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 12/31/2015
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
O'Neil's CAN SLIM Revised 3rd Edition 1.86 13.1 18.7 29.1 40.1 15.6 12.2 231.0 -27.8 52.7 -26.7 32.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Fisher (Philip) 2.21 3.0 4.9 22.7 19.1 -3.8 1.3 125.2 -58.2 32.8 -27.9 22.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Stock Market Winners 1.43 16.2 20.4 19.2 20.8 19.4 13.2 526.7 -51.3 22.0 -23.4 19.2 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
T. Rowe Price 1.65 8.8 10.4 17.4 16.3 23.8 7.0 418.1 -62.5 33.5 -20.0 17.4 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Foolish Small Cap 8 2.32 8.3 10.7 17.2 7.7 4.4 1.3 259.4 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Driehaus 2.22 9.6 13.4 17.2 19.8 11.5 19.9 470.1 -53.4 51.3 -25.7 17.2 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Dogs of the Dow: Low Priced 5 1.56 0.8 2.8 11.7 15.7 15.2 1.7 329.9 -82.9 27.6 -34.8 11.7 3.0 34.5 15.7 13.1 17.3 Value
O'Neil's CAN SLIM No Float 1.38 13.1 15.7 11.4 14.1 9.2 7.0 217.5 -61.6 23.5 -35.5 11.4 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Muhlenkamp 1.57 -3.3 0.3 11.2 -21.1 -23.7 -13.5 -47.5 -49.0 21.0 -26.2 11.2 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Graham--Enterprising Investor 1.81 11.0 14.6 8.6 -1.8 -1.1 10.2 184.4 -50.3 33.1 -23.4 8.6 -20.6 9.6 1.1 -1.1 43.5 Value
NASDAQ 100 1.78 7.8 8.9 8.4 19.9 15.7 10.8 222.0 -50.1 25.0 -27.5 8.4 17.9 35.0 16.8 2.7 19.2 Indexes
Value on the Move--PEG With Hist Growth 1.05 13.6 14.0 6.7 18.1 11.7 8.7 236.2 -50.1 12.7 -19.1 6.7 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.35 13.5 15.9 6.4 18.1 17.8 15.7 340.7 -39.9 21.4 -26.2 6.4 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Est Rev: Top 30 Up 1.82 16.3 24.3 5.9 17.7 14.2 20.4 595.7 -37.8 36.4 -26.7 5.9 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
S&P 500 Growth (TR) 1.10 6.4 6.4 5.5 17.2 14.1 8.9 233.5 -44.4 10.8 -16.5 5.5 14.9 35.5 14.6 4.7 15.0 Indexes
MAGNET Complex Revised 2.22 -3.3 2.1 4.4 -15.3 -17.5 -3.2 -64.9 -21.0 46.3 -25.1 4.4 -38.4 -5.7 -6.8 -32.5 -21.7
Buffettology: Sustainable Growth 1.28 10.0 11.0 3.3 13.1 9.7 9.7 231.9 -41.9 16.5 -20.4 3.3 3.2 35.8 8.8 0.7 18.4 Growth & Value
Value on the Move--PEG With Est Growth 1.34 15.6 18.6 2.8 21.3 14.2 11.6 346.4 -50.2 15.7 -23.1 2.8 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 8.6 9.3 2.8 15.0 12.7 9.2 298.5 -51.1 17.0 -21.7 2.8 3.9 42.6 14.9 4.1 28.0 Indexes
Buffettology: EPS Growth 1.21 9.9 10.6 2.5 14.0 12.5 9.5 282.4 -48.4 15.1 -20.8 2.5 4.4 38.4 17.4 3.8 20.5 Growth & Value
S&P MidCap 400 Growth (TR) 1.29 10.3 11.5 -2.0 13.6 11.5 8.8 272.4 -47.7 19.0 -22.2 2.0 7.6 32.8 15.8 -0.9 30.6 Indexes
Graham--Enterprising Investor Revised 1.74 14.8 20.9 1.2 13.6 6.0 20.4 568.7 -49.9 36.4 -22.4 1.2 41.9 2.1 -4.9 -4.1 32.9 Value
Buffett: Hagstrom 1.11 13.3 14.0 0.3 14.2 12.7 11.1 264.7 -39.8 13.2 -19.0 0.3 9.6 35.4 13.0 8.2 27.7 Growth & Value
Price-to-Free-Cash-Flow 1.77 13.8 19.4 0.5 30.7 16.0 15.5 951.0 -62.8 51.2 -31.7 0.3 12.4 97.8 1.1 -7.0 39.2 Value
