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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 11/28/2014
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 -4.5 -0.4 -50.7 -24.1 -24.0 -12.7 -60.9 -49.0 21.0 -26.2 -49.1 -14.3 -3.0 -45.9 2.7 45.2 Growth & Value With Price Momentum
Foolish Small Cap 8 2.26 7.8 9.3 -26.5 -2.3 5.0 0.5 106.3 -67.7 38.8 -25.9 -31.6 32.9 16.9 -14.9 25.2 48.1 Growth With Price Momentum
Est Rev: Lowest 30 Down 2.34 -9.9 -0.5 -21.1 2.1 1.1 -2.1 122.8 -71.0 43.0 -29.9 -24.1 29.7 9.3 -34.1 37.8 106.2 Earnings Estimates
Schloss 1.92 8.2 9.7 -30.8 3.2 -3.8 5.5 18.0 -37.6 27.1 -40.4 -17.4 16.7 13.1 -35.1 12.5 57.5 Value
Insider Net Purchases 1.87 -8.2 -1.3 -7.3 4.9 -3.0 -6.0 62.8 -65.5 27.8 -27.2 -17.0 21.5 11.5 -31.4 7.4 59.0 Specialty
Kirkpatrick Value 2.22 8.1 10.0 -20.4 1.5 -5.2 7.8 -19.6 -23.3 49.0 -25.3 -17.0 21.9 19.4 -15.1 -25.5 -8.9 Growth & Value
Est Rev: Down 5% 1.96 -6.1 0.0 -14.3 5.2 2.6 0.0 110.1 -63.8 33.5 -30.5 -16.5 28.2 9.2 -31.1 30.3 76.0 Earnings Estimates
MAGNET Simple 2.99 9.5 15.5 -14.4 -19.5 -0.7 13.1 276.3 -75.9 52.1 -34.0 -14.4 -31.1 -12.4 19.5 56.1 339.5 Growth & Value With Price Momentum
Zweig 1.89 12.3 17.5 -12.2 6.9 3.9 2.2 33.4 -54.4 32.7 -24.2 -13.7 26.2 6.4 -18.3 12.8 -13.3 Growth & Value
Magic Formula 1.65 8.5 9.8 -10.0 6.8 3.1 4.1 130.9 -51.6 30.7 -22.4 -12.1 27.9 7.9 -30.6 26.6 97.0 Value
Graham--Enterprising Investor 1.75 11.8 15.8 -12.4 -0.6 6.6 12.6 126.9 -50.3 33.1 -23.4 -11.7 9.6 1.1 -1.1 43.5 48.5 Value
MAGNET Complex 2.71 8.4 11.6 -2.2 -1.8 -4.3 -6.8 -32.0 -55.9 63.0 -28.2 -11.4 32.9 -19.6 6.9 -20.4 -31.1 Growth & Value With Price Momentum
Fundamental Rule of Thumb 1.71 10.4 13.1 -9.1 5.4 0.1 5.5 89.2 -57.0 33.8 -19.2 -9.4 46.1 -6.9 -35.2 17.7 92.1 Value
Graham--Defensive Investor (Non-Utility) 1.38 13.8 16.5 -7.2 12.8 16.5 15.5 259.0 -52.1 25.8 -17.3 -8.6 33.9 18.9 7.0 31.4 57.9 Value
Return on Equity 1.29 10.9 12.2 -7.8 10.4 12.4 8.7 168.3 -47.2 14.6 -22.2 -8.1 34.2 10.1 -5.7 32.0 40.0 Growth
Oberweis Octagon 1.92 10.1 13.4 -7.2 19.8 21.7 7.2 219.2 -70.6 24.6 -23.2 -6.1 38.9 32.6 -14.7 78.4 2.1 Growth & Value With Price Momentum
Price-to-Sales 1.33 12.9 15.0 -2.4 13.6 14.6 9.1 204.3 -55.1 18.3 -20.6 -5.2 36.3 11.3 -2.6 29.6 47.1 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 7.1 7.3 6.6 20.7 16.2 6.7 139.2 -50.5 13.6 -18.6 -4.7 48.5 15.8 -1.2 15.7 12.6 Value With Price Momentum
