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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 9/30/2014
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 1.55 -6.5 -1.8 -56.6 -29.1 -27.9 -13.4 -60.3 -49.0 21.0 -26.2 -60.0 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.4 -16.0 5.4 6.9 2.2 102.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Schloss 1.91 7.9 9.1 -23.3 2.1 -4.1 3.2 9.3 -37.6 27.1 -40.4 -24.9 16.7 13.1 -35.1 12.5 57.5 Value
Driehaus 2.24 8.8 11.7 -16.3 13.7 14.8 16.9 373.4 -53.4 51.3 -25.7 -22.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
MAGNET Simple 2.99 9.5 15.4 -45.6 -13.9 1.7 11.7 324.4 -75.9 52.1 -34.0 -17.6 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Est Rev: Lowest 30 Down 2.33 -8.7 0.0 -9.1 5.9 2.0 0.1 198.9 -71.0 43.0 -29.9 -17.4 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Insider Net Purchases 1.87 -8.2 -1.4 -17.4 7.0 -5.0 -4.9 92.2 -65.5 27.8 -27.2 -17.3 21.5 11.5 -31.4 7.4 59.0 Specialty
Kirkpatrick Value 2.21 8.1 10.1 -22.3 -0.1 -3.2 11.2 -14.3 -23.3 49.0 -25.3 -16.7 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Est Rev: Down 5% 1.95 -5.6 0.3 -5.0 10.0 2.1 1.9 158.4 -63.8 33.5 -30.5 -12.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
Magic Formula 1.65 8.6 9.9 -1.5 10.6 2.6 4.3 161.4 -51.6 30.7 -22.4 -11.3 27.9 7.9 -30.6 26.6 97.0 Value
Fundamental Rule of Thumb 1.71 10.4 13.2 0.8 6.5 -0.3 8.0 114.2 -57.0 33.8 -19.2 -10.8 46.1 -6.9 -35.2 17.7 92.1 Value
Return on Equity 1.29 10.9 12.1 -4.7 13.1 11.7 9.5 180.1 -47.2 14.6 -22.2 -10.8 34.2 10.1 -5.7 32.0 40.0 Growth
Zweig 1.87 12.7 18.1 0.6 14.4 2.0 3.5 62.4 -54.4 32.7 -24.2 -8.6 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
MAGNET Complex 2.71 8.5 12.0 22.1 -3.0 -3.5 -5.3 -29.0 -55.9 63.0 -28.2 -8.1 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Kirkpatrick Growth 2.15 10.6 15.2 -5.5 -3.8 3.1 15.0 108.9 -38.7 64.1 -23.1 -7.5 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
IBD Stable 70 1.19 10.0 10.6 4.0 20.0 15.7 8.0 214.0 -50.6 18.4 -21.9 -7.2 34.3 24.6 3.7 21.2 56.0 Growth
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.4 0.7 27.0 16.8 14.4 169.6 -50.6 18.5 -18.2 -6.8 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.37 14.1 16.9 1.9 21.5 17.6 17.2 297.8 -52.1 25.8 -17.3 -5.2 33.9 18.9 7.0 31.4 57.9 Value
S&P SmallCap 600 Growth (TR) 1.31 8.6 9.2 4.6 21.7 17.1 10.1 241.7 -51.1 17.0 -21.7 -4.9 42.6 14.9 4.1 28.0 30.7 Indexes
Neff 1.64 13.8 18.4 2.5 20.3 15.8 10.9 305.7 -52.8 32.6 -21.7 -4.9 39.5 15.0 -4.2 35.0 52.5 Growth & Value
Price-to-Sales 1.33 13.0 15.2 6.4 18.6 14.5 10.2 232.5 -55.1 18.3 -20.6 -4.8 36.3 11.3 -2.6 29.6 47.1 Growth & Value
S&P SmallCap 600 1.27 7.5 7.8 4.5 21.3 14.9 8.1 207.0 -52.2 17.3 -20.2 -4.6 39.7 14.8 -0.2 25.0 23.8 Indexes
Oberweis Octagon 1.92 10.3 13.7 5.1 29.8 16.8 8.9 243.7 -70.6 24.6 -23.2 -3.5 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 7.3 7.4 15.3 23.2 14.7 7.1 137.3 -50.5 13.6 -18.6 -3.3 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Dual Cash Flow 1.54 11.5 14.1 8.3 16.1 9.9 8.1 214.7 -61.0 34.7 -23.6 -3.0 48.9 5.1 -21.6 31.0 76.0 Growth