Return on Equity 1.27 10.3 11.4 0.2 7.0 4.9 6.1 200.3 -47.2 14.6 -22.2 0.2 -8.8 34.2 10.1 -5.7 32.0 Growth
MAGNET Simple Revised 2.24 -3.9 1.9 0.0 7.9 -12.5 2.0 -12.6 -31.0 38.9 -27.1 0.0 -13.7 45.7 -25.0 -45.7 32.9
Est Rev: Up 5% 1.75 17.1 25.1 -0.1 8.8 12.0 20.5 432.5 -23.4 30.8 -21.7 -0.1 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
S&P 500 1.00 4.2 4.2 -0.7 12.7 10.2 5.1 186.7 -52.6 10.8 -16.8 -0.7 11.4 29.6 13.4 0.0 12.8 Indexes
Kirkpatrick Growth 2.11 10.3 14.5 -0.7 5.0 -1.6 10.7 108.7 -38.7 64.1 -23.1 -0.7 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Inve$tWare Quality Growth 1.27 7.3 7.5 -1.0 16.2 11.2 6.7 256.9 -44.7 18.2 -22.0 -1.0 21.6 30.4 19.7 -9.4 17.3 Growth
Dogs of the Dow 1.21 2.1 2.8 -1.4 10.4 10.3 3.7 241.7 -69.0 17.1 -23.4 -1.4 6.8 27.9 9.6 10.7 19.4 Value
Fundamental Rule of Thumb 1.69 9.8 12.0 -1.8 8.2 -5.2 3.3 144.9 -57.0 33.8 -19.2 -1.8 -11.6 46.1 -6.9 -35.2 17.7 Value
Wanger (Revised) 1.43 8.2 9.0 -2.1 14.4 11.9 7.8 219.9 -51.3 22.8 -19.8 -2.1 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Dow Jones 30 0.97 4.5 4.5 -2.2 10.0 8.5 5.0 155.0 -49.3 11.8 -15.1 -2.2 7.5 26.5 7.3 5.5 11.0 Indexes
O'Shaughnessy: Small Cap Growth & Value 1.52 13.7 17.5 -2.8 13.5 13.7 10.7 194.0 -50.6 18.5 -18.2 -2.8 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.6 6.7 -2.9 13.8 11.0 4.4 148.9 -50.5 13.6 -18.6 -2.9 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Lakonishok 1.19 12.4 13.5 -2.9 11.6 8.9 12.1 269.8 -32.5 16.6 -17.9 -2.9 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
S&P 500 Value (TR) 1.00 5.6 5.6 -3.1 12.9 11.0 5.9 222.6 -56.0 11.3 -17.1 -3.1 12.5 33.7 17.7 -0.5 15.1 Indexes
S&P SmallCap 600 1.26 7.3 7.6 -3.4 12.1 10.1 6.7 246.1 -52.2 17.3 -20.2 -3.4 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.0 8.3 -3.7 11.1 9.0 6.6 239.2 -50.5 14.8 -21.8 -3.7 8.2 31.6 16.1 -3.1 24.9 Indexes
Graham--Defensive Investor (Utility) 0.98 7.5 7.4 -5.1 6.6 5.9 4.9 50.7 -31.4 12.0 -13.7 -5.1 16.0 10.0 1.2 8.6 4.6 Value
Dreman 1.24 9.2 9.9 -5.4 9.1 6.7 4.1 219.2 -55.0 23.9 -22.2 -5.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: Growth 1.50 12.3 15.2 -5.5 10.1 9.7 6.8 219.5 -57.2 18.6 -17.9 -5.5 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
Zweig 1.90 11.5 16.0 -5.7 0.5 -2.5 -2.0 53.9 -54.4 32.7 -24.2 -5.7 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Price-to-Sales 1.32 11.9 13.6 -5.9 6.7 5.7 6.3 252.6 -55.1 18.3 -20.6 -5.9 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Kirkpatrick Value 2.19 7.7 9.1 -6.4 -1.1 -1.3 2.6 -16.9 -23.3 49.0 -25.3 -6.4 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
S&P SmallCap 600 Value (TR) 1.22 7.7 7.9 -6.7 10.8 9.6 6.7 241.7 -51.0 18.4 -19.6 -6.7 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 Value (TR) 1.11 7.9 8.1 -6.7 12.0 10.5 7.8 269.2 -49.4 15.7 -21.8 -6.7 12.1 34.3 20.1 -2.4 22.8 Indexes
ADR Screen 1.47 7.6 8.1 -7.0 16.4 3.5 4.9 190.8 -68.7 31.1 -29.7 -7.0 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Graham--Defensive Investor (Non-Utility) 1.38 12.4 14.7 -7.1 2.7 6.6 11.5 317.2 -52.1 25.8 -17.3 -7.1 -13.1 33.9 18.9 7.0 31.4 Value
