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 8/31/2016
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
T. Rowe Price 1.68 10.1 12.5 80.6 23.5 15.5 12.5 835.7 -62.5 33.5 -20.0 53.8 4.4 28.5 -15.0 117.4 11.9 Growth & Value
Est Rev: Lowest 30 Down 2.33 -6.7 0.8 33.3 4.5 5.2 -1.6 231.0 -71.0 43.0 -29.9 39.1 -20.4 29.7 9.3 -34.1 37.8 Earnings Estimates
MAGNET Simple 2.95 9.4 15.1 54.7 -6.1 -9.6 2.4 498.8 -75.9 52.1 -34.0 37.2 -15.2 -31.1 -12.4 19.5 56.1 Growth & Value With Price Momentum
Oberweis Octagon 1.94 9.6 12.5 19.7 6.3 13.3 5.1 261.8 -70.6 24.6 -23.2 32.3 -5.9 38.9 32.6 -14.7 78.4 Growth & Value With Price Momentum
Piotroski: High F-Score 2.07 15.1 24.4 5.2 -2.4 20.5 17.3 799.5 -53.6 43.1 -42.0 26.9 -0.3 137.6 91.7 -36.4 138.8 Value
Price-to-Sales 1.33 12.5 14.5 24.2 9.6 11.5 8.5 297.6 -55.1 18.3 -20.6 25.9 -5.1 36.3 11.3 -2.6 29.6 Growth & Value
O'Shaughnessy: All Cap 1.46 8.9 10.0 12.9 6.1 6.4 4.2 142.6 -52.1 18.4 -21.5 25.0 -1.4 18.4 12.4 -5.0 29.4 Value With Price Momentum
ADR Screen 1.48 8.1 8.9 15.3 19.5 10.3 4.9 229.1 -68.7 31.1 -29.7 21.9 27.3 33.2 1.4 -25.9 18.8 Growth & Value With Price Momentum
Wanger (Revised) 1.43 8.8 9.8 24.8 14.7 17.5 9.3 259.6 -51.3 22.8 -19.8 21.2 1.3 51.1 23.5 -5.2 12.5 Growth & Value
Est Rev: Down 5% 1.95 -4.9 0.6 17.4 2.3 4.4 -0.7 165.5 -63.8 33.5 -30.5 19.6 -13.5 28.2 9.2 -31.1 30.3 Earnings Estimates
Dividend (High Relative Yield) 0.98 8.7 8.6 12.3 8.9 12.3 6.5 192.6 -40.4 12.5 -14.2 18.5 2.0 40.6 9.8 3.0 19.4 Growth & Value
Driehaus 2.22 9.8 13.9 27.5 15.1 17.6 18.9 670.4 -53.4 51.3 -25.7 17.5 -0.7 47.7 16.7 -14.1 65.7 Growth With Price Momentum
Dogs of the Dow 1.21 3.0 3.6 25.6 10.4 13.8 3.7 292.5 -69.0 17.1 -23.4 17.2 6.8 27.9 9.6 10.7 19.4 Value
Foolish Small Cap 8 2.37 8.5 11.2 -15.6 11.5 9.9 3.0 245.3 -67.7 38.8 -25.9 17.2 -19.9 32.9 16.9 -14.9 25.2 Growth With Price Momentum
Est Rev: Up 5% 1.76 17.1 25.1 11.8 10.8 16.7 19.6 436.8 -23.4 30.8 -21.7 16.7 1.1 27.7 28.8 6.1 35.9 Earnings Estimates
Price-to-Free-Cash-Flow 1.78 13.9 19.6 11.4 19.7 21.7 16.5 1,086.8 -62.8 51.2 -31.7 16.3 12.4 97.8 1.1 -7.0 39.2 Value
Fisher (Philip) 2.23 4.4 5.6 32.9 15.5 10.4 4.1 153.5 -58.2 32.8 -27.9 16.0 -1.3 39.5 -0.6 -50.9 9.2 Growth & Value
S&P SmallCap 600 Value (TR) 1.23 8.1 8.5 15.4 9.5 14.4 7.4 267.7 -51.0 18.4 -19.6 15.7 7.5 35.6 17.8 -1.2 24.7 Indexes
