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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 2/27/2015
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
MAGNET Complex 2.73 8.3 11.5 -13.3 -1.4 -1.0 -7.3 -31.2 -55.9 63.0 -28.2 -16.6 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 0.96 7.1 7.1 -7.4 3.1 5.4 5.1 50.4 -31.4 12.0 -13.7 -15.9 16.0 10.0 1.2 8.6 4.6 Value
O'Shaughnessy: Tiny Titans 1.92 16.2 25.1 0.1 26.6 13.8 8.8 257.4 -67.3 37.4 -21.0 -7.2 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Schloss 1.93 8.3 9.9 11.6 -0.4 0.2 3.6 24.7 -37.6 27.1 -40.4 -7.2 -5.9 16.7 13.1 -35.1 12.5 Value
Piotroski: High F-Score 2.06 17.3 28.7 -12.0 46.6 36.5 24.1 909.9 -53.6 43.1 -42.0 -4.8 -0.3 137.6 91.7 -36.4 138.8 Value
Muhlenkamp 1.59 -4.8 -0.6 -52.7 -27.9 -25.6 -13.1 -62.3 -49.0 21.0 -26.2 -4.8 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.5 7.8 20.9 18.2 12.0 178.0 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
ADR Screen 1.48 8.1 8.8 8.0 13.5 9.3 6.4 157.7 -68.7 31.1 -29.7 -2.0 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.0 7.1 7.9 18.1 14.7 5.7 136.8 -50.5 13.6 -18.6 -1.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Kirkpatrick Bargain 1.36 7.7 8.1 3.0 4.2 9.4 10.4 116.2 -43.2 21.1 -21.7 -1.5 5.9 7.3 14.9 3.6 9.4 Growth & Value
Foolish Small Cap 8 Revised 2.12 10.1 14.0 -2.1 11.7 -5.6 4.4 100.9 -64.0 28.1 -31.1 0.0 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Rule #1 Investing 1.80 10.7 14.0 37.4 26.2 23.8 12.8 574.7 -54.0 27.0 -26.8 0.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value
T. Rowe Price 1.66 8.6 9.9 4.4 4.5 21.8 6.8 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Kirkpatrick Value 2.20 8.1 10.1 -14.5 3.5 -3.3 8.8 -17.6 -23.3 49.0 -25.3 0.1 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Cash Rich Firms 1.38 9.5 10.6 1.1 12.0 2.3 3.8 88.2 -45.6 17.6 -20.7 0.3 2.5 36.6 10.5 -32.8 14.4 Value
S&P SmallCap 600 Value (TR) 1.23 8.4 8.8 7.0 16.2 15.8 8.4 215.5 -51.0 18.4 -19.6 0.4 7.5 35.6 17.8 -1.2 24.7 Indexes
Dreman With Est Revisions 1.35 13.9 16.5 16.0 16.3 22.1 15.3 307.0 -39.9 21.4 -26.2 0.7 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
S&P 500 Value (TR) 1.00 6.2 6.2 13.8 17.2 14.9 7.1 191.5 -56.0 11.3 -17.1 0.8 12.5 33.7 17.7 -0.5 15.1 Indexes
Graham--Enterprising Investor Revised 1.75 15.5 22.2 30.9 7.6 11.1 24.8 385.5 -49.9 36.4 -22.4 1.2 41.9 2.1 -4.9 -4.1 32.9 Value
Buffettology: Sustainable Growth 1.28 10.4 11.5 5.8 12.2 12.7 10.5 228.2 -41.9 16.5 -20.4 1.3 3.2 35.8 8.8 0.7 18.4 Growth & Value
Dividend (High Relative Yield) 0.97 9.3 9.2 2.1 15.6 14.3 6.5 161.8 -40.4 12.5 -14.2 1.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dow Jones 30 0.97 5.0 5.0 11.1 11.9 11.9 5.4 138.3 -49.3 11.8 -15.1 1.7 7.5 26.5 7.3 5.5 11.0 Indexes
Neff 1.63 14.1 18.8 8.3 14.1 16.3 10.5 322.3 -52.8 32.6 -21.7 1.9 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Templeton 1.26 10.3 11.3 12.4 19.0 19.3 10.8 238.3 -40.0 14.5 -23.1 2.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
