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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 3/31/2015
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 1.87 13.3 19.1 58.1 34.2 23.9 12.4 228.8 -27.8 52.7 -26.7 23.5 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
Graham--Enterprising Investor 1.77 11.9 16.0 0.5 -6.3 9.4 12.6 145.9 -50.3 33.1 -23.4 20.5 -20.6 9.6 1.1 -1.1 43.5 Value
Est Rev: Up 5% 1.75 18.6 27.7 29.9 20.1 21.5 25.3 395.2 -23.4 30.8 -21.7 15.4 5.5 27.7 28.8 6.1 35.9 Earnings Estimates
Fisher (Philip) 2.21 2.5 4.7 15.5 7.9 -7.1 -0.1 76.2 -58.2 32.8 -27.9 14.8 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
Est Rev: Top 30 Up 1.83 17.1 25.8 21.3 21.2 21.9 23.9 489.9 -37.8 36.4 -26.7 11.2 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Zweig 1.91 12.4 17.8 -17.7 7.6 1.2 1.9 46.4 -54.4 32.7 -24.2 10.9 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Inve$tWare Quality Growth 1.26 8.1 8.5 33.0 18.4 15.3 9.7 237.8 -44.7 18.2 -22.0 10.6 21.6 30.4 19.7 -9.4 17.3 Growth
Insider Net Purchases 1.87 -6.3 -0.4 -8.0 2.0 -3.5 -3.7 89.8 -65.5 27.8 -27.2 9.8 -11.9 21.5 11.5 -31.4 7.4 Specialty
Driehaus 2.25 9.7 13.6 18.8 18.0 18.9 21.1 465.9 -53.4 51.3 -25.7 9.8 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Value on the Move--PEG With Est Growth 1.34 16.6 20.0 23.6 22.8 19.1 14.7 287.0 -50.2 15.7 -23.1 9.7 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
S&P MidCap 400 Growth (TR) 1.30 11.0 12.3 8.7 17.3 16.3 10.9 241.5 -47.7 19.0 -22.2 7.6 7.6 32.8 15.8 -0.9 30.6 Indexes
O'Neil's CAN SLIM 1.91 16.3 25.2 37.5 28.3 18.3 19.0 231.2 -10.1 69.6 -23.1 7.5 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
MAGNET Simple 2.97 9.5 15.6 0.2 -17.3 -1.0 11.0 298.5 -75.9 52.1 -34.0 6.9 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
O'Neil's CAN SLIM No Float 1.39 13.4 16.1 12.6 11.6 14.4 7.3 214.9 -61.6 23.5 -35.5 6.9 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
S&P SmallCap 600 Growth (TR) 1.31 9.1 9.9 10.6 17.7 17.6 10.5 271.3 -51.1 17.0 -21.7 6.6 3.9 42.6 14.9 4.1 28.0 Indexes
Fundamental Rule of Thumb 1.70 10.4 13.1 -7.3 3.1 -1.1 4.7 96.5 -57.0 33.8 -19.2 6.4 -11.6 46.1 -6.9 -35.2 17.7 Value
Kirkpatrick Growth 2.14 10.8 15.6 5.1 3.0 4.2 15.0 111.4 -38.7 64.1 -23.1 6.3 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Lakonishok 1.20 13.4 14.7 16.5 14.6 15.7 14.3 251.4 -32.5 16.6 -17.9 6.2 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Price-to-Sales 1.32 13.0 15.1 1.1 10.8 12.5 9.4 223.1 -55.1 18.3 -20.6 6.1 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
Wanger (Revised) 1.44 8.8 9.9 6.1 19.4 15.1 10.6 195.7 -51.3 22.8 -19.8 5.9 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Value on the Move--PEG With Hist Growth 1.06 14.1 14.5 13.6 15.3 15.6 10.5 216.1 -50.1 12.7 -19.1 5.4 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
Stock Market Winners 1.45 16.1 20.5 9.0 17.0 28.7 12.6 447.4 -51.3 22.0 -23.4 5.3 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Buffett: Hagstrom 1.12 14.1 15.0 14.0 14.2 18.0 12.6 246.8 -39.8 13.2 -19.0 4.9 9.6 35.4 13.0 8.2 27.7 Growth & Value
