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 5/29/2015
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) 0.96 6.8 6.8 -14.0 1.5 5.1 4.4 43.8 -31.4 12.0 -13.7 -18.4 16.0 10.0 1.2 8.6 4.6 Value
MAGNET Complex 2.73 8.5 11.9 5.5 13.2 0.7 -3.0 -25.0 -55.9 63.0 -28.2 -9.2 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 16.8 27.8 -20.1 39.7 30.4 23.7 630.4 -53.6 43.1 -42.0 -8.5 -0.3 137.6 91.7 -36.4 138.8 Value
Kirkpatrick Bargain 1.36 7.3 7.5 -1.0 4.9 8.4 10.6 79.6 -43.2 21.1 -21.7 -7.7 5.9 7.3 14.9 3.6 9.4 Growth & Value
MAGNET Simple 2.98 9.2 14.6 -15.0 -15.1 -2.4 10.0 202.4 -75.9 52.1 -34.0 -5.7 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Oberweis Octagon 1.93 9.7 12.7 -4.6 14.0 9.9 7.8 198.2 -70.6 24.6 -23.2 -4.0 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Schloss 1.94 8.3 10.0 20.9 0.6 2.0 4.9 12.0 -37.6 27.1 -40.4 -3.6 -5.9 16.7 13.1 -35.1 12.5 Value
Buffettology: Sustainable Growth 1.28 9.9 10.9 2.9 14.2 10.6 10.0 172.2 -41.9 16.5 -20.4 -3.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.9 0.9 20.8 12.9 5.5 127.7 -50.5 13.6 -18.6 -3.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.1 6.0 21.8 17.9 12.8 148.7 -50.6 18.5 -18.2 -3.0 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Weiss Blue Chip Div Yield 1.22 9.8 10.5 -0.2 12.4 15.7 9.4 156.9 -43.1 16.0 -16.8 -1.5 5.4 21.3 19.2 7.6 26.9 Value
Murphy Technology 2.76 -16.6 -1.9 -16.6 18.5 12.1 2.7 139.4 -58.3 58.5 -44.9 -1.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.1 25.1 0.5 30.4 11.7 10.4 222.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Templeton 1.26 10.0 10.9 8.4 21.9 17.8 10.5 195.7 -40.0 14.5 -23.1 -1.1 13.0 29.4 31.0 3.2 22.4 Growth & Value
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 20.7 8.4 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
O'Shaughnessy: Value 1.34 5.0 5.4 -8.3 13.2 9.6 1.6 99.9 -69.1 22.0 -23.8 0.1 -5.8 29.6 20.3 -11.2 7.4 Value
ADR Screen 1.48 8.1 8.8 -0.1 19.9 10.1 7.9 127.9 -68.7 31.1 -29.7 0.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Dividend (High Relative Yield) 0.97 9.0 8.9 -2.9 15.6 14.0 6.8 137.2 -40.4 12.5 -14.2 0.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 7.3 18.8 14.6 8.6 164.2 -51.0 18.4 -19.6 0.3 7.5 35.6 17.8 -1.2 24.7 Indexes
Kirkpatrick Growth 2.14 10.5 15.1 4.7 4.6 2.1 14.4 78.4 -38.7 64.1 -23.1 0.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dreman With Est Revisions 1.36 13.6 16.1 9.1 21.1 21.7 15.7 278.1 -39.9 21.4 -26.2 0.5 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Buffettology: EPS Growth 1.22 10.0 10.8 7.1 17.6 15.1 10.8 211.3 -48.4 15.1 -20.8 0.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
Dogs of the Dow 1.22 2.3 3.0 3.5 13.5 15.1 3.2 161.9 -69.0 17.1 -23.4 0.6 6.8 27.9 9.6 10.7 19.4 Value
Dow Jones 30 0.97 4.9 4.8 7.7 13.3 12.2 5.6 118.4 -49.3 11.8 -15.1 1.1 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Growth 1.51 12.9 16.2 1.7 20.7 14.0 9.7 178.9 -57.2 18.6 -17.9 1.2 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P 500 Value (TR) 1.00 6.1 6.1 9.0 19.5 15.1 7.3 162.5 -56.0 11.3 -17.1 1.5 12.5 33.7 17.7 -0.5 15.1 Indexes
Buffett: Hagstrom 1.12 13.8 14.7 13.7 15.0 18.1 11.8 209.4 -39.8 13.2 -19.0 2.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
Driehaus 2.25 9.4 13.0 18.1 19.5 15.8 19.9 370.9 -53.4 51.3 -25.7 2.0 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
S&P 500 1.00 4.6 4.6 9.6 17.1 14.1 5.9 138.9 -52.6 10.8 -16.8 2.4 11.4 29.6 13.4 0.0 12.8 Indexes
S&P SmallCap 600 1.27 7.8 8.2 9.2 18.5 15.1 8.2 169.4 -52.2 17.3 -20.2 2.6 4.4 39.7 14.8 -0.2 25.0 Indexes
Kirkpatrick Value 2.20 8.1 10.0 4.2 4.7 -0.5 11.1 -18.6 -23.3 49.0 -25.3 2.8 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Dual Cash Flow 1.53 11.2 13.8 -1.8 14.7 6.9 6.7 132.7 -61.0 34.7 -23.6 3.0 -3.2 48.9 5.1 -21.6 31.0 Growth
Magic Formula 1.64 8.2 9.4 -11.2 2.1 -0.7 5.9 77.8 -51.6 30.7 -22.4 3.3 -16.5 27.9 7.9 -30.6 26.6 Value
S&P MidCap 400 Value (TR) 1.12 8.7 9.0 9.9 21.2 16.3 9.9 191.8 -49.4 15.7 -21.8 3.4 12.1 34.3 20.1 -2.4 22.8 Indexes
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.1 37.0 20.3 16.9 517.8 -62.8 51.2 -31.7 3.5 12.4 97.8 1.1 -7.0 39.2 Value
O'Shaughnessy: All Cap 1.39 9.7 10.9 3.7 10.3 9.5 7.3 107.0 -52.1 18.4 -21.5 4.2 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
P/E Relative 1.13 15.1 16.2 11.2 16.7 14.5 14.4 176.9 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
All Exchange-Listed Stocks 1.37 9.5 10.6 4.5 18.0 12.4 7.9 176.5 -58.6 23.9 -22.1 4.8 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P 500 Growth (TR) 1.10 6.5 6.6 14.5 19.9 18.0 9.1 180.5 -44.4 10.8 -16.5 4.8 14.9 35.5 14.6 4.7 15.0 Indexes
Neff 1.63 13.9 18.7 7.8 18.5 14.4 11.7 225.6 -52.8 32.6 -21.7 5.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
S&P MidCap 400 1.19 8.7 9.1 10.6 18.1 14.9 8.6 167.3 -50.5 14.8 -21.8 5.0 8.2 31.6 16.1 -3.1 24.9 Indexes
Price-to-Sales 1.32 12.8 14.8 1.0 13.9 12.9 9.3 173.4 -55.1 18.3 -20.6 5.1 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Lakonishok 1.20 13.2 14.5 18.6 18.8 16.3 14.7 202.5 -32.5 16.6 -17.9 5.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
O'Neil's CAN SLIM 1.92 16.0 24.8 19.6 28.3 17.9 17.7 223.4 -10.1 69.6 -23.1 5.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Wanger (Revised) 1.44 8.8 9.7 6.5 23.3 16.4 10.7 158.5 -51.3 22.8 -19.8 5.6 1.3 51.1 23.5 -5.2 12.5 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 9.0 9.8 13.9 19.9 17.8 10.3 209.5 -51.1 17.0 -21.7 5.8 3.9 42.6 14.9 4.1 28.0 Indexes
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 14.5 17.9 15.4 10.1 184.0 -50.1 12.7 -19.1 5.8 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Dreman 1.25 10.1 11.0 11.6 19.0 12.5 7.2 133.2 -55.0 23.9 -22.2 6.0 7.7 27.6 20.6 -11.7 22.7 Growth & Value
NASDAQ 100 1.80 7.9 9.1 20.6 21.3 19.5 11.3 215.3 -50.1 25.0 -27.5 6.4 17.9 35.0 16.8 2.7 19.2 Indexes
Return on Equity 1.28 10.9 12.2 5.6 11.8 11.8 8.7 149.1 -47.2 14.6 -22.2 6.5 -8.8 34.2 10.1 -5.7 32.0 Growth