S&P SmallCap 600 1.27 7.9 8.3 6.4 16.3 16.2 8.0 219.2 -52.2 17.3 -20.2 2.1 4.4 39.7 14.8 -0.2 25.0 Indexes
O'Shaughnessy: Value 1.34 5.3 5.6 -2.6 8.7 8.5 1.3 144.6 -69.1 22.0 -23.8 2.1 -5.8 29.6 20.3 -11.2 7.4 Value
Dogs of the Dow 1.22 2.5 3.2 11.0 14.0 15.0 3.2 207.5 -69.0 17.1 -23.4 2.2 6.8 27.9 9.6 10.7 19.4 Value
S&P 500 1.00 4.6 4.6 13.2 15.5 13.8 5.7 163.8 -52.6 10.8 -16.8 2.2 11.4 29.6 13.4 0.0 12.8 Indexes
Wanger (Revised) 1.44 8.8 9.7 1.2 19.1 16.0 9.7 185.4 -51.3 22.8 -19.8 2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
O'Shaughnessy: Growth 1.51 13.2 16.6 -0.8 20.4 16.1 8.6 204.9 -57.2 18.6 -17.9 2.3 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Est Rev: Down 5% 1.95 -5.4 0.4 -12.2 0.8 2.7 0.6 122.5 -63.8 33.5 -30.5 2.3 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dual Cash Flow 1.53 11.4 14.0 -1.9 12.1 8.6 6.1 187.5 -61.0 34.7 -23.6 2.4 -3.2 48.9 5.1 -21.6 31.0 Growth
Buffett: Hagstrom 1.12 14.1 15.0 12.2 14.8 19.0 12.4 239.2 -39.8 13.2 -19.0 2.6 9.6 35.4 13.0 8.2 27.7 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.8 9.1 12.1 18.8 16.8 9.9 238.3 -49.4 15.7 -21.8 2.7 12.1 34.3 20.1 -2.4 22.8 Indexes
Price-to-Free-Cash-Flow 1.78 14.5 20.7 9.0 27.6 23.1 16.8 809.1 -62.8 51.2 -31.7 2.7 12.4 97.8 1.1 -7.0 39.2 Value
Buffettology: EPS Growth 1.22 10.3 11.2 6.9 15.8 16.8 10.7 269.4 -48.4 15.1 -20.8 2.7 4.4 38.4 17.4 3.8 20.5 Growth & Value
Stock Market Winners 1.45 16.2 20.5 9.3 17.3 31.3 13.3 433.9 -51.3 22.0 -23.4 2.7 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.33 -8.8 -0.1 -18.6 -1.2 1.5 -1.5 140.4 -71.0 43.0 -29.9 2.8 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
P/E Relative 1.13 15.3 16.4 8.5 13.6 14.7 14.1 203.9 -27.6 18.4 -18.3 2.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Kirkpatrick Growth 2.14 10.7 15.6 0.6 2.2 4.0 13.8 105.5 -38.7 64.1 -23.1 3.3 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dreman 1.25 10.1 11.0 12.3 13.6 12.8 6.5 151.0 -55.0 23.9 -22.2 3.3 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: All Cap 1.38 9.8 11.1 4.6 3.8 9.3 6.2 126.3 -52.1 18.4 -21.5 3.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Murphy Technology 2.76 -15.9 -1.6 -4.8 18.0 13.5 3.3 181.3 -58.3 58.5 -44.9 3.3 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
All Exchange-Listed Stocks 1.37 9.6 10.7 3.5 14.9 13.2 7.3 231.3 -58.6 23.9 -22.1 3.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Weiss Blue Chip Div Yield 1.22 10.3 11.1 8.7 14.3 16.5 9.9 208.9 -43.1 16.0 -16.8 3.7 5.4 21.3 19.2 7.6 26.9 Value
S&P MidCap 400 1.20 8.8 9.2 9.5 15.5 15.3 8.5 208.1 -50.5 14.8 -21.8 3.7 8.2 31.6 16.1 -3.1 24.9 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.1 14.6 9.2 15.6 16.3 10.0 211.3 -50.1 12.7 -19.1 3.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Lakonishok 1.20 13.4 14.8 12.6 14.5 16.8 14.2 243.8 -32.5 16.6 -17.9 3.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.38 13.6 16.3 -7.7 8.6 14.9 15.5 254.9 -52.1 25.8 -17.3 3.9 -13.1 33.9 18.9 7.0 31.4 Value
