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 6/30/2015
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
Foolish Small Cap 8 Revised 2.24 11.2 17.0 62.0 28.8 10.7 9.3 171.9 -64.0 42.9 -31.1 65.5 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
Foolish Small Cap 8 2.30 9.3 13.0 91.2 19.5 17.9 5.1 242.0 -67.7 38.8 -25.9 60.1 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
O'Neil's CAN SLIM Revised 3rd Edition 1.87 13.3 19.2 50.8 39.0 31.6 12.6 250.0 -27.8 52.7 -26.7 31.4 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Fisher (Philip) 2.22 4.1 5.4 15.8 21.0 -1.2 0.9 51.1 -58.2 32.8 -27.9 30.7 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Graham--Enterprising Investor 1.78 11.8 16.0 -4.0 -2.6 6.8 14.0 123.9 -50.3 33.1 -23.4 25.2 -20.6 9.6 1.1 -1.1 43.5 Value
Muhlenkamp 1.58 -2.5 0.8 21.5 -20.3 -21.3 -11.4 -60.2 -49.0 21.0 -26.2 21.7 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.7 20.2 24.3 26.7 22.7 14.4 276.6 -50.2 15.7 -23.1 18.4 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Est Rev: Up 5% 1.76 18.2 27.1 16.9 19.9 23.7 24.1 338.3 -23.4 30.8 -21.7 18.2 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Fundamental Rule of Thumb 1.70 10.6 13.5 0.1 10.4 2.9 6.3 76.4 -57.0 33.8 -19.2 16.1 -11.6 46.1 -6.9 -35.2 17.7 Value
Est Rev: Top 30 Up 1.83 17.0 25.7 15.3 23.1 24.7 23.3 434.1 -37.8 36.4 -26.7 14.7 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Stock Market Winners 1.45 16.3 20.7 20.3 18.0 30.0 13.3 469.7 -51.3 22.0 -23.4 13.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Zweig 1.91 12.3 17.6 -8.7 9.9 5.3 1.0 14.8 -54.4 32.7 -24.2 12.4 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 16.7 13.3 15.7 6.6 249.0 -61.6 23.5 -35.5 10.3 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Cash Rich Firms 1.38 9.7 10.9 -3.8 17.2 6.6 4.9 79.5 -45.6 17.6 -20.7 9.2 2.5 36.6 10.5 -32.8 14.4 Value
Driehaus 2.25 9.5 13.4 18.5 17.1 19.9 19.8 389.5 -53.4 51.3 -25.7 8.9 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Inve$tWare Quality Growth 1.26 7.9 8.3 28.7 19.6 17.5 8.6 196.5 -44.7 18.2 -22.0 8.8 21.6 30.4 19.7 -9.4 17.3 Growth
Lynch 1.25 10.5 11.5 -16.1 8.5 1.3 5.6 94.7 -47.5 18.9 -21.3 7.9 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
S&P SmallCap 600 Growth (TR) 1.31 9.0 9.8 9.6 19.0 19.6 10.2 221.3 -51.1 17.0 -21.7 7.5 3.9 42.6 14.9 4.1 28.0 Indexes
Lakonishok 1.20 13.2 14.6 16.4 18.4 18.9 14.4 211.3 -32.5 16.6 -17.9 7.4 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Insider Net Purchases 1.88 -6.7 -0.5 -3.5 2.2 -1.4 -3.8 45.1 -65.5 27.8 -27.2 7.3 -11.9 21.5 11.5 -31.4 7.4 Specialty
O'Neil's CAN SLIM 1.91 16.0 24.7 18.4 32.5 17.6 17.6 229.5 -10.1 69.6 -23.1 6.9 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Est Rev: Lowest 30 Down 2.33 -8.3 0.1 -16.5 4.3 2.5 -0.3 74.6 -71.0 43.0 -29.9 6.9 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