Cash Rich Firms 1.38 9.6 10.8 1.4 17.4 4.7 5.3 71.9 -45.6 17.6 -20.7 7.3 2.5 36.6 10.5 -32.8 14.4 Value
S&P MidCap 400 Growth (TR) 1.30 10.9 12.2 10.6 20.0 16.5 10.6 192.4 -47.7 19.0 -22.2 7.5 7.6 32.8 15.8 -0.9 30.6 Indexes
Dogs of the Dow: Low Priced 5 1.57 0.5 2.7 8.9 16.4 19.0 0.4 190.4 -82.9 27.6 -34.8 7.5 3.0 34.5 15.7 13.1 17.3 Value
Inve$tWare Quality Growth 1.26 7.9 8.3 34.4 21.0 16.9 8.8 187.6 -44.7 18.2 -22.0 7.5 21.6 30.4 19.7 -9.4 17.3 Growth
Graham--Enterprising Investor Revised 1.75 15.4 22.1 32.8 18.4 11.9 23.5 297.1 -49.9 36.4 -22.4 7.7 41.9 2.1 -4.9 -4.1 32.9 Value
O'Neil's CAN SLIM No Float 1.39 13.3 16.0 14.4 13.4 14.6 6.9 233.9 -61.6 23.5 -35.5 7.8 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Est Rev: Down 5% 1.95 -4.8 0.7 -4.2 6.8 2.5 1.4 72.0 -63.8 33.5 -30.5 8.0 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Graham--Defensive Investor (Non-Utility) 1.38 13.5 16.2 -7.3 14.2 14.2 16.2 196.1 -52.1 25.8 -17.3 8.2 -13.1 33.9 18.9 7.0 31.4 Value
Est Rev: Lowest 30 Down 2.33 -8.1 0.2 -9.2 6.1 0.7 0.1 73.3 -71.0 43.0 -29.9 8.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Rule #1 Investing 1.81 10.9 14.4 10.6 37.4 26.6 14.5 496.4 -54.0 27.0 -26.8 10.8 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Stock Market Winners 1.45 16.3 20.7 16.8 18.3 31.2 13.6 448.3 -51.3 22.0 -23.4 11.6 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Lynch 1.25 10.7 11.8 -11.8 9.1 1.7 6.2 105.1 -47.5 18.9 -21.3 11.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Est Rev: Top 30 Up 1.83 17.0 25.7 25.5 25.1 22.9 24.0 400.4 -37.8 36.4 -26.7 13.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Fundamental Rule of Thumb 1.70 10.6 13.4 5.8 9.6 1.3 6.3 72.5 -57.0 33.8 -19.2 14.0 -11.6 46.1 -6.9 -35.2 17.7 Value
Est Rev: Up 5% 1.76 18.2 27.1 25.3 21.3 21.3 24.6 303.2 -23.4 30.8 -21.7 15.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Zweig 1.91 12.5 18.0 -5.6 11.3 4.6 1.7 13.0 -54.4 32.7 -24.2 16.6 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Insider Net Purchases 1.87 -5.4 0.1 23.4 7.0 -1.7 -2.3 46.9 -65.5 27.8 -27.2 18.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
Value on the Move--PEG With Est Growth 1.34 16.8 20.3 32.8 28.3 21.6 15.4 255.6 -50.2 15.7 -23.1 19.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Muhlenkamp 1.58 -2.7 0.7 -11.9 -20.7 -22.1 -11.3 -61.3 -49.0 21.0 -26.2 19.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.1 19.0 62.6 35.9 27.4 12.3 205.8 -27.8 52.7 -26.7 24.3 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Fisher (Philip) 2.22 3.7 5.2 18.2 19.9 -3.7 0.4 48.8 -58.2 32.8 -27.9 26.4 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Graham--Enterprising Investor 1.78 12.0 16.3 2.0 0.7 7.4 13.4 141.9 -50.3 33.1 -23.4 28.5 -20.6 9.6 1.1 -1.1 43.5 Value
Foolish Small Cap 8 Revised 2.22 10.7 15.7 32.0 18.3 2.4 7.8 55.1 -64.0 42.9 -31.1 34.9 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Foolish Small Cap 8 2.30 9.0 12.3 53.9 26.8 13.5 3.7 149.9 -67.7 38.8 -25.9 43.0 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum