73.8 -63.8 33.5 -30.5 6.7 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Est Rev: Lowest 30 Down 2.33 -8.3 0.1 -16.5 4.3 2.5 -0.3 74.6 -71.0 43.0 -29.9 6.9 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
O'Neil's CAN SLIM 1.91 16.0 24.7 18.4 32.5 17.6 17.6 229.5 -10.1 69.6 -23.1 6.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Insider Net Purchases 1.88 -6.7 -0.5 -3.5 2.2 -1.4 -3.8 45.1 -65.5 27.8 -27.2 7.3 -11.9 21.5 11.5 -31.4 7.4 Specialty
Lakonishok 1.20 13.2 14.6 16.4 18.4 18.9 14.4 211.3 -32.5 16.6 -17.9 7.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 9.6 19.0 19.6 10.2 221.3 -51.1 17.0 -21.7 7.5 3.9 42.6 14.9 4.1 28.0 Indexes
Lynch 1.25 10.5 11.5 -16.1 8.5 1.3 5.6 94.7 -47.5 18.9 -21.3 7.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Inve$tWare Quality Growth 1.26 7.9 8.3 28.7 19.6 17.5 8.6 196.5 -44.7 18.2 -22.0 8.8 21.6 30.4 19.7 -9.4 17.3 Growth
Driehaus 2.25 9.5 13.4 18.5 17.1 19.9 19.8 389.5 -53.4 51.3 -25.7 8.9 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Cash Rich Firms 1.38 9.7 10.9 -3.8 17.2 6.6 4.9 79.5 -45.6 17.6 -20.7 9.2 2.5 36.6 10.5 -32.8 14.4 Value
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 16.7 13.3 15.7 6.6 249.0 -61.6 23.5 -35.5 10.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Zweig 1.91 12.3 17.6 -8.7 9.9 5.3 1.0 14.8 -54.4 32.7 -24.2 12.4 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Stock Market Winners 1.45 16.3 20.7 20.3 18.0 30.0 13.3 469.7 -51.3 22.0 -23.4 13.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Est Rev: Top 30 Up 1.83 17.0 25.7 15.3 23.1 24.7 23.3 434.1 -37.8 36.4 -26.7 14.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Fundamental Rule of Thumb 1.70 10.6 13.5 0.1 10.4 2.9 6.3 76.4 -57.0 33.8 -19.2 16.1 -11.6 46.1 -6.9 -35.2 17.7 Value
Est Rev: Up 5% 1.76 18.2 27.1 16.9 19.9 23.7 24.1 338.3 -23.4 30.8 -21.7 18.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Value on the Move--PEG With Est Growth 1.34 16.7 20.2 24.3 26.7 22.7 14.4 276.6 -50.2 15.7 -23.1 18.4 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Muhlenkamp 1.58 -2.5 0.8 21.5 -20.3 -21.3 -11.4 -60.2 -49.0 21.0 -26.2 21.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.78 11.8 16.0 -4.0 -2.6 6.8 14.0 123.9 -50.3 33.1 -23.4 25.2 -20.6 9.6 1.1 -1.1 43.5 Value
Fisher (Philip) 2.22 4.1 5.4 15.8 21.0 -1.2 0.9 51.1 -58.2 32.8 -27.9 30.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.3 19.2 50.8 39.0 31.6 12.6 250.0 -27.8 52.7 -26.7 31.4 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Foolish Small Cap 8 2.30 9.3 13.0 91.2 19.5 17.9 5.1 242.0 -67.7 38.8 -25.9 60.1 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Foolish Small Cap 8 Revised 2.24 11.2 17.0 62.0 28.8 10.7 9.3 171.9 -64.0 42.9 -31.1 65.5 -2.1 0.4 41.8 -49.2 15.4 Growth & Value