S&P MidCap 400 Value (TR) 1.12 8.4 8.6 13.3 10.9 14.9 8.7 283.9 -49.4 15.7 -21.8 15.2 12.1 34.3 20.1 -2.4 22.8 Indexes
Fundamental Rule of Thumb 1.70 10.0 12.4 7.2 6.6 3.7 3.3 142.4 -57.0 33.8 -19.2 14.9 -11.6 46.1 -6.9 -35.2 17.7 Value
Graham--Defensive Investor (Utility) 1.02 7.9 8.0 28.7 8.9 7.9 4.7 101.0 -31.4 12.2 -13.7 14.7 16.0 10.0 1.2 8.6 4.6 Value
Dogs of the Dow: Low Priced 5 1.55 1.7 3.4 25.6 14.5 18.1 0.6 407.6 -82.9 27.6 -34.8 13.6 3.0 34.5 15.7 13.1 17.3 Value
P/E Relative 1.14 13.7 14.7 12.0 4.4 10.7 11.0 229.8 -27.6 18.4 -18.3 13.3 5.3 29.5 14.3 -1.9 29.6 Earnings Estimates
Lakonishok 1.20 12.6 13.7 9.5 13.1 12.5 12.6 284.9 -32.5 16.6 -17.9 13.0 13.0 26.8 7.5 -0.6 32.7 Value With Price Momentum
Weiss Blue Chip Div Yield 1.25 9.0 9.7 1.4 4.9 9.1 7.9 208.9 -43.1 16.0 -16.8 12.5 5.4 21.3 19.2 7.6 26.9 Value
O'Shaughnessy: Growth 1.50 12.4 15.3 10.7 8.6 12.7 7.6 235.3 -57.2 18.6 -17.9 12.4 1.7 38.7 28.8 -7.5 21.3 Value With Price Momentum
S&P SmallCap 600 1.26 7.6 7.9 11.6 9.6 13.7 7.4 265.6 -52.2 17.3 -20.2 12.1 4.4 39.7 14.8 -0.2 25.0 Indexes
S&P MidCap 400 1.19 8.3 8.6 10.4 9.7 12.3 7.6 248.2 -50.5 14.8 -21.8 11.9 8.2 31.6 16.1 -3.1 24.9 Indexes
Magic Formula 1.63 7.6 8.3 0.8 -2.8 0.3 3.4 129.8 -51.6 30.7 -22.4 11.7 -16.5 27.9 7.9 -30.6 26.6 Value
Lynch 1.27 9.2 10.0 -2.0 1.2 -0.2 3.8 108.3 -47.5 18.9 -21.3 11.6 -7.2 24.3 0.7 -27.9 24.9 Growth & Value
Graham--Defensive Investor (Non-Utility) 1.38 12.5 14.8 5.8 0.6 8.7 11.1 298.6 -52.1 25.8 -17.3 11.3 -13.1 33.9 18.9 7.0 31.4 Value
All Exchange-Listed Stocks 1.37 8.7 9.5 3.4 5.9 9.4 5.4 251.5 -58.6 23.9 -22.1 11.2 5.0 38.1 14.8 -12.3 26.2 Indexes
S&P MidCap 400 Growth (TR) 1.29 10.5 11.7 13.3 11.1 15.2 10.3 300.6 -47.7 19.0 -22.2 11.1 7.6 32.8 15.8 -0.9 30.6 Indexes
S&P SmallCap 600 Growth (TR) 1.30 8.8 9.5 11.4 11.3 15.3 10.1 329.1 -51.1 17.0 -21.7 10.9 3.9 42.6 14.9 4.1 28.0 Indexes
Est Rev: Top 30 Up 1.82 16.1 24.0 13.7 14.6 17.7 20.2 616.4 -37.8 36.4 -26.7 10.6 8.3 42.1 21.9 -2.3 47.6 Earnings Estimates
Stock Market Winners 1.43 16.1 20.2 15.3 15.0 17.3 14.7 639.9 -51.3 22.0 -23.4 10.5 9.7 34.8 13.6 21.2 124.6 Growth & Value With Price Momentum
Return on Equity 1.27 10.4 11.5 11.5 5.1 7.8 7.4 211.1 -47.2 14.6 -22.2 10.1 -8.8 34.2 10.1 -5.7 32.0 Growth