Est Rev: Down 5% 1.95 -5.0 0.6 -10.2 5.6 4.1 1.0 73.8 -63.8 33.5 -30.5 6.7 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Value on the Move--PEG With Hist Growth 1.06 14.0 14.4 9.8 18.0 16.4 9.7 193.6 -50.1 12.7 -19.1 6.6 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.30 10.8 12.1 6.7 18.8 18.5 10.5 200.0 -47.7 19.0 -22.2 6.6 7.6 32.8 15.8 -0.9 30.6 Indexes
Return on Equity 1.28 10.9 12.1 1.0 9.7 13.1 8.1 150.7 -47.2 14.6 -22.2 6.3 -8.8 34.2 10.1 -5.7 32.0 Growth
Graham--Defensive Investor (Non-Utility) 1.38 13.4 16.0 -8.8 11.7 14.3 15.8 188.3 -52.1 25.8 -17.3 6.2 -13.1 33.9 18.9 7.0 31.4 Value
Graham--Enterprising Investor Revised 1.75 15.3 21.9 30.3 16.0 11.8 23.7 271.5 -49.9 36.4 -22.4 5.6 41.9 2.1 -4.9 -4.1 32.9 Value
Price-to-Sales 1.32 12.7 14.7 -4.1 12.1 14.6 9.0 169.4 -55.1 18.3 -20.6 4.7 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Price-to-Free-Cash-Flow 1.78 14.3 20.3 4.7 35.0 22.2 16.6 509.4 -62.8 51.2 -31.7 4.1 12.4 97.8 1.1 -7.0 39.2 Value
Dogs of the Dow: Low Priced 5 1.57 0.2 2.5 3.5 12.3 18.4 0.0 181.4 -82.9 27.6 -34.8 4.0 3.0 34.5 15.7 13.1 17.3 Value
NASDAQ 100 1.80 7.8 8.9 14.2 18.9 20.4 11.4 214.1 -50.1 25.0 -27.5 3.8 17.9 35.0 16.8 2.7 19.2 Indexes
All Exchange-Listed Stocks 1.37 9.4 10.5 -1.2 16.3 13.7 7.4 175.1 -58.6 23.9 -22.1 3.7 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P SmallCap 600 1.27 7.8 8.2 5.3 17.3 17.0 8.0 175.6 -52.2 17.3 -20.2 3.5 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.6 9.0 4.8 16.8 16.1 8.2 167.7 -50.5 14.8 -21.8 3.4 8.2 31.6 16.1 -3.1 24.9 Indexes
O'Shaughnessy: All Cap 1.39 9.6 10.8 0.1 9.0 10.5 6.8 96.4 -52.1 18.4 -21.5 3.3 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
S&P 500 Growth (TR) 1.10 6.4 6.4 10.1 17.8 18.6 9.0 180.1 -44.4 10.8 -16.5 2.8 14.9 35.5 14.6 4.7 15.0 Indexes
Buffettology: EPS Growth 1.22 10.1 10.9 4.4 17.0 16.6 10.9 220.5 -48.4 15.1 -20.8 2.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
Kirkpatrick Value 2.20 8.1 10.0 -1.4 3.1 3.9 10.2 -20.4 -23.3 49.0 -25.3 2.6 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
P/E Relative 1.13 14.9 15.9 5.5 13.9 15.1 13.8 172.1 -27.6 18.4 -18.3 2.2 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
ADR Screen 1.48 8.1 8.9 -3.1 21.9 9.8 7.9 123.2 -68.7 31.1 -29.7 2.2 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Wanger (Revised) 1.44 8.6 9.5 -0.1 21.0 16.9 10.0 152.6 -51.3 22.8 -19.8 2.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Neff 1.63 13.8 18.4 4.1 17.7 15.2 11.0 218.6 -52.8 32.6 -21.7 2.0 5.1 39.5 15.0 -4.2 35.0 Growth & Value
Buffett: Hagstrom 1.12 13.7 14.6 9.3 14.1 19.1 11.7 201.4 -39.8 13.2 -19.0 1.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
Kirkpatrick Growth 2.14 10.5 15.1 -3.3 5.6 5.4 14.5 72.9 -38.7 64.1 -23.1 1.6 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
S&P MidCap 400 Value (TR) 1.12 8.6 8.8 3.5 19.3 17.6 9.5 189.3 -49.4 15.7 -21.8 1.6 12.1 34.3 20.1 -2.4 22.8 Indexes
Dreman 1.25 9.8 10.6 3.1 16.6 12.6 6.6 124.5 -55.0 23.9 -22.2 1.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.2 8.6 3.8 17.3 16.7 8.3 167.6 -51.0 18.4 -19.6 0.8 7.5 35.6 17.8 -1.2 24.7 Indexes