Lynch 1.24 10.7 11.7 -7.5 5.5 4.4 6.1 111.1 -47.5 18.9 -21.3 -3.7 24.3 0.7 -27.9 24.9 82.8 Growth & Value
Driehaus 2.27 9.4 13.1 3.1 17.9 20.0 18.8 401.5 -53.4 51.3 -25.7 -3.3 47.7 16.7 -14.1 65.7 106.0 Growth With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.53 14.3 18.5 -1.7 23.3 21.4 13.6 171.2 -50.6 18.5 -18.2 -3.1 46.8 30.3 -0.3 26.1 -3.3 Value With Price Momentum
Dual Cash Flow 1.54 11.4 14.0 1.3 14.2 10.8 6.7 182.4 -61.0 34.7 -23.6 -2.6 48.9 5.1 -21.6 31.0 76.0 Growth
Foolish Small Cap 8 Revised 2.14 10.1 14.2 -2.1 13.5 -1.2 5.5 100.9 -64.0 28.1 -31.1 -2.1 0.4 41.8 -49.2 15.4 161.0 Growth & Value
O'Shaughnessy: Value 1.34 5.5 5.8 0.4 14.8 8.2 2.2 149.3 -69.1 22.0 -23.8 -2.0 29.6 20.3 -11.2 7.4 31.5 Value
O'Shaughnessy: All Cap 1.38 9.7 11.0 1.6 9.1 11.0 7.4 118.0 -52.1 18.4 -21.5 -1.9 18.4 12.4 -5.0 29.4 23.3 Value With Price Momentum
Kirkpatrick Growth 2.15 10.7 15.5 -2.8 -0.6 2.2 14.5 97.5 -38.7 64.1 -23.1 -1.9 18.1 -9.8 -11.6 15.3 80.2 Growth With Price Momentum
Wanger (Revised) 1.44 8.7 9.7 3.5 22.9 16.3 10.0 177.4 -51.3 22.8 -19.8 0.6 51.1 23.5 -5.2 12.5 24.7 Growth & Value
S&P SmallCap 600 Growth (TR) 1.32 8.8 9.5 2.1 18.4 19.2 9.6 238.0 -51.1 17.0 -21.7 0.8 42.6 14.9 4.1 28.0 30.7 Indexes
O'Shaughnessy: Growth 1.52 13.1 16.5 -0.4 21.7 17.1 9.6 195.8 -57.2 18.6 -17.9 0.9 38.7 28.8 -7.5 21.3 22.4 Value With Price Momentum
S&P SmallCap 600 1.28 7.8 8.1 3.0 18.1 17.2 7.7 204.3 -52.2 17.3 -20.2 1.7 39.7 14.8 -0.2 25.0 23.8 Indexes
Dividend (High Relative Yield) 0.97 9.3 9.2 5.1 17.1 14.9 6.4 158.0 -40.4 12.5 -14.2 2.1 40.6 9.8 3.0 19.4 16.4 Growth & Value
Neff 1.64 14.0 18.7 0.1 18.2 18.5 10.1 303.6 -52.8 32.6 -21.7 2.4 39.5 15.0 -4.2 35.0 52.5 Growth & Value
O'Neil's CAN SLIM No Float 1.40 13.3 16.0 5.2 14.4 12.1 8.0 196.6 -61.6 23.5 -35.5 2.7 30.8 8.9 -3.9 20.6 36.9 Growth With Price Momentum
Value on the Move--PEG With Hist Growth 1.06 14.0 14.5 5.8 16.7 18.1 10.1 199.7 -50.1 12.7 -19.1 3.4 49.2 4.3 1.0 31.7 23.9 Growth & Value With Price Momentum
Kirkpatrick Bargain 1.37 7.7 8.1 5.9 8.7 8.8 13.3 114.5 -43.2 21.1 -21.7 3.4 7.3 14.9 3.6 9.4 22.2 Growth & Value
Est Rev: Up 5% 1.76 18.2 27.1 5.8 20.7 21.6 23.3 322.4 -23.4 30.8 -21.7 3.8 27.7 28.8 6.1 35.9 86.3 Earnings Estimates