S&P 500 Value (TR) 1.00 5.9 5.9 13.2 10.4 14.2 6.0 237.8 -56.0 11.3 -17.1 9.8 12.5 33.7 17.7 -0.5 15.1 Indexes
Dual Cash Flow 1.55 10.1 12.0 6.3 1.0 5.0 3.1 198.5 -61.0 34.7 -23.6 9.8 -3.2 48.9 5.1 -21.6 31.0 Growth
Kirkpatrick Growth 2.10 10.3 14.5 12.4 6.7 -3.5 11.3 125.8 -38.7 64.1 -23.1 9.4 -1.2 18.1 -9.8 -11.6 15.3 Growth With Price Momentum
Dreman 1.25 9.4 10.1 8.2 6.7 12.1 4.3 211.4 -55.0 23.9 -22.2 9.4 7.7 27.6 20.6 -11.7 22.7 Growth & Value
O'Shaughnessy: Tiny Titans 1.90 15.4 23.3 14.1 16.0 17.1 7.5 340.3 -67.3 37.4 -21.0 8.6 25.7 54.4 20.0 -22.9 21.1 Value With Price Momentum
O'Shaughnessy: Value 1.34 4.0 4.7 6.3 1.9 6.3 -0.4 154.8 -69.1 22.0 -23.8 8.1 -5.8 29.6 20.3 -11.2 7.4 Value
Templeton 1.26 9.0 9.7 3.9 1.9 13.3 9.6 241.3 -40.0 14.5 -23.1 8.0 13.0 29.4 31.0 3.2 22.4 Growth & Value
Buffett: Hagstrom 1.10 13.2 13.9 7.3 10.1 12.4 11.8 284.3 -39.8 13.2 -19.0 7.2 9.6 35.4 13.0 8.2 27.7 Growth & Value
Buffettology: Sustainable Growth 1.27 10.0 10.9 12.2 9.1 10.7 10.5 279.1 -41.9 16.5 -20.4 6.6 3.2 35.8 8.8 0.7 18.4 Growth & Value
S&P 500 1.00 4.4 4.4 10.1 9.9 12.2 5.2 195.3 -52.6 10.8 -16.8 6.2 11.4 29.6 13.4 0.0 12.8 Indexes
S&P 500 Growth (TR) 1.10 6.5 6.5 11.8 14.0 15.1 9.2 255.9 -44.4 10.8 -16.5 6.0 14.9 35.5 14.6 4.7 15.0 Indexes
Dow Jones 30 0.98 4.7 4.6 11.3 7.5 9.6 4.9 160.5 -49.3 11.8 -15.1 5.6 7.5 26.5 7.3 5.5 11.0 Indexes
Buffettology: EPS Growth 1.21 9.7 10.4 7.7 8.7 12.6 10.0 306.2 -48.4 15.1 -20.8 4.3 4.4 38.4 17.4 3.8 20.5 Growth & Value
NASDAQ 100 1.78 7.8 8.8 11.6 15.8 16.3 11.7 240.8 -50.1 25.0 -27.5 3.9 17.9 35.0 16.8 2.7 19.2 Indexes
Zweig 1.91 11.2 15.5 -9.9 0.4 3.9 -2.0 28.2 -54.4 32.7 -24.2 3.0 -14.6 26.2 6.4 -18.3 12.8 Growth & Value
Value on the Move--PEG With Est Growth 1.34 15.1 18.1 0.5 10.0 14.6 10.8 294.5 -50.2 15.7 -23.1 2.6 8.9 59.5 9.0 -0.3 29.7 Growth & Value With Price Momentum
Muhlenkamp 1.57 -3.1 0.4 0.6 -12.0 -14.6 -12.2 -50.0 -49.0 21.0 -26.2 2.5 -48.5 -14.3 -3.0 -45.9 2.7 Growth & Value With Price Momentum
Dreman With Est Revisions 1.36 13.1 15.5 5.3 15.3 18.7 14.0 377.8 -39.9 21.4 -26.2 2.4 14.2 35.8 13.0 21.6 26.5 Earnings Estimates
Kirkpatrick Value 2.19 7.6 8.9 13.4 -5.2 -6.2 1.5 -22.7 -23.3 49.0 -25.3 2.2 -15.1 21.9 19.4 -15.1 -25.5 Growth & Value
Inve$tWare Quality Growth 1.27 7.2 7.3 -9.3 10.8 12.3 7.7 235.8 -44.7 18.2 -22.0 2.2 21.6 30.4 19.7 -9.4 17.3 Growth
