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 5/31/2016
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 2015 2014 2013 2012 2011
Est Rev: Lowest 30 Down 2.33 -7.3 0.6 6.5 2.3 -2.2 -1.3 196.0 -71.0 43.0 -29.9 32.6 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
O'Shaughnessy: All Cap 1.45 8.8 9.9 -7.2 0.9 1.9 3.4 149.8 -52.1 18.4 -21.5 19.4 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Price-to-Sales 1.33 12.4 14.3 5.5 8.9 6.9 7.2 252.6 -55.1 18.3 -20.6 17.8 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Oberweis Octagon 1.93 9.3 11.9 -1.2 2.3 5.7 3.6 224.5 -70.6 24.6 -23.2 17.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Foolish Small Cap 8 2.37 8.6 11.4 -3.9 13.5 4.8 2.3 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Est Rev: Down 5% 1.95 -5.2 0.5 -2.5 1.3 -1.6 -0.8 165.2 -63.8 33.5 -30.5 16.4 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
MAGNET Simple 2.96 9.1 14.3 9.6 -14.8 -13.0 -0.4 363.3 -75.9 52.1 -34.0 16.3 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Driehaus 2.22 9.8 13.8 28.4 16.0 12.0 19.1 470.1 -53.4 51.3 -25.7 11.7 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Wanger (Revised) 1.43 8.5 9.4 3.4 13.7 12.8 8.0 219.9 -51.3 22.8 -19.8 11.5 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Dogs of the Dow 1.21 2.7 3.4 9.2 8.2 10.8 4.1 241.7 -69.0 17.1 -23.4 11.4 6.8 27.9 9.6 10.7 19.4 Value
MAGNET Simple Revised 2.23 -2.7 2.4 12.3 7.1 -7.5 1.1 -12.6 -31.0 38.9 -27.1 11.0 -13.7 45.7 -25.0 -45.7 32.9
Est Rev: Up 5% 1.76 17.1 25.2 -4.2 9.9 12.2 19.3 432.5 -23.4 30.8 -21.7 10.9 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
T. Rowe Price 1.66 9.0 10.7 29.8 10.7 14.0 9.1 418.1 -62.5 33.5 -20.0 10.6 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.2 8.4 -1.0 9.5 10.6 8.1 269.2 -49.4 15.7 -21.8 9.7 12.1 34.3 20.1 -2.4 22.8 Indexes
Price-to-Free-Cash-Flow 1.78 13.8 19.5 6.4 23.8 15.4 15.1 951.0 -62.8 51.2 -31.7 9.5 12.4 97.8 1.1 -7.0 39.2 Value
Dogs of the Dow: Low Priced 5 1.55 1.5 3.2 13.4 12.4 14.6 1.5 329.9 -82.9 27.6 -34.8 9.1 3.0 34.5 15.7 13.1 17.3 Value
Dividend (High Relative Yield) 0.98 8.3 8.3 -2.5 7.3 8.8 5.9 176.2 -40.4 12.5 -14.2 9.1 2.0 40.6 9.8 3.0 19.4 Growth & Value
Piotroski: High F-Score 2.07 14.8 23.7 -29.9 -6.1 13.8 14.7 991.3 -53.6 43.1 -42.0 7.9 -0.3 137.6 91.7 -36.4 138.8 Value
S&P SmallCap 600 Value (TR) 1.22 7.9 8.2 0.4 8.0 10.1 6.6 241.7 -51.0 18.4 -19.6 7.9 7.5 35.6 17.8 -1.2 24.7 Indexes
Weiss Blue Chip Div Yield 1.23 8.9 9.5 -6.9 3.8 6.3 7.6 215.7 -43.1 16.0 -16.8 7.0 5.4 21.3 19.2 7.6 26.9 Value
P/E Relative 1.14 13.6 14.6 -9.6 3.1 6.1 10.1 244.4 -27.6 18.4 -18.3 6.9 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
S&P MidCap 400 1.19 8.2 8.5 -2.1 8.0 8.3 6.9 239.2 -50.5 14.8 -21.8 6.8 8.2 31.6 16.1 -3.1 24.9 Indexes
S&P 500 Value (TR) 1.00 5.8 5.8 0.4 9.0 10.5 5.8 222.6 -56.0 11.3 -17.1 5.3 12.5 33.7 17.7 -0.5 15.1 Indexes
Templeton 1.26 9.0 9.6 -9.5 3.3 12.3 9.0 267.6 -40.0 14.5 -23.1 5.3 13.0 29.4 31.0 3.2 22.4 Growth & Value