Buffettology: Sustainable Growth 1.29 10.4 11.5 6.3 16.2 14.7 11.0 226.2 -41.9 16.5 -20.4 3.9 35.8 8.8 0.7 18.4 68.0 Growth & Value
Buffettology: EPS Growth 1.22 10.3 11.1 5.4 19.3 17.6 11.1 258.7 -48.4 15.1 -20.8 4.1 38.4 17.4 3.8 20.5 57.5 Growth & Value
T. Rowe Price 1.67 8.6 10.0 4.4 4.5 23.9 9.3 349.4 -62.5 33.5 -20.0 4.4 28.5 -15.0 117.4 11.9 40.1 Growth & Value
Cash Rich Firms 1.38 9.6 10.8 7.1 17.0 5.0 4.4 91.7 -45.6 17.6 -20.7 4.6 36.6 10.5 -32.8 14.4 56.9 Value
All Exchange-Listed Stocks 1.38 9.5 10.6 7.6 18.1 14.2 7.3 219.5 -58.6 23.9 -22.1 4.7 38.1 14.8 -12.3 26.2 65.8 Indexes
S&P SmallCap 600 Value (TR) 1.23 8.3 8.7 6.4 19.5 17.4 8.2 206.1 -51.0 18.4 -19.6 4.7 35.6 17.8 -1.2 24.7 20.6 Indexes
Fisher (Philip) 2.20 1.8 4.4 9.7 11.8 -2.9 -0.1 64.2 -58.2 32.8 -27.9 5.6 39.5 -0.6 -50.9 9.2 107.9 Growth & Value
Murphy Technology 2.77 -15.4 -1.4 9.0 25.7 16.5 5.8 193.0 -58.3 58.5 -44.9 6.2 39.7 42.3 -29.8 40.0 28.8 Growth & Value
Est Rev: Top 30 Up 1.84 16.9 25.5 11.8 23.9 24.0 23.5 421.9 -37.8 36.4 -26.7 6.5 42.1 21.9 -2.3 47.6 110.0 Earnings Estimates
P/E Relative 1.13 15.3 16.5 7.7 16.5 16.6 14.4 199.0 -27.6 18.4 -18.3 6.6 29.5 14.3 -1.9 29.6 51.8 Earnings Estimates
S&P MidCap 400 Growth (TR) 1.31 10.8 12.1 4.3 19.6 18.6 10.7 219.4 -47.7 19.0 -22.2 7.3 32.8 15.8 -0.9 30.6 38.1 Indexes
Weiss Blue Chip Div Yield 1.22 10.3 11.1 10.8 15.3 16.5 10.1 203.7 -43.1 16.0 -16.8 7.4 21.3 19.2 7.6 26.9 27.9 Value
Dogs of the Dow: Low Priced 5 1.58 0.3 2.6 10.3 20.8 18.1 0.2 259.9 -82.9 27.6 -34.8 7.4 34.5 15.7 13.1 17.3 -7.7 Value
Piotroski: High F-Score 2.07 17.8 30.0 5.4 69.9 33.9 27.0 1,043.2 -53.6 43.1 -42.0 7.5 137.6 91.7 -36.4 138.8 34.6 Value
S&P MidCap 400 1.20 8.6 9.0 10.6 17.7 16.1 8.5 195.0 -50.5 14.8 -21.8 7.5 31.6 16.1 -3.1 24.9 35.0 Indexes
Dow Jones 30 0.97 5.0 4.9 10.8 13.9 11.5 5.5 134.3 -49.3 11.8 -15.1 7.6 26.5 7.3 5.5 11.0 18.8 Indexes
Stock Market Winners 1.46 16.0 20.5 12.6 19.2 35.1 13.8 411.7 -51.3 22.0 -23.4 8.0 34.8 13.6 21.2 124.6 -9.0 Growth & Value With Price Momentum
Buffett: Hagstrom 1.12 14.0 14.9 11.0 18.0 19.3 12.5 227.3 -39.8 13.2 -19.0 8.5 35.4 13.0 8.2 27.7 30.0 Growth & Value
Dreman 1.25 10.1 11.0 9.6 18.5 14.0 7.0 144.7 -55.0 23.9 -22.2 8.5 27.6 20.6 -11.7 22.7 37.2 Growth & Value