O'Shaughnessy: Tiny Titans 1.91 15.5 23.7 -7.2 21.6 10.8 7.6 331.6 -67.3 37.4 -21.0 -7.2 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Cash Rich Firms 1.38 8.7 9.5 -7.8 8.9 -0.8 3.0 122.0 -45.6 17.6 -20.7 -7.8 2.5 36.6 10.5 -32.8 14.4 Value
Kirkpatrick Bargain 1.36 7.0 7.2 -8.4 1.3 4.4 8.4 109.7 -43.2 21.1 -21.7 -8.4 5.9 7.3 14.9 3.6 9.4 Growth & Value
Foolish Small Cap 8 Revised 2.28 9.2 12.7 -2.8 -1.5 -7.2 3.0 204.7 -64.0 42.9 -31.1 -9.5 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Est Rev: Down 5% 1.94 -6.7 -0.3 -9.6 0.1 -5.5 -1.5 165.2 -63.8 33.5 -30.5 -9.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dividend (High Relative Yield) 0.98 8.0 8.0 -10.3 8.8 7.8 5.1 176.2 -40.4 12.5 -14.2 -10.3 2.0 40.6 9.8 3.0 19.4 Growth & Value
O'Neil's CAN SLIM 1.92 14.9 22.7 -10.5 13.4 9.1 15.3 225.2 -10.1 69.6 -23.1 -10.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
MAGNET Simple 2.97 8.9 13.7 -11.2 -19.6 -11.5 4.7 363.3 -75.9 52.1 -34.0 -11.2 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
All Exchange-Listed Stocks 1.37 8.5 9.2 -11.6 8.6 5.2 4.9 275.0 -58.6 23.9 -22.1 -11.6 5.0 38.1 14.8 -12.3 26.2 Indexes
P/E Relative 1.13 13.6 14.5 -11.7 6.4 6.2 10.9 244.4 -27.6 18.4 -18.3 -11.7 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
O'Shaughnessy: Value 1.34 3.7 4.4 -12.5 2.2 2.7 -0.2 169.7 -69.1 22.0 -23.8 -12.5 -5.8 29.6 20.3 -11.2 7.4 Value
Est Rev: Lowest 30 Down 2.31 -10.8 -1.0 -12.7 -3.4 -8.3 -3.3 196.0 -71.0 43.0 -29.9 -12.7 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Magic Formula 1.64 7.4 8.0 -13.1 -2.5 -7.0 2.9 144.4 -51.6 30.7 -22.4 -13.1 -16.5 27.9 7.9 -30.6 26.6 Value
Weiss Blue Chip Div Yield 1.23 8.8 9.3 -14.3 3.1 7.0 7.2 215.7 -43.1 16.0 -16.8 -14.3 5.4 21.3 19.2 7.6 26.9 Value
Templeton 1.26 8.9 9.6 -15.0 7.5 10.9 8.3 267.6 -40.0 14.5 -23.1 -15.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
Lynch 1.27 9.0 9.7 -15.0 -0.7 -6.6 2.8 145.5 -47.5 18.9 -21.3 -15.0 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Murphy Technology 2.75 -18.6 -2.6 -15.5 5.2 3.1 -0.6 183.7 -58.3 58.5 -44.9 -15.5 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Dual Cash Flow 1.54 10.0 11.9 -17.2 6.0 -0.3 3.0 238.4 -61.0 34.7 -23.6 -17.2 -3.2 48.9 5.1 -21.6 31.0 Growth
Insider Net Purchases 1.88 -9.5 -2.0 -17.9 -4.2 -7.6 -6.4 114.5 -65.5 27.8 -27.2 -17.9 -11.9 21.5 11.5 -31.4 7.4 Specialty
O'Shaughnessy: All Cap 1.42 8.3 9.0 -19.0 -1.9 0.2 2.9 149.8 -52.1 18.4 -21.5 -19.0 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Oberweis Octagon 1.92 9.0 11.2 -19.1 1.9 3.6 4.2 224.5 -70.6 24.6 -23.2 -19.1 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Schloss 1.93 7.5 8.5 -20.4 -4.4 -8.5 0.4 48.4 -37.6 27.1 -40.4 -20.4 -5.9 16.7 13.1 -35.1 12.5 Value
Neff 1.63 12.4 16.1 -21.7 4.7 4.8 6.5 392.4 -52.8 32.6 -21.7 -21.7 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Piotroski: High F-Score 2.07 14.8 23.8 -40.5 12.1 11.4 14.7 991.3 -53.6 43.1 -42.0 -40.5 -0.3 137.6 91.7 -36.4 138.8 Value
MAGNET Complex 2.75 7.3 8.6 -43.0 -6.6 -6.9 -12.8 -21.6 -55.9 63.0 -28.2 -43.0 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Rule #1 Investing 1.88 8.1 9.4 -46.0 6.1 5.6 6.6 745.9 -54.0 27.0 -28.5 -46.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value