Dreman With Est Revisions 1.35 14.0 16.6 16.7 16.9 21.5 16.2 324.1 -39.9 21.4 -26.2 4.9 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
S&P MidCap 400 1.19 8.8 9.2 10.6 15.3 14.0 8.7 211.7 -50.5 14.8 -21.8 4.9 8.2 31.6 16.1 -3.1 24.9 Indexes
O'Shaughnessy: Growth 1.51 13.2 16.6 1.5 19.6 15.1 10.0 212.5 -57.2 18.6 -17.9 4.8 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
P/E Relative 1.13 15.2 16.3 9.1 13.5 13.4 14.5 208.6 -27.6 18.4 -18.3 4.5 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Dreman 1.25 10.1 11.0 9.3 13.9 11.4 7.2 153.6 -55.0 23.9 -22.2 4.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
Return on Equity 1.28 10.9 12.2 0.1 6.3 10.5 8.8 177.5 -47.2 14.6 -22.2 4.2 -8.8 34.2 10.1 -5.7 32.0 Growth
Graham--Defensive Investor (Non-Utility) 1.38 13.5 16.1 -10.3 9.4 13.2 15.8 255.7 -52.1 25.8 -17.3 4.1 -13.1 33.9 18.9 7.0 31.4 Value
S&P SmallCap 600 1.27 7.9 8.3 7.3 15.8 14.9 8.4 223.8 -52.2 17.3 -20.2 3.6 4.4 39.7 14.8 -0.2 25.0 Indexes
Graham--Enterprising Investor Revised 1.75 15.4 22.1 38.2 8.4 9.4 25.3 396.5 -49.9 36.4 -22.4 3.5 41.9 2.1 -4.9 -4.1 32.9 Value
Magic Formula 1.64 8.3 9.5 -15.0 -0.9 -0.5 4.4 126.9 -51.6 30.7 -22.4 3.5 -16.5 27.9 7.9 -30.6 26.6 Value
Dogs of the Dow: Low Priced 5 1.57 0.2 2.5 7.3 15.4 16.3 0.3 257.1 -82.9 27.6 -34.8 3.4 3.0 34.5 15.7 13.1 17.3 Value
Oberweis Octagon 1.93 10.0 13.3 -1.8 15.8 11.6 7.8 230.2 -70.6 24.6 -23.2 3.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Price-to-Free-Cash-Flow 1.78 14.4 20.5 7.7 27.6 21.4 16.9 814.2 -62.8 51.2 -31.7 3.3 12.4 97.8 1.1 -7.0 39.2 Value
Dual Cash Flow 1.53 11.3 13.9 -4.8 11.7 6.9 6.6 190.0 -61.0 34.7 -23.6 3.3 -3.2 48.9 5.1 -21.6 31.0 Growth
All Exchange-Listed Stocks 1.37 9.5 10.6 3.3 14.0 11.5 7.6 229.8 -58.6 23.9 -22.1 3.0 5.0 38.1 14.8 -12.3 26.2 Indexes
Templeton 1.26 10.3 11.2 12.6 17.8 18.5 10.8 241.1 -40.0 14.5 -23.1 2.9 13.0 29.4 31.0 3.2 22.4 Growth & Value
Lynch 1.24 10.4 11.4 -18.2 1.6 -1.0 5.0 109.0 -47.5 18.9 -21.3 2.8 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
S&P MidCap 400 Value (TR) 1.12 8.8 9.0 10.9 18.1 15.4 10.1 238.8 -49.4 15.7 -21.8 2.8 12.1 34.3 20.1 -2.4 22.8 Indexes
Buffettology: EPS Growth 1.22 10.2 11.0 5.2 15.1 14.9 11.0 269.0 -48.4 15.1 -20.8 2.6 4.4 38.4 17.4 3.8 20.5 Growth & Value
Foolish Small Cap 8 2.27 8.2 10.3 10.3 9.5 1.9 1.8 147.7 -67.7 38.8 -25.9 2.5 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
S&P 500 Growth (TR) 1.10 6.5 6.5 16.1 16.8 15.8 9.1 202.4 -44.4 10.8 -16.5 2.5 14.9 35.5 14.6 4.7 15.0 Indexes
Neff 1.63 14.0 18.7 7.0 13.4 14.5 11.2 324.5 -52.8 32.6 -21.7 2.5 5.1 39.5 15.0 -4.2 35.0 Growth & Value
NASDAQ 100 1.80 7.9 8.9 20.5 16.3 17.2 11.3 209.5 -50.1 25.0 -27.5 2.3 17.9 35.0 16.8 2.7 19.2 Indexes
Cash Rich Firms 1.38 9.5 10.6 -1.5 12.2 1.3 4.4 90.8 -45.6 17.6 -20.7 1.6 2.5 36.6 10.5 -32.8 14.4 Value
S&P SmallCap 600 Value (TR) 1.23 8.4 8.8 6.6 15.5 14.3 8.7 218.5 -51.0 18.4 -19.6 1.3 7.5 35.6 17.8 -1.2 24.7 Indexes
Murphy Technology 2.76 -16.2 -1.7 -8.2 14.2 11.5 4.2 175.6 -58.3 58.5 -44.9 1.2 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Kirkpatrick Value 2.20 8.1 10.0 -13.6 3.8 -3.6 10.1 -16.7 -23.3 49.0 -25.3 1.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
