Historical Return | Total Return, annualized | ||||||||||||||
Recipe Name | ID | Category | 2017 | 2018 | 2019 | 2020 | 2021 | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Group average | 17.5% | * | * | * | * | -2.5% | * | * | * | * | * | ||||
Adaptive Allocation A | t.aaaa | Adaptive | 19.0% | * | * | * | * | -8.5% | * | * | * | * | * | ||
Adaptive Allocation B | t.aaab | Adaptive | 20.5% | * | * | * | * | -11.1% | * | * | * | * | * | ||
Adaptive Allocation C | t.aaac | Adaptive | 20.2% | * | * | * | * | -11.6% | * | * | * | * | * | ||
Adaptive Allocation D | t.aaad | Adaptive | 17.6% | * | * | * | * | -1.6% | * | * | * | * | * | ||
Adaptive Allocation E | t.aaae | Adaptive | 18.5% | * | * | * | * | -8.4% | * | * | * | * | * | ||
Adaptive Allocation F | t.aaaf | Adaptive | 19.2% | * | * | * | * | 6.6% | * | * | * | * | * | ||
Active Combined Asset | t.acap | Momentum | 11.1% | * | * | * | * | -1.9% | * | * | * | * | * | ||
Minimum CdaR | t.cdar | Risk-Driven | 22.1% | * | * | * | * | -7.6% | * | * | * | * | * | ||
Minimum Correlation | t.coco | Correlation | 13.4% | * | * | * | * | -10.2% | * | * | * | * | * | ||
Minimum CvaR | t.cvar | Risk-Driven | 15.9% | * | * | * | * | -9.3% | * | * | * | * | * | ||
Defensive Bond | t.dbnd | Momentum | 1.8% | * | * | * | * | -2.4% | * | * | * | * | * | ||
Equal Weight With Cluster | t.dist | Correlation | 16.4% | * | * | * | * | -9.4% | * | * | * | * | * | ||
Dynamic Harry Browne | t.dyhb | Momentum | 6.0% | * | * | * | * | -7.0% | * | * | * | * | * | ||
Equal Risk Contribution | t.eqrc | Risk-Driven | 18.3% | * | * | * | * | -8.2% | * | * | * | * | * | ||
Equal Weight Portfolio | t.eqwt | Equal Weight | 20.1% | * | * | * | * | -9.0% | * | * | * | * | * | ||
Faber Rel Strength: Top 1 | t.frs1 | Momentum | 15.8% | * | * | * | * | 21.2% | * | * | * | * | * | ||
Faber Rel Strength: Top 2 | t.frs2 | Momentum | 16.5% | * | * | * | * | 24.4% | * | * | * | * | * | ||
Faber Rel Strength: Top 3 | t.frs3 | Momentum | 15.6% | * | * | * | * | 13.5% | * | * | * | * | * | ||
Faber Rel Strength: Top 4 | t.frs4 | Momentum | 11.1% | * | * | * | * | 8.4% | * | * | * | * | * | ||
Minimum Drawdown | t.loss | Risk-Driven | 17.5% | * | * | * | * | -3.9% | * | * | * | * | * | ||
Minimum Downside MAD | t.madd | Risk-Driven | 18.5% | * | * | * | * | -8.0% | * | * | * | * | * | ||
Minimum Mean Abs Deviation | t.madm | Risk-Driven | 18.5% | * | * | * | * | -8.0% | * | * | * | * | * | ||
Minimum Correlation A | t.mca1 | Risk-Driven | 16.2% | * | * | * | * | -7.3% | * | * | * | * | * | ||
Minimum Correlation B | t.mca2 | Risk-Driven | 18.0% | * | * | * | * | -7.5% | * | * | * | * | * | ||
Maximum Diversification | t.mdiv | Diversification | 13.9% | * | * | * | * | -8.7% | * | * | * | * | * | ||
Minimum Variance B | t.mva2 | Risk-Driven | 16.4% | * | * | * | * | -6.0% | * | * | * | * | * | ||
Minimum Variance C | t.mva3 | Risk-Driven | 17.8% | * | * | * | * | -5.8% | * | * | * | * | * | ||
Minimum Variance A | t.mvar | Risk-Driven | 17.6% | * | * | * | * | -5.1% | * | * | * | * | * | ||
Pure Momentum | t.pure | Momentum | 20.0% | * | * | * | * | -7.2% | * | * | * | * | * | ||
Quarterly Asset Rotation | t.qaro | Momentum | 13.4% | * | * | * | * | -4.6% | * | * | * | * | * | ||
Min Downside Deviation | t.risd | Risk-Driven | 17.3% | * | * | * | * | -4.6% | * | * | * | * | * | ||
Risk Parity Portfolio A | t.rpba | Risk-Driven | 20.2% | * | * | * | * | -8.1% | * | * | * | * | * | ||
Risk Parity With Cluster | t.rpcl | Risk-Driven | 17.7% | * | * | * | * | -7.9% | * | * | * | * | * | ||
Risk Parity Portfolio B | t.rsop | Risk-Driven | 20.0% | * | * | * | * | -7.9% | * | * | * | * | * | ||
Maximum Sharpe Portfolio | t.shar | Risk/Reward | 13.8% | * | * | * | * | -1.3% | * | * | * | * | * | ||
Maximum Sortino Portfolio | t.sort | Risk/Reward | 13.5% | * | * | * | * | -1.9% | * | * | * | * | * | ||
Quartile Sector Rotation | t.srqr | Sector Rotation | 56.7% | * | * | * | * | 17.1% | * | * | * | * | * | ||
Rel Strength Sector Rotatn | t.srrs | Sector Rotation | 19.8% | * | * | * | * | 13.3% | * | * | * | * | * | ||
Top 3 Sector Rotation | t.srt3 | Sector Rotation | 18.0% | * | * | * | * | -0.9% | * | * | * | * | * | ||
Top 5 Sector Rotation | t.srt5 | Sector Rotation | 19.4% | * | * | * | * | 8.8% | * | * | * | * | * | ||
Target Return Post-Modern | t.trdd | Target Return | 16.3% | * | * | * | * | -4.7% | * | * | * | * | * | ||
Target Return 12% | t.tret | Risk-Driven | 16.7% | * | * | * | * | -4.8% | * | * | * | * | * | ||
Target Risk 10% | t.tris | Risk-Driven | 15.0% | * | * | * | * | -0.3% | * | * | * | * | * |