# Tactical: DIY, ranked by Downside Deviation

for period ending August 31, 2024

More ways to view this list of Portfolio Recipes:

Recipe Summary Page (Total Return with Maximum Drawdown Scatterplots)

by Return: Total Return (1, 3, 5, 10, 15, 20 years), Historical Return (past 5 years)

by Risk vs. Return: Risk vs. Return Compass, M-Squared, Alpha, Sharpe Ratio, Sortino Ratio

by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta

Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.

**Note**: This Free subscription **only includes access to the 1-year data**. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

Use the table below to compare the performance of all the portfolios in this peer group. You may sort by any column by clicking on the column headings in the gray row.

Downside Deviation | Total Return, annualized | ||||||||||||||

Recipe Name | ID | Category | 1 year | 3 year | 5 year | 10 year | 15 year | 20 year | 1 year | 3 year | 5 year | 10 year | 15 year | 20 year | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|

Group average | |||||||||||||||

Adaptive Allocation A | t.aaaa | Adaptive | 5.3% | * | * | * | * | * | 22.9% | * | * | * | * | * | |

Adaptive Allocation B | t.aaab | Adaptive | 5.1% | * | * | * | * | * | 16.0% | * | * | * | * | * | |

Adaptive Allocation C | t.aaac | Adaptive | 5.2% | * | * | * | * | * | 16.2% | * | * | * | * | * | |

Adaptive Allocation D | t.aaad | Adaptive | 6.5% | * | * | * | * | * | 8.0% | * | * | * | * | * | |

Adaptive Allocation E | t.aaae | Adaptive | 6.1% | * | * | * | * | * | 18.1% | * | * | * | * | * | |

Adaptive Allocation F | t.aaaf | Adaptive | 6.2% | * | * | * | * | * | 28.7% | * | * | * | * | * | |

Minimum Correlation | t.coco | Correlation | 8.3% | * | * | * | * | * | 20.1% | * | * | * | * | * | |

Maximum Diversification | t.mdiv | Diversification | 7.9% | * | * | * | * | * | 20.1% | * | * | * | * | * | |

Equal Weight With Cluster | t.dist | Correlation | 8.2% | * | * | * | * | * | 19.0% | * | * | * | * | * | |

Minimum Mean Abs Deviation | t.madm | Risk-Driven | 6.9% | * | * | * | * | * | 23.8% | * | * | * | * | * | |

Minimum Variance A | t.mvar | Risk-Driven | 6.8% | * | * | * | * | * | 25.8% | * | * | * | * | * | |

Risk Parity Portfolio A | t.rpba | Risk-Driven | 7.8% | * | * | * | * | * | 21.2% | * | * | * | * | * | |

Maximum Sortino Portfolio | t.sort | Risk/Reward | 6.7% | * | * | * | * | * | 8.6% | * | * | * | * | * | |

Equal Weight Portfolio | t.eqwt | Equal Weight | 8.5% | * | * | * | * | * | 20.0% | * | * | * | * | * | |

Faber Rel Strength: Top 1 | t.frs1 | Momentum | 7.7% | * | * | * | * | * | 17.5% | * | * | * | * | * | |

Faber Rel Strength: Top 2 | t.frs2 | Momentum | 6.9% | * | * | * | * | * | 11.7% | * | * | * | * | * | |

Faber Rel Strength: Top 3 | t.frs3 | Momentum | 6.7% | * | * | * | * | * | 15.1% | * | * | * | * | * | |

Faber Rel Strength: Top 4 | t.frs4 | Momentum | 4.5% | * | * | * | * | * | 11.8% | * | * | * | * | * | |

Pure Momentum | t.pure | Momentum | 10.0% | * | * | * | * | * | 5.0% | * | * | * | * | * | |

Quartile Sector Rotation | t.srqr | Sector Rotation | 45.2% | * | * | * | * | * | 120.0% | * | * | * | * | * | |

Rel Strength Sector Rotatn | t.srrs | Sector Rotation | 6.5% | * | * | * | * | * | 17.2% | * | * | * | * | * | |

Top 5 Sector Rotation | t.srt5 | Sector Rotation | 11.8% | * | * | * | * | * | 30.3% | * | * | * | * | * | |

Top 3 Sector Rotation | t.srt3 | Sector Rotation | 12.9% | * | * | * | * | * | 13.2% | * | * | * | * | * | |

Minimum CdaR | t.cdar | Risk-Driven | 8.4% | * | * | * | * | * | 22.0% | * | * | * | * | * | |

Minimum CvaR | t.cvar | Risk-Driven | 6.2% | * | * | * | * | * | 28.5% | * | * | * | * | * | |

Equal Risk Contribution | t.eqrc | Risk-Driven | 7.9% | * | * | * | * | * | 19.2% | * | * | * | * | * | |

Minimum Drawdown | t.loss | Risk-Driven | 6.4% | * | * | * | * | * | 27.0% | * | * | * | * | * | |

Minimum Downside MAD | t.madd | Risk-Driven | 6.9% | * | * | * | * | * | 23.8% | * | * | * | * | * | |

Minimum Correlation A | t.mca1 | Risk-Driven | 8.0% | * | * | * | * | * | 17.0% | * | * | * | * | * | |

Minimum Correlation B | t.mca2 | Risk-Driven | 7.8% | * | * | * | * | * | 19.4% | * | * | * | * | * | |

Minimum Variance B | t.mva2 | Risk-Driven | 7.5% | * | * | * | * | * | 18.7% | * | * | * | * | * | |

Minimum Variance C | t.mva3 | Risk-Driven | 7.0% | * | * | * | * | * | 23.0% | * | * | * | * | * | |

Min Downside Deviation | t.risd | Risk-Driven | 6.7% | * | * | * | * | * | 23.4% | * | * | * | * | * | |

Risk Parity With Cluster | t.rpcl | Risk-Driven | 7.7% | * | * | * | * | * | 19.4% | * | * | * | * | * | |

Risk Parity Portfolio B | t.rsop | Risk-Driven | 7.9% | * | * | * | * | * | 20.9% | * | * | * | * | * | |

Target Return 12% | t.tret | Risk-Driven | 6.4% | * | * | * | * | * | 15.7% | * | * | * | * | * | |

Target Risk 10% | t.tris | Risk-Driven | 5.9% | * | * | * | * | * | 15.4% | * | * | * | * | * | |

Maximum Sharpe Portfolio | t.shar | Risk/Reward | 6.6% | * | * | * | * | * | 10.4% | * | * | * | * | * | |

Target Return Post-Modern | t.trdd | Target Return | 6.5% | * | * | * | * | * | 13.3% | * | * | * | * | * | |

Active Combined Asset | t.acap | Momentum | 8.6% | * | * | * | * | * | 19.1% | * | * | * | * | * | |

Quarterly Asset Rotation | t.qaro | Momentum | 7.3% | * | * | * | * | * | 23.5% | * | * | * | * | * | |

Defensive Bond | t.dbnd | Momentum | 4.3% | * | * | * | * | * | 12.1% | * | * | * | * | * | |

Dynamic Harry Browne | t.dyhb | Momentum | 2.9% | * | * | * | * | * | 13.0% | * | * | * | * | * |