Neff 1.63 12.0 15.6 -13.3 -1.2 6.4 6.5 272.4 -52.8 32.6 -21.7 1.4 5.1 39.5 15.0 -4.2 35.0 Growth & Value
O'Shaughnessy: Growth Market Leaders 1.24 6.5 6.5 11.3 10.1 11.8 4.4 152.4 -50.5 13.6 -18.6 1.3 -4.2 48.5 15.8 -1.2 15.7 Value With Price Momentum
O'Neil's CAN SLIM No Float 1.38 12.8 15.1 8.9 7.4 10.4 7.3 231.0 -61.6 23.5 -35.5 0.9 2.0 30.8 8.9 -3.9 20.6 Growth With Price Momentum
Value on the Move--PEG With Hist Growth 1.05 13.1 13.5 5.9 9.3 10.8 8.6 240.1 -50.1 12.7 -19.1 0.3 3.5 49.2 4.3 1.0 31.7 Growth & Value With Price Momentum
O'Shaughnessy: Small Cap Growth & Value 1.52 13.2 16.8 -0.7 5.5 14.0 9.4 194.1 -50.6 18.5 -18.2 -0.1 2.4 46.8 30.3 -0.3 26.1 Value With Price Momentum
Cash Rich Firms 1.38 8.4 9.1 -7.7 1.8 6.4 2.2 89.4 -45.6 17.6 -20.7 -0.7 2.5 36.6 10.5 -32.8 14.4 Value
MAGNET Complex Revised 2.20 -3.8 1.8 -22.8 -4.6 -10.6 -6.2 -62.0 -21.0 46.3 -25.1 -3.3 -38.4 -5.7 -6.8 -32.5 -21.7
Schloss 1.94 7.3 8.0 -9.7 -8.6 -0.3 -0.7 18.4 -37.6 27.1 -40.4 -3.4 -5.9 16.7 13.1 -35.1 12.5 Value
O'Neil's CAN SLIM 1.92 14.4 21.6 -16.1 8.9 9.7 14.2 165.8 -10.1 69.6 -23.1 -3.6 44.1 13.1 18.0 -10.2 -9.6 Growth With Price Momentum
Kirkpatrick Bargain 1.36 6.6 6.7 -5.1 -0.7 0.9 7.3 97.9 -43.2 21.1 -21.7 -4.9 5.9 7.3 14.9 3.6 9.4 Growth & Value
Insider Net Purchases 1.91 -10.6 -2.4 -16.8 -9.9 -3.5 -6.7 36.2 -65.5 27.8 -27.2 -8.0 -11.9 21.5 11.5 -31.4 7.4 Specialty
Rule #1 Investing 1.90 7.6 8.6 -24.7 -9.0 3.2 6.2 277.7 -54.0 27.0 -28.5 -8.3 50.3 47.1 11.3 -1.0 40.0 Growth & Value
Murphy Technology 2.73 -19.5 -3.0 5.1 -5.3 5.5 -0.3 121.4 -58.3 58.5 -44.9 -9.1 -1.3 39.7 42.3 -29.8 40.0 Growth & Value
Graham--Enterprising Investor Revised 1.75 13.8 19.4 -12.8 8.0 3.1 19.2 459.8 -49.9 36.4 -22.4 -10.9 41.9 2.1 -4.9 -4.1 32.9 Value
O'Neil's CAN SLIM Revised 3rd Edition 1.86 12.2 17.1 -19.4 21.6 17.8 11.6 198.8 -27.8 52.7 -26.7 -13.1 37.3 55.2 7.3 -30.1 42.7 Growth With Price Momentum
MAGNET Simple Revised 2.30 -6.7 0.8 -17.7 0.1 -5.3 -2.0 -26.4 -31.0 38.9 -35.9 -16.8 -13.7 45.7 -25.0 -45.7 32.9
Foolish Small Cap 8 Revised 2.37 8.4 11.0 -43.4 -8.1 -10.0 0.6 79.3 -64.0 42.9 -40.5 -18.3 -2.1 0.4 41.8 -49.2 15.4 Growth & Value
MAGNET Complex 2.75 6.7 6.9 -37.4 -13.7 -13.7 -10.0 -61.2 -55.9 63.0 -28.2 -21.1 7.4 32.9 -19.6 6.9 -20.4 Growth & Value With Price Momentum