Value on the Move--PEG With Hist Growth 1.06 13.8 14.2 8.0 16.9 17.4 10.6 191.1 -50.1 12.7 -19.1 -2.9 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
S&P SmallCap 600 Value (TR) 1.23 8.0 8.3 3.4 22.6 14.9 8.5 205.4 -51.0 18.4 -19.6 -2.6 35.6 17.8 -1.2 24.7 20.6 Indexes
O'Neil's CAN SLIM No Float 1.39 13.2 15.9 -2.1 13.7 11.4 7.7 178.4 -61.6 23.5 -35.5 -2.5 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Foolish Small Cap 8 Revised 2.14 10.2 14.3 -2.1 2.7 1.3 6.6 105.1 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
Wanger (Revised) 1.44 8.7 9.6 14.7 26.7 16.2 10.9 185.5 -51.3 22.8 -19.8 -2.0 51.1 23.5 -5.2 12.5 24.7 Growth & Value
O'Shaughnessy: All Cap 1.38 9.8 11.1 14.5 16.7 11.2 8.9 126.1 -52.1 18.4 -21.5 -1.8 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Buffettology: Sustainable Growth 1.28 10.2 11.3 6.5 17.8 13.4 10.9 221.2 -41.9 16.5 -20.4 -1.4 35.8 8.8 0.7 18.4 68.0 Growth & Value
Buffettology: EPS Growth 1.22 10.1 10.8 7.2 21.1 16.1 10.8 253.3 -48.4 15.1 -20.8 -1.4 38.4 17.4 3.8 20.5 57.5 Growth & Value
Kirkpatrick Bargain 1.37 7.5 7.9 0.0 8.4 6.9 14.0 111.6 -43.2 21.1 -21.7 -1.2 7.3 14.9 3.6 9.4 22.2 Growth & Value
Graham--Enterprising Investor 1.75 12.4 16.8 0.0 3.3 9.4 15.2 166.0 -50.3 33.1 -23.4 -0.7 9.6 1.1 -1.1 43.5 48.5 Value
Est Rev: Up 5% 1.76 18.2 27.1 8.1 27.8 20.2 24.8 315.7 -23.4 30.8 -21.7 -0.6 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Lynch 1.24 11.0 12.0 4.7 7.5 5.9 7.7 161.2 -47.5 18.9 -21.3 -0.2 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Buffett: Hagstrom 1.11 13.7 14.5 8.8 18.8 17.2 12.6 208.3 -39.8 13.2 -19.0 0.0 35.4 13.0 8.2 27.7 30.0 Growth & Value
O'Shaughnessy: Value 1.34 5.8 6.0 13.6 19.5 9.5 3.4 165.9 -69.1 22.0 -23.8 0.1 29.6 20.3 -11.2 7.4 31.5 Value
Templeton 1.26 9.8 10.6 0.5 25.8 16.2 11.2 217.7 -40.0 14.5 -23.1 0.3 29.4 31.0 3.2 22.4 54.7 Growth & Value
Est Rev: Top 30 Up 1.83 16.8 25.3 13.5 27.0 21.1 25.0 427.8 -37.8 36.4 -26.7 0.4 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
P/E Relative 1.13 15.1 16.2 4.3 20.9 16.1 14.8 186.0 -27.6 18.4 -18.3 0.8 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
Dividend (High Relative Yield) 0.97 9.3 9.2 14.7 21.6 14.8 7.0 174.4 -40.4 12.5 -14.2 1.0 40.6 9.8 3.0 19.4 16.4 Growth & Value
O'Shaughnessy: Growth 1.51 13.3 16.7 15.8 26.5 17.7 11.5 204.7 -57.2 18.6 -17.9 1.2 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.31 10.6 11.8 5.8 22.9 16.3 10.7 220.6 -47.7 19.0 -22.2 1.6 32.8 15.8 -0.9 30.6 38.1 Indexes
Stock Market Winners 1.46 15.9 20.3 3.3 17.1 32.9 14.0 390.2 -51.3 22.0 -23.4 1.7 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Dividend Screen: Non-DRPs 0.92 13.2 12.7 7.1 17.5 13.9 7.7 199.5 -48.1 17.6 -15.3 1.8 22.2 18.1 4.3 25.3 25.4 Growth & Value
Piotroski: High F-Score 2.06 17.8 29.9 11.8 56.3 34.4 26.6 1,122.5 -53.6 43.1 -42.0 2.1 137.6 91.7 -36.4 138.8 34.6 Value
S&P MidCap 400 1.20 8.4 8.8 10.2 20.6 14.7 8.7 193.0 -50.5 14.8 -21.8 2.1 31.6 16.1 -3.1 24.9 35.0 Indexes