S&P MidCap 400 Growth (TR) 1.29 10.4 11.5 0.4 10.0 10.7 9.2 272.4 -47.7 19.0 -22.2 5.3 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P SmallCap 600 1.26 7.4 7.7 -1.1 8.5 9.2 6.5 246.1 -52.2 17.3 -20.2 5.0 4.4 39.7 14.8 -0.2 25.0 Indexes
Graham--Defensive Investor (Non-Utility) 1.38 12.4 14.6 -9.8 2.0 6.1 11.1 317.2 -52.1 25.8 -17.3 5.0 -13.1 33.9 18.9 7.0 31.4 Value
Magic Formula 1.63 7.5 8.1 -11.8 -6.8 -4.8 2.5 144.4 -51.6 30.7 -22.4 4.8 -16.5 27.9 7.9 -30.6 26.6 Value
Lakonishok 1.20 12.3 13.5 -3.6 10.7 7.8 11.7 269.8 -32.5 16.6 -17.9 4.6 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Return on Equity 1.27 10.3 11.3 -2.1 5.0 4.1 6.4 200.3 -47.2 14.6 -22.2 4.0 -8.8 34.2 10.1 -5.7 32.0 Growth
Dreman 1.25 9.2 9.9 -7.4 5.3 7.3 3.8 219.2 -55.0 23.9 -22.2 3.9 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Lynch 1.27 9.0 9.7 -21.1 -1.0 -5.3 2.3 145.5 -47.5 18.9 -21.3 3.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
O'Shaughnessy: Value 1.34 3.8 4.5 -9.3 0.1 2.4 -0.4 169.7 -69.1 22.0 -23.8 3.7 -5.8 29.6 20.3 -11.2 7.4 Value
S&P SmallCap 600 Growth (TR) 1.30 8.6 9.2 0.5 10.7 10.6 8.9 298.5 -51.1 17.0 -21.7 3.5 3.9 42.6 14.9 4.1 28.0 Indexes
All Exchange-Listed Stocks 1.37 8.4 9.2 -12.8 4.7 4.8 4.5 275.0 -58.6 23.9 -22.1 3.4 5.0 38.1 14.8 -12.3 26.2 Indexes
Zweig 1.91 11.4 15.8 -16.5 -0.5 0.3 -2.0 53.9 -54.4 32.7 -24.2 3.3 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
ADR Screen 1.47 7.6 8.1 -4.1 17.2 3.5 3.9 190.8 -68.7 31.1 -29.7 3.3 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Buffett: Hagstrom 1.10 13.2 13.9 1.2 9.5 11.1 11.0 264.7 -39.8 13.2 -19.0 3.0 9.6 35.4 13.0 8.2 27.7 Growth & Value
Est Rev: Top 30 Up 1.82 16.1 23.9 -4.1 13.0 13.2 18.9 595.7 -37.8 36.4 -26.7 3.0 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
O'Shaughnessy: Growth 1.50 12.2 15.0 -3.9 4.2 6.8 5.6 219.5 -57.2 18.6 -17.9 2.9 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P 500 1.00 4.3 4.3 -0.5 8.7 9.3 5.1 186.7 -52.6 10.8 -16.8 2.6 11.4 29.6 13.4 0.0 12.8 Indexes
Buffettology: Sustainable Growth 1.27 9.9 10.8 9.8 8.2 9.5 9.8 231.9 -41.9 16.5 -20.4 2.4 3.2 35.8 8.8 0.7 18.4 Growth & Value
Inve$tWare Quality Growth 1.27 7.2 7.4 -6.0 13.2 9.9 7.0 256.9 -44.7 18.2 -22.0 2.1 21.6 30.4 19.7 -9.4 17.3 Growth
Dow Jones 30 0.98 4.5 4.5 -1.2 5.6 7.2 4.8 155.0 -49.3 11.8 -15.1 2.1 7.5 26.5 7.3 5.5 11.0 Indexes
S&P 500 Growth (TR) 1.10 6.3 6.3 2.6 12.9 12.7 9.2 233.5 -44.4 10.8 -16.5 1.9 14.9 35.5 14.6 4.7 15.0 Indexes
Muhlenkamp 1.57 -3.1 0.3 -5.5 -14.0 -19.0 -12.7 -47.5 -49.0 21.0 -26.2 1.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Dual Cash Flow 1.55 9.9 11.7 -18.8 1.4 -0.1 2.2 238.4 -61.0 34.7 -23.6 1.1 -3.2 48.9 5.1 -21.6 31.0 Growth
Graham--Defensive Investor (Utility) 1.00 7.3 7.3 16.3 3.0 4.4 4.2 50.7 -31.4 12.0 -13.7 0.0 16.0 10.0 1.2 8.6 4.6 Value
O'Shaughnessy: Growth Market Leaders 1.23 6.5 6.5 0.1 9.2 8.5 3.7 148.9 -50.5 13.6 -18.6 0.0 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Buffettology: EPS Growth 1.21 9.7 10.3 1.8 8.3 11.5 9.1 282.4 -48.4 15.1 -20.8 -0.1 4.4 38.4 17.4 3.8 20.5 Growth & Value