Lakonishok 1.21 13.1 14.4 12.2 16.4 16.2 14.2 219.6 -32.5 16.6 -17.9 9.2 26.8 7.5 -0.6 32.7 53.5 Value With Price Momentum
Dreman With Est Revisions 1.36 13.7 16.3 17.2 20.6 22.4 15.4 288.7 -39.9 21.4 -26.2 9.7 35.8 13.0 21.6 26.5 62.9 Earnings Estimates
Templeton 1.26 10.1 11.1 12.8 25.0 19.7 11.0 222.3 -40.0 14.5 -23.1 9.8 29.4 31.0 3.2 22.4 54.7 Growth & Value
Value on the Move--PEG With Est Growth 1.34 16.4 19.8 14.8 23.8 21.3 14.4 256.5 -50.2 15.7 -23.1 10.0 59.5 9.0 -0.3 29.7 24.2 Growth & Value With Price Momentum
Dogs of the Dow 1.22 2.6 3.3 11.9 17.1 15.7 3.5 210.2 -69.0 17.1 -23.4 10.1 27.9 9.6 10.7 19.4 8.1 Value
S&P MidCap 400 Value (TR) 1.12 8.7 8.9 13.7 21.6 18.0 9.9 224.8 -49.4 15.7 -21.8 10.5 34.3 20.1 -2.4 22.8 33.7 Indexes
Price-to-Free-Cash-Flow 1.78 14.5 20.7 15.1 31.3 25.4 17.7 777.9 -62.8 51.2 -31.7 11.5 97.8 1.1 -7.0 39.2 147.2 Value
S&P 500 1.00 4.6 4.6 14.5 18.3 13.5 5.8 159.1 -52.6 10.8 -16.8 11.9 29.6 13.4 0.0 12.8 23.5 Indexes
S&P 500 Value (TR) 1.00 6.1 6.1 14.5 20.9 15.2 7.4 187.6 -56.0 11.3 -17.1 11.9 33.7 17.7 -0.5 15.1 21.2 Indexes
Graham--Defensive Investor (Utility) 0.94 8.3 8.2 14.2 8.8 9.0 7.2 77.4 -31.4 12.0 -13.4 15.1 10.0 1.2 8.6 4.6 7.9 Value
S&P 500 Growth (TR) 1.10 6.5 6.5 19.1 21.0 16.8 8.9 198.0 -44.4 10.8 -16.5 16.0 35.5 14.6 4.7 15.0 31.6 Indexes
NASDAQ 100 1.81 8.0 9.1 24.4 23.6 19.7 10.7 209.8 -50.1 25.0 -27.5 20.8 35.0 16.8 2.7 19.2 53.5 Indexes
Inve$tWare Quality Growth 1.26 7.7 8.0 20.9 22.3 16.4 8.9 203.8 -44.7 18.2 -22.0 20.9 30.4 19.7 -9.4 17.3 39.6 Growth
O'Shaughnessy: Tiny Titans 1.93 16.5 25.7 26.8 33.0 18.4 10.2 272.1 -67.3 37.4 -21.0 21.4 54.4 20.0 -22.9 21.1 71.1 Value With Price Momentum
ADR Screen 1.48 8.4 9.3 32.8 19.2 9.9 7.7 172.5 -68.7 31.1 -29.7 31.8 33.2 1.4 -25.9 18.8 53.2 Growth & Value With Price Momentum
Graham--Enterprising Investor Revised 1.75 15.3 21.9 31.4 9.8 11.5 24.2 353.0 -49.9 36.4 -22.4 34.0 2.1 -4.9 -4.1 32.9 168.4 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.9 18.4 48.9 29.8 19.0 10.2 179.2 -27.8 52.7 -26.7 44.0 55.2 7.3 -30.1 42.7 16.8 Growth With Price Momentum
O'Neil's CAN SLIM 1.92 16.3 25.3 43.6 28.3 9.7 20.1 213.1 -10.1 69.6 -23.1 46.4 13.1 18.0 -10.2 -9.6 97.3 Growth With Price Momentum
Rule #1 Investing 1.81 10.7 14.2 48.8 34.7 28.2 13.8 574.7 -54.0 27.0 -26.8 50.3 47.1 11.3 -1.0 40.0 99.8 Growth & Value