Lakonishok 1.20 12.8 14.1 12.7 17.6 14.0 14.3 205.2 -32.5 16.6 -17.9 2.4 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Dreman 1.25 9.9 10.7 8.0 22.7 12.9 7.4 138.9 -55.0 23.9 -22.2 2.4 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Dow Jones 30 0.97 4.7 4.7 12.6 16.0 11.9 5.4 121.1 -49.3 11.8 -15.1 2.8 26.5 7.3 5.5 11.0 18.8 Indexes
Value on the Move--PEG With Est Growth 1.34 16.2 19.5 11.4 24.9 18.0 14.9 236.0 -50.2 15.7 -23.1 2.9 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Dividend Screen: DRPs 1.10 8.5 8.7 13.1 17.1 12.5 5.8 180.7 -50.4 20.5 -18.2 3.1 26.1 10.9 1.9 19.8 29.4 Growth & Value
All Exchange-Listed Stocks 1.38 9.5 10.6 12.9 20.9 13.3 8.2 236.3 -58.6 23.9 -22.1 3.7 38.1 14.8 -12.3 26.2 65.8 Indexes
Dreman With Est Revisions 1.36 13.6 16.1 24.5 27.8 20.4 15.8 283.1 -39.9 21.4 -26.2 3.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Graham--Defensive Investor (Utility) 0.93 7.7 7.7 4.3 7.4 6.9 7.0 76.7 -31.4 12.0 -13.4 4.0 10.0 1.2 8.6 4.6 7.9 Value
Price-to-Free-Cash-Flow 1.78 14.3 20.4 22.8 34.1 23.9 18.4 780.1 -62.8 51.2 -31.7 4.1 97.8 1.1 -7.0 39.2 147.2 Value
T. Rowe Price 1.67 8.7 10.1 4.4 4.5 23.0 10.6 330.5 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Weiss Blue Chip Div Yield 1.21 10.2 11.0 12.3 20.0 16.9 10.6 203.3 -43.1 16.0 -16.8 4.6 21.3 19.2 7.6 26.9 27.9 Value
Dogs of the Dow: Low Priced 5 1.58 0.1 2.5 18.1 23.3 18.3 0.0 247.0 -82.9 27.6 -34.8 4.8 34.5 15.7 13.1 17.3 -7.7 Value
S&P MidCap 400 Value (TR) 1.12 8.5 8.7 13.5 25.1 16.4 10.2 223.4 -49.4 15.7 -21.8 4.9 34.3 20.1 -2.4 22.8 33.7 Indexes
Dogs of the Dow 1.22 2.4 3.1 14.9 19.3 16.5 3.2 196.2 -69.0 17.1 -23.4 6.5 27.9 9.6 10.7 19.4 8.1 Value
S&P 500 1.00 4.3 4.3 17.3 20.3 13.3 5.9 145.7 -52.6 10.8 -16.8 6.7 29.6 13.4 0.0 12.8 23.5 Indexes
S&P 500 Value (TR) 1.00 5.9 5.9 18.0 23.5 14.8 7.7 174.9 -56.0 11.3 -17.1 7.4 33.7 17.7 -0.5 15.1 21.2 Indexes
Inve$tWare Quality Growth 1.26 7.2 7.4 14.8 20.1 13.3 8.5 158.2 -44.7 18.2 -22.0 9.0 30.4 19.7 -9.4 17.3 39.6 Growth
Cash Rich Firms 1.38 9.9 11.2 13.5 22.1 6.7 5.9 113.2 -45.6 17.6 -20.7 9.1 36.6 10.5 -32.8 14.4 56.9 Value
S&P 500 Growth (TR) 1.10 6.2 6.2 21.6 22.6 16.6 8.7 175.6 -44.4 10.8 -16.5 9.4 35.5 14.6 4.7 15.0 31.6 Indexes
Fisher (Philip) 2.20 2.8 4.8 14.9 17.9 -3.4 1.1 73.3 -58.2 32.8 -27.9 12.3 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
NASDAQ 100 1.80 7.8 8.8 25.8 23.7 18.7 11.1 175.0 -50.1 25.0 -27.5 12.7 35.0 16.8 2.7 19.2 53.5 Indexes
Murphy Technology 2.77 -14.2 -1.0 18.7 33.9 14.4 8.0 247.8 -58.3 58.5 -44.9 14.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
O'Shaughnessy: Tiny Titans 1.92 16.6 26.0 40.3 36.5 17.0 11.6 282.2 -67.3 37.4 -21.0 20.6 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.0 21.4 14.6 10.7 11.4 24.4 289.1 -49.9 36.4 -22.4 21.3 2.1 -4.9 -4.1 32.9 168.4 Value
ADR Screen 1.48 8.4 9.3 37.1 19.9 9.6 8.5 177.4 -68.7 31.1 -29.7 29.2 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.7 18.1 45.1 28.8 16.6 10.1 132.1 -27.8 52.7 -26.7 34.2 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Neil's CAN SLIM 1.91 16.2 25.1 34.7 25.5 7.7 19.1 178.2 -10.1 69.6 -23.1 37.5 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Rule #1 Investing 1.81 10.8 14.3 51.4 39.1 30.5 14.9 593.4 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value