O'Shaughnessy: Growth 1.51 12.8 16.0 -1.6 19.3 17.7 9.0 179.2 -57.2 18.6 -17.9 0.6 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P 500 1.00 4.4 4.4 5.2 14.8 14.9 5.6 136.4 -52.6 10.8 -16.8 0.2 11.4 29.6 13.4 0.0 12.8 Indexes
T. Rowe Price 1.66 8.4 9.7 4.4 4.5 22.8 8.5 250.5 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
S&P 500 Value (TR) 1.00 5.9 5.9 4.7 16.9 16.0 7.0 159.2 -56.0 11.3 -17.1 -0.5 12.5 33.7 17.7 -0.5 15.1 Indexes
Rule #1 Investing 1.81 10.4 13.6 -3.3 28.5 26.5 12.8 434.9 -54.0 27.0 -26.8 -0.6 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Dual Cash Flow 1.53 11.0 13.5 -11.4 13.0 7.8 5.8 126.9 -61.0 34.7 -23.6 -0.7 -3.2 48.9 5.1 -21.6 31.0 Growth
Buffettology: Sustainable Growth 1.28 10.0 11.0 0.0 13.4 12.4 10.1 178.9 -41.9 16.5 -20.4 -0.8 3.2 35.8 8.8 0.7 18.4 Growth & Value
Dreman With Est Revisions 1.36 13.5 16.0 4.6 19.4 23.4 15.1 265.9 -39.9 21.4 -26.2 -0.8 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Kirkpatrick Bargain 1.37 7.6 7.9 2.8 6.1 13.0 10.8 87.9 -43.2 21.1 -21.7 -0.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Magic Formula 1.64 8.0 9.0 -17.1 -0.9 -0.2 5.5 65.9 -51.6 30.7 -22.4 -1.1 -16.5 27.9 7.9 -30.6 26.6 Value
Dow Jones 30 0.97 4.7 4.7 4.7 11.0 12.5 5.5 115.7 -49.3 11.8 -15.1 -1.1 7.5 26.5 7.3 5.5 11.0 Indexes
Dividend (High Relative Yield) 0.97 8.8 8.8 -7.6 13.7 14.4 6.3 131.4 -40.4 12.5 -14.2 -1.7 2.0 40.6 9.8 3.0 19.4 Growth & Value
Oberweis Octagon 1.93 9.8 12.8 -8.6 12.7 11.9 7.6 208.5 -70.6 24.6 -23.2 -1.7 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
O'Shaughnessy: Value 1.34 4.7 5.2 -11.9 10.1 9.2 1.4 92.0 -69.1 22.0 -23.8 -2.2 -5.8 29.6 20.3 -11.2 7.4 Value
Dogs of the Dow 1.22 2.1 2.9 -0.9 10.1 14.9 3.1 150.8 -69.0 17.1 -23.4 -2.5 6.8 27.9 9.6 10.7 19.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.53 14.1 18.0 3.5 20.4 21.3 11.8 154.7 -50.6 18.5 -18.2 -2.7 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
MAGNET Complex 2.73 8.6 12.2 12.8 15.8 5.4 -2.4 -19.9 -55.9 63.0 -28.2 -2.9 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Templeton 1.26 9.8 10.7 1.1 19.3 18.1 10.2 180.3 -40.0 14.5 -23.1 -3.2 13.0 29.4 31.0 3.2 22.4 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.8 -2.3 17.9 15.3 5.1 123.1 -50.5 13.6 -18.6 -3.6 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 16.0 24.7 -3.7 26.7 13.9 10.0 219.3 -67.3 37.4 -21.0 -4.4 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
Weiss Blue Chip Div Yield 1.23 9.5 10.2 -7.2 9.9 15.8 9.0 149.1 -43.1 16.0 -16.8 -5.5 5.4 21.3 19.2 7.6 26.9 Value
Schloss 1.94 8.2 9.7 14.7 -1.7 1.7 4.0 5.5 -37.6 27.1 -40.4 -6.7 -5.9 16.7 13.1 -35.1 12.5 Value
Piotroski: High F-Score 2.07 16.5 27.2 -24.8 36.9 30.8 22.4 542.5 -53.6 43.1 -42.0 -13.3 -0.3 137.6 91.7 -36.4 138.8 Value
MAGNET Simple 2.98 9.0 13.8 -25.3 -19.3 0.7 6.5 155.1 -75.9 52.1 -34.0 -15.0 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Murphy Technology 2.77 -19.7 -2.9 -36.7 9.2 9.4 1.9 88.8 -58.3 58.5 -44.9 -19.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Graham--Defensive Investor (Utility) 0.97 6.3 6.3 -23.1 -2.1 3.7 3.2 32.8 -31.4 12.0 -13.7 -23.9 16.0 10.0 1.2 8.6 4.6 Value