O'Neil's CAN SLIM 1.92 16.3 25.2 31.2 22.2 17.6 18.8 221.2 -10.1 69.6 -23.1 4.2 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
S&P 500 Growth (TR) 1.10 6.6 6.6 17.2 18.7 17.5 9.1 207.6 -44.4 10.8 -16.5 4.2 14.9 35.5 14.6 4.7 15.0 Indexes
Price-to-Sales 1.32 13.0 15.1 -1.2 11.0 13.6 9.0 217.6 -55.1 18.3 -20.6 4.3 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.1 9.9 8.3 18.0 18.9 10.0 263.1 -51.1 17.0 -21.7 4.3 3.9 42.6 14.9 4.1 28.0 Indexes
Return on Equity 1.28 11.0 12.3 -1.4 6.5 11.7 8.4 178.0 -47.2 14.6 -22.2 4.4 -8.8 34.2 10.1 -5.7 32.0 Growth
NASDAQ 100 1.80 8.0 9.2 20.1 19.2 19.5 11.4 217.2 -50.1 25.0 -27.5 4.8 17.9 35.0 16.8 2.7 19.2 Indexes
Fundamental Rule of Thumb 1.70 10.4 13.1 -7.6 1.6 -0.5 3.9 93.9 -57.0 33.8 -19.2 5.0 -11.6 46.1 -6.9 -35.2 17.7 Value
S&P MidCap 400 Growth (TR) 1.30 11.0 12.3 7.8 17.8 17.7 10.6 236.1 -47.7 19.0 -22.2 5.1 7.6 32.8 15.8 -0.9 30.6 Indexes
Zweig 1.91 12.3 17.6 -10.4 5.4 0.7 1.3 38.7 -54.4 32.7 -24.2 5.1 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.5 16.2 9.4 12.2 15.7 6.9 210.7 -61.6 23.5 -35.5 5.5 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Lynch 1.24 10.7 11.7 -6.7 1.4 1.7 4.9 115.4 -47.5 18.9 -21.3 6.0 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 14.5 18.0 18.1 0.3 267.2 -82.9 27.6 -34.8 6.4 3.0 34.5 15.7 13.1 17.3 Value
Value on the Move--PEG With Est Growth 1.34 16.6 20.0 17.8 22.3 19.5 13.9 275.9 -50.2 15.7 -23.1 6.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.9 18.4 46.7 32.0 23.0 9.7 187.9 -27.8 52.7 -26.7 8.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
MAGNET Simple 2.97 9.6 15.8 1.3 -17.0 1.2 10.5 303.1 -75.9 52.1 -34.0 8.1 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Magic Formula 1.64 8.5 9.9 -9.6 2.2 1.4 3.9 137.3 -51.6 30.7 -22.4 8.2 -16.5 27.9 7.9 -30.6 26.6 Value
Oberweis Octagon 1.93 10.3 13.8 -2.4 20.5 15.2 7.4 246.9 -70.6 24.6 -23.2 8.5 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Insider Net Purchases 1.87 -6.4 -0.4 -12.4 4.1 -2.1 -4.7 88.1 -65.5 27.8 -27.2 8.8 -11.9 21.5 11.5 -31.4 7.4 Specialty
Est Rev: Top 30 Up 1.83 17.2 26.0 19.2 22.0 23.3 24.0 481.8 -37.8 36.4 -26.7 9.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Driehaus 2.25 9.7 13.8 17.2 19.3 21.0 20.5 466.5 -53.4 51.3 -25.7 10.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Inve$tWare Quality Growth 1.26 8.2 8.6 29.6 19.1 16.5 9.4 238.8 -44.7 18.2 -22.0 10.9 21.6 30.4 19.7 -9.4 17.3 Growth
Foolish Small Cap 8 2.27 8.5 10.9 -11.3 8.6 5.7 2.8 168.6 -67.7 38.8 -25.9 11.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Graham--Enterprising Investor 1.77 11.7 15.7 -7.1 -8.5 7.8 12.6 129.0 -50.3 33.1 -23.4 12.2 -20.6 9.6 1.1 -1.1 43.5 Value
Est Rev: Up 5% 1.75 18.6 27.8 24.9 20.4 22.6 24.8 381.6 -23.4 30.8 -21.7 12.3 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Fisher (Philip) 2.21 2.7 4.8 14.0 7.5 -5.5 -0.2 77.0 -58.2 32.8 -27.9 15.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value