O'Neil's CAN SLIM No Float 1.38 12.9 15.3 3.1 9.8 8.8 7.0 217.5 -61.6 23.5 -35.5 -0.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Fundamental Rule of Thumb 1.69 9.6 11.7 -14.2 3.1 -3.8 1.9 144.9 -57.0 33.8 -19.2 -0.4 -11.6 46.1 -6.9 -35.2 17.7 Value
O'Shaughnessy: Tiny Titans 1.90 15.2 23.0 -7.2 10.8 10.8 5.7 331.6 -67.3 37.4 -21.0 -1.3 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 -15.2 14.3 11.0 10.0 346.4 -50.2 15.7 -23.1 -1.5 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
NASDAQ 100 1.78 7.7 8.6 0.3 14.9 13.8 11.1 222.0 -50.1 25.0 -27.5 -1.5 17.9 35.0 16.8 2.7 19.2 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.2 13.5 -1.1 12.4 8.6 8.0 236.2 -50.1 12.7 -19.1 -1.9 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.1 15.4 3.9 13.7 13.5 13.3 340.7 -39.9 21.4 -26.2 -1.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Cash Rich Firms 1.38 8.5 9.2 -15.9 4.5 2.7 2.0 122.0 -45.6 17.6 -20.7 -2.1 2.5 36.6 10.5 -32.8 14.4 Value
Kirkpatrick Growth 2.10 10.1 14.0 -3.2 0.9 -4.5 9.1 108.7 -38.7 64.1 -23.1 -2.2 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
MAGNET Complex Revised 2.20 -3.7 1.9 8.1 -13.2 -15.4 -6.2 -64.9 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
O'Neil's CAN SLIM 1.92 14.5 21.9 -18.5 9.8 6.4 13.8 225.2 -10.1 69.6 -23.1 -3.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Stock Market Winners 1.43 15.7 19.6 2.1 10.7 17.1 12.7 526.7 -51.3 22.0 -23.4 -4.4 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Neff 1.63 11.9 15.4 -29.4 -3.8 0.2 5.6 392.4 -52.8 32.6 -21.7 -5.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Graham--Enterprising Investor Revised 1.75 14.2 20.0 -11.9 9.5 3.4 18.5 568.7 -49.9 36.4 -22.4 -6.3 41.9 2.1 -4.9 -4.1 32.9 Value
Kirkpatrick Bargain 1.37 6.6 6.7 -7.7 -3.5 0.1 6.6 109.7 -43.2 21.1 -21.7 -6.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.5 17.7 -4.6 31.2 19.2 11.7 231.0 -27.8 52.7 -26.7 -8.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Schloss 1.93 7.1 7.7 -24.8 -10.0 -7.1 -1.9 48.4 -37.6 27.1 -40.4 -9.0 -5.9 16.7 13.1 -35.1 12.5 Value
O'Shaughnessy: Small Cap Growth & Value 1.52 13.0 16.4 -9.0 2.8 9.5 8.2 194.0 -50.6 18.5 -18.2 -9.2 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Murphy Technology 2.73 -20.1 -3.2 -24.3 -6.2 -0.6 -0.3 183.7 -58.3 58.5 -44.9 -11.7 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Fisher (Philip) 2.21 0.9 4.0 -15.9 13.6 -2.3 0.3 125.2 -58.2 32.8 -27.9 -13.3 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Kirkpatrick Value 2.18 7.2 8.0 -21.2 -7.8 -10.0 -0.8 -16.9 -23.3 49.0 -25.3 -13.5 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Insider Net Purchases 1.91 -11.6 -3.0 -42.1 -12.2 -10.2 -8.6 114.5 -65.5 27.8 -27.2 -16.1 -11.9 21.5 11.5 -31.4 7.4 Specialty
Foolish Small Cap 8 Revised 2.38 8.4 11.1 -41.2 -8.1 -8.7 -1.1 204.7 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Rule #1 Investing 1.89 7.2 7.9 -61.1 -8.2 -0.1 4.0 745.9 -54.0 27.0 -28.5 -20.1 50.3 47.1 11.3 -1.0 40.0 Growth & Value
MAGNET Complex 2.75 6.7 7.0 -50.5 -13.7 -13.9 -14.6 -21.6 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum