AAII riskreturn.xlsx - Historical Annual Risk Return of...

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Historical Annual Risk & Return of Stock Screens on AAII's Web Site Risk Average Annual Price Monthly Price Gain (%) Holdings Risk Adj Price Gain (%) Gain (%) Std Variability Turn- Index Return Since 1 3 5 10 Bull Bear Dev Largest Avg over Value (X) (%) Inception Yr Yr Yr Yr Mkt Mkt (%) Gain Loss YTD* 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* # (%) Cash Rich Firms 1.39 9.4 10.1 18.5 7.6 9.7 5.1 151.2 -45.6 20.6 17.6 -20.7 4.5 12.3 17.1 -7.8 2.5 36.6 10.5 -32.8 14.4 56.9 -38.0 7.7 17.2 -2.5 18.6 64.0 -9.4 20.1 40.5 37.1 -3.8 608.1 28 24 Dogs of the Dow 1.21 2.5 3.4 -4.8 5.7 7.4 4.2 302.4 -69.0 17.9 17.1 -23.4 -6.5 3.5 22.9 -1.4 6.8 27.9 9.6 10.7 19.4 8.1 -45.4 -1.8 26.8 -9.8 -1.3 20.4 -9.8 -1.2 4.1 5.7 9.8 96.7 10 8 Dogs of the Dow: Low Priced 5 1.55 -0.1 2.6 -10.7 3.2 7.0 0.4 359.2 -82.9 22.9 27.6 -34.8 -8.5 -1.7 13.0 11.7 3.0 34.5 15.7 13.1 17.3 -7.7 -58.7 -2.7 34.9 -11.8 6.1 17.6 -6.5 7.2 3.2 -2.0 24.6 67.9 5 17 Fundamental Rule of Thumb 1.69 10.6 12.8 13.6 11.2 10.9 6.3 212.4 -57.0 25.1 33.8 -19.2 2.1 16.3 25.7 -1.8 -11.6 46.1 -6.9 -35.2 17.7 92.1 -41.5 4.1 31.0 5.0 49.6 83.3 4.7 42.3 28.7 11.7 -9.4 1,050.3 50 21 Graham--Defensive Investor (Non-Utility) 1.39 12.3 14.2 5.3 3.7 5.3 9.6 344.1 -52.1 20.6 25.8 -17.3 -3.1 5.8 22.0 -7.1 -13.1 33.9 18.9 7.0 31.4 57.9 -32.0 20.6 26.6 26.2 11.7 32.7 3.1 61.5 12.0 3.6 9.6 1,366.4 22 19 Graham--Defensive Investor (Utility) 1.05 7.0 7.0 -9.9 7.4 3.3 3.8 78.1 -31.4 15.6 12.2 -13.7 5.3 -9.1 13.5 -5.1 16.0 10.0 1.2 8.6 4.6 7.9 -18.4 1.8 29.4 18.5 16.2 16.6 -15.9 5.2 51.4 -8.4 14.6 295.6 16 14 Graham--Enterprising Investor Revised 1.79 13.9 18.9 -9.4 2.2 8.3 14.5 549.7 -49.9 26.6 36.4 -22.4 -2.3 -11.0 25.8 1.2 41.9 2.1 -4.9 -4.1 32.9 168.4 -22.6 29.4 34.5 48.2 10.2 50.1 2.2 65.8 -1.4 5.5 10.2 3,238.6 8 27 Magic Formula 1.63 8.3 8.8 19.4 5.2 2.8 5.0 181.3 -51.6 24.1 30.7 -22.4 1.9 17.3 16.1 -13.1 -16.5 27.9 7.9 -30.6 26.6 97.0 -36.3 -5.6 27.9 -9.2 6.5 66.6 6.3 76.1 1.0 9.3 -9.9 454.9 30 24 O'Shaughnessy: Value 1.34 4.4 5.2 5.8 4.7 5.0 1.6 213.3 -69.1 19.8 22.0 -23.8 -3.2 14.3 16.5 -12.5 -5.8 29.6 20.3 -11.2 7.4 31.5 -49.1 -4.2 24.4 2.2 20.2 47.2 -12.1 10.6 22.3 -3.9 7.2 179.6 50 23 Piotroski: High F-Score (8) 2.07 14.4 21.9 4.2 -8.2 0.0 17.7 748.2 -53.6 30.7 43.1 -42.0 -7.7 3.0 24.4 -40.5 -0.3 137.6 91.7 -36.4 138.8 34.6 -35.3 1.8 8.1 37.8 37.7 131.6 7.6 76.3 -2.8 35.8 7.5 5,396.4 19 23 Price-to-Free-Cash-Flow 1.78 13.4 18.0 -5.4 4.4 18.1 17.6 1,208.1 -62.8 26.5 51.2 -31.7 -8.9 4.6 22.6 0.3 12.4 97.8 1.1 -7.0 39.2 147.2 -41.5 -21.2 26.6 10.6 30.9 61.7 13.6 63.8 17.8 10.0 2.6 2,748.8 30 21 Schloss 2.02 7.8 8.1 41.7 -0.7 -1.2 -0.4 20.9 -37.6 30.0 27.1 -40.4 13.0 3.9 -4.4 -20.4 -5.9 16.7 13.1 -35.1 12.5 57.5 -23.1 -8.1 30.1 20.0 -26.6 140.7 -0.1 20.5 14.9 18.8 18.8 384.9 12 55 Weiss Blue Chip Div Yield 1.25 9.5 9.9 9.8 5.9 7.0 9.2 277.1 -43.1 18.5 16.0 -16.8 0.4 15.2 18.5 -14.3 5.4 21.3 19.2 7.6 26.9 27.9 -26.2 4.5 14.2 6.4 13.6 48.9 -14.1 25.6 18.8 3.9 3.3 581.7 11 24 Risk Average Annual Price Monthly Price Gain (%) Holdings Risk Adj Price Gain (%) Gain (%) Std Variability Turn- Index Return Since 1 3 5 10 Bull Bear Dev Largest Avg over Value With Price Momentum (X) (%) Inception Yr Yr Yr Yr Mkt Mkt (%) Gain Loss YTD* 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 Total* # (%) Lakonishok 1.21 12.9 14.0 5.9 10.1 12.1 15.0 408.2 -32.5 18.0 16.6 -17.9 -4.9 19.4 28.5 -2.9 13.0 26.8 7.5 -0.6 32.7 53.5 -23.7 15.1 14.4 14.0 31.2 39.9 -5.2 -3.5 36.7 14.8 7.3 1,331.1 32 90 O'Shaughnessy: All Cap 1.47 9.5 10.4 8.1 8.4 8.1 5.7 196.3 -52.1 21.8 18.4 -21.5 -2.7 9.8 46.8 -19.0 -1.4 18.4 12.4 -5.0 29.4 23.3 -40.9 12.5 24.1 21.9 47.4 28.7 -11.8 63.7 6.3 -15.3 18.2 641.3 21 33 O'Shaughnessy: Growth 1.51 13.0 15.8 17.1 11.7 12.8 10.0 349.1 -57.2 22.4 18.6 -17.9 0.4 26.0 22.0 -5.5 1.7 38.7 28.8 -7.5 21.3 22.4 -38.2 12.6 17.2 14.4 45.1 90.3 10.1 19.2 11.5 19.5 19.4 1,858.8 50 37 O'Shaughnessy: Growth Market Leaders 1.24 7.6 7.6 24.2 12.0 11.8 6.3 239.1 -50.5 18.4 13.6 -18.6 0.8 29.2 5.2 -2.9 -4.2 48.5 15.8 -1.2 15.7 12.6 -44.5 15.5 9.6 18.9 6.7 26.2 -8.9 5.7 -9.0 16.8 35.3 338.4 10 43
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  • Winter '15
  • T. Rowe Price, O'Shaughnessy

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