S&P 500 1.00 4.5 4.5 10.4 13.6 12.1 5.8 159.2 -52.6 10.8 -16.8 0.4 11.4 29.6 13.4 0.0 12.8 Indexes
Est Rev: Down 5% 1.95 -5.7 0.3 -14.6 -0.7 0.5 0.8 117.8 -63.8 33.5 -30.5 0.1 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Buffettology: Sustainable Growth 1.28 10.2 11.3 2.8 11.5 10.6 10.5 224.5 -41.9 16.5 -20.4 0.1 3.2 35.8 8.8 0.7 18.4 Growth & Value
T. Rowe Price 1.66 8.5 9.8 4.4 4.5 20.3 7.5 349.4 -62.5 33.5 -20.0 0.0 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Rule #1 Investing 1.80 10.6 13.9 38.6 25.2 21.4 13.5 574.7 -54.0 27.0 -26.8 0.0 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Foolish Small Cap 8 Revised 2.12 10.0 13.9 -2.1 10.3 -7.4 5.5 100.9 -64.0 28.1 -31.1 0.0 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
O'Shaughnessy: All Cap 1.38 9.6 10.8 0.6 4.7 7.3 6.5 118.8 -52.1 18.4 -21.5 -0.1 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
Kirkpatrick Bargain 1.36 7.7 8.1 3.9 3.7 8.7 11.3 119.0 -43.2 21.1 -21.7 -0.2 5.9 7.3 14.9 3.6 9.4 Growth & Value
Dow Jones 30 0.97 4.9 4.8 8.0 10.4 10.4 5.4 133.6 -49.3 11.8 -15.1 -0.3 7.5 26.5 7.3 5.5 11.0 Indexes
S&P 500 Value (TR) 1.00 6.0 6.0 9.3 15.4 13.2 7.2 187.2 -56.0 11.3 -17.1 -0.7 12.5 33.7 17.7 -0.5 15.1 Indexes
Dividend (High Relative Yield) 0.97 9.0 9.0 -2.1 14.1 12.7 6.7 156.0 -40.4 12.5 -14.2 -0.7 2.0 40.6 9.8 3.0 19.4 Growth & Value
Dogs of the Dow 1.22 2.2 3.0 5.1 11.9 13.3 3.3 198.6 -69.0 17.1 -23.4 -0.8 6.8 27.9 9.6 10.7 19.4 Value
Weiss Blue Chip Div Yield 1.22 9.9 10.7 1.2 10.2 14.3 9.3 194.5 -43.1 16.0 -16.8 -1.2 5.4 21.3 19.2 7.6 26.9 Value
Est Rev: Lowest 30 Down 2.33 -9.4 -0.3 -23.0 -2.5 -1.5 -1.0 130.2 -71.0 43.0 -29.9 -1.5 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
O'Shaughnessy: Value 1.34 4.9 5.3 -7.2 7.2 6.5 1.3 135.3 -69.1 22.0 -23.8 -1.8 -5.8 29.6 20.3 -11.2 7.4 Value
O'Shaughnessy: Small Cap Growth & Value 1.52 14.3 18.3 7.3 18.5 17.5 13.0 180.3 -50.6 18.5 -18.2 -2.2 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
O'Shaughnessy: Tiny Titans 1.92 16.2 25.2 2.0 25.6 13.2 10.3 274.1 -67.3 37.4 -21.0 -2.9 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
ADR Screen 1.48 7.9 8.6 -2.9 12.8 8.8 6.8 151.1 -68.7 31.1 -29.7 -4.5 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
O'Shaughnessy: Growth Market Leaders 1.23 6.8 6.8 1.1 15.8 11.6 5.4 127.7 -50.5 13.6 -18.6 -5.3 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
Muhlenkamp 1.58 -4.9 -0.7 -52.7 -28.2 -26.4 -12.9 -62.6 -49.0 21.0 -26.2 -5.6 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Schloss 1.93 8.2 9.7 13.9 -3.3 -0.6 3.5 22.5 -37.6 27.1 -40.4 -8.8 -5.9 16.7 13.1 -35.1 12.5 Value
Piotroski: High F-Score 2.07 16.9 28.0 -22.9 42.9 34.5 23.1 865.5 -53.6 43.1 -42.0 -9.0 -0.3 137.6 91.7 -36.4 138.8 Value
MAGNET Complex 2.73 8.4 11.6 0.2 -0.3 -0.3 -5.9 -28.9 -55.9 63.0 -28.2 -13.8 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum
Graham--Defensive Investor (Utility) 0.96 7.0 7.0 -9.6 2.2 4.4 5.0 48.9 -31.4 12.0 -13.7 -16.7 16.0 10.0 1.2 8.6 4.6 Value