Alpha | Total Return, annualized | ||||||||||||||
Recipe Name | ID | Category | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Group average | 8.4% | * | * | * | * | * | 17.0% | * | * | * | * | * | |||
Adaptive Allocation A | t.aaaa | Adaptive | 4.5% | * | * | * | * | * | 13.3% | * | * | * | * | * | |
Adaptive Allocation B | t.aaab | Adaptive | 4.2% | * | * | * | * | * | 12.5% | * | * | * | * | * | |
Adaptive Allocation C | t.aaac | Adaptive | 3.7% | * | * | * | * | * | 12.0% | * | * | * | * | * | |
Adaptive Allocation D | t.aaad | Adaptive | 18.5% | * | * | * | * | * | 28.7% | * | * | * | * | * | |
Adaptive Allocation E | t.aaae | Adaptive | 14.6% | * | * | * | * | * | 26.4% | * | * | * | * | * | |
Adaptive Allocation F | t.aaaf | Adaptive | 14.4% | * | * | * | * | * | 18.8% | * | * | * | * | * | |
Active Combined Asset | t.acap | Momentum | -13.5% | * | * | * | * | * | -3.2% | * | * | * | * | * | |
Minimum CdaR | t.cdar | Risk-Driven | 10.6% | * | * | * | * | * | 18.7% | * | * | * | * | * | |
Minimum Correlation | t.coco | Correlation | 13.1% | * | * | * | * | * | 23.0% | * | * | * | * | * | |
Minimum CvaR | t.cvar | Risk-Driven | 5.4% | * | * | * | * | * | 10.8% | * | * | * | * | * | |
Defensive Bond | t.dbnd | Momentum | 10.7% | * | * | * | * | * | 12.4% | * | * | * | * | * | |
Equal Weight With Cluster | t.dist | Correlation | -4.0% | * | * | * | * | * | 6.4% | * | * | * | * | * | |
Dynamic Harry Browne | t.dyhb | Momentum | 17.1% | * | * | * | * | * | 17.7% | * | * | * | * | * | |
Equal Risk Contribution | t.eqrc | Risk-Driven | 4.7% | * | * | * | * | * | 13.8% | * | * | * | * | * | |
Equal Weight Portfolio | t.eqwt | Equal Weight | 5.3% | * | * | * | * | * | 19.2% | * | * | * | * | * | |
Faber Rel Strength: Top 1 | t.frs1 | Momentum | 5.4% | * | * | * | * | * | 11.9% | * | * | * | * | * | |
Faber Rel Strength: Top 2 | t.frs2 | Momentum | 0.8% | * | * | * | * | * | 5.8% | * | * | * | * | * | |
Faber Rel Strength: Top 3 | t.frs3 | Momentum | 8.6% | * | * | * | * | * | 13.4% | * | * | * | * | * | |
Faber Rel Strength: Top 4 | t.frs4 | Momentum | 0.3% | * | * | * | * | * | 4.8% | * | * | * | * | * | |
Minimum Drawdown | t.loss | Risk-Driven | 8.3% | * | * | * | * | * | 15.3% | * | * | * | * | * | |
Minimum Downside MAD | t.madd | Risk-Driven | 2.7% | * | * | * | * | * | 10.5% | * | * | * | * | * | |
Minimum Mean Abs Deviation | t.madm | Risk-Driven | 2.7% | * | * | * | * | * | 10.5% | * | * | * | * | * | |
Minimum Correlation A | t.mca1 | Risk-Driven | 8.2% | * | * | * | * | * | 15.9% | * | * | * | * | * | |
Minimum Correlation B | t.mca2 | Risk-Driven | 5.7% | * | * | * | * | * | 14.5% | * | * | * | * | * | |
Maximum Diversification | t.mdiv | Diversification | 5.6% | * | * | * | * | * | 13.5% | * | * | * | * | * | |
Minimum Variance B | t.mva2 | Risk-Driven | 7.2% | * | * | * | * | * | 13.9% | * | * | * | * | * | |
Minimum Variance C | t.mva3 | Risk-Driven | 8.6% | * | * | * | * | * | 16.4% | * | * | * | * | * | |
Minimum Variance A | t.mvar | Risk-Driven | 5.5% | * | * | * | * | * | 13.8% | * | * | * | * | * | |
Pure Momentum | t.pure | Momentum | 29.3% | * | * | * | * | * | 38.7% | * | * | * | * | * | |
Quarterly Asset Rotation | t.qaro | Momentum | 8.8% | * | * | * | * | * | 13.8% | * | * | * | * | * | |
Min Downside Deviation | t.risd | Risk-Driven | 8.7% | * | * | * | * | * | 16.4% | * | * | * | * | * | |
Risk Parity Portfolio A | t.rpba | Risk-Driven | 3.8% | * | * | * | * | * | 16.8% | * | * | * | * | * | |
Risk Parity With Cluster | t.rpcl | Risk-Driven | -3.3% | * | * | * | * | * | 6.2% | * | * | * | * | * | |
Risk Parity Portfolio B | t.rsop | Risk-Driven | 3.5% | * | * | * | * | * | 16.7% | * | * | * | * | * | |
Maximum Sharpe Portfolio | t.shar | Risk/Reward | 23.4% | * | * | * | * | * | 31.9% | * | * | * | * | * | |
Maximum Sortino Portfolio | t.sort | Risk/Reward | 25.8% | * | * | * | * | * | 34.2% | * | * | * | * | * | |
Quartile Sector Rotation | t.srqr | Sector Rotation | -5.2% | * | * | * | * | * | 20.0% | * | * | * | * | * | |
Rel Strength Sector Rotatn | t.srrs | Sector Rotation | 5.9% | * | * | * | * | * | 14.5% | * | * | * | * | * | |
Top 3 Sector Rotation | t.srt3 | Sector Rotation | 24.2% | * | * | * | * | * | 33.3% | * | * | * | * | * | |
Top 5 Sector Rotation | t.srt5 | Sector Rotation | 24.8% | * | * | * | * | * | 42.4% | * | * | * | * | * | |
Target Return Post-Modern | t.trdd | Target Return | 10.5% | * | * | * | * | * | 18.9% | * | * | * | * | * | |
Target Return 12% | t.tret | Risk-Driven | 10.4% | * | * | * | * | * | 18.8% | * | * | * | * | * | |
Target Risk 10% | t.tris | Risk-Driven | 12.8% | * | * | * | * | * | 18.9% | * | * | * | * | * |