Tactical: DIY, ranked by M-squared

for period ending March 31, 2025

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, Treynor Ratio
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta
by Peer Group: Strategic: DIY, Tactical: DIY, Tactical: Managed

M-Squared is the Modigliani risk-adjusted performance, shown as an annual total return percent. It is derived from the Sharpe ratio, but M-Squared is in units of percent return. M-Squared inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark equity portfolio (the S&P 500, represented by the SPY exchange-traded fund).

Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Recipe Summary page.

Portfolio Recipes: Tactical: DIY Peer Group
Sort by any column by clicking on the gray column heading.

      M-Squared   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  
 
U.S. Total Bond Market BND Benchmark -3.2% * * * * *   4.9% * * * * *
S&P 500 SPY Benchmark 0.0% * * * * *   8.3% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -1.4% * * * * *   6.4% * * * * *
Adaptive Allocation A t.aaaa Adaptive 12.5% * * * * *   14.7% * * * * *
Adaptive Allocation B t.aaab Adaptive 12.9% * * * * *   13.6% * * * * *
Adaptive Allocation C t.aaac Adaptive 16.4% * * * * *   15.4% * * * * *
Adaptive Allocation D t.aaad Adaptive 8.1% * * * * *   10.8% * * * * *
Adaptive Allocation E t.aaae Adaptive 11.7% * * * * *   14.6% * * * * *
Adaptive Allocation F t.aaaf Adaptive 16.9% * * * * *   19.7% * * * * *
Minimum Correlation t.coco Correlation 5.6% * * * * *   11.5% * * * * *
Maximum Diversification t.mdiv Diversification 3.4% * * * * *   10.0% * * * * *
Equal Weight With Cluster t.dist Correlation 5.1% * * * * *   11.5% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 9.8% * * * * *   13.9% * * * * *
Minimum Variance A t.mvar Risk-Driven 5.4% * * * * *   11.0% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 4.0% * * * * *   10.4% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward -6.7% * * * * *   2.6% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 2.2% * * * * *   9.4% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum -1.6% * * * * *   6.8% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum -1.3% * * * * *   7.0% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum -3.3% * * * * *   5.0% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum -3.9% * * * * *   4.5% * * * * *
Pure Momentum t.pure Momentum -16.2% * * * * *   -9.6% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation -0.5% * * * * *   13.7% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation -2.6% * * * * *   5.7% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 1.9% * * * * *   11.6% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation -5.6% * * * * *   1.6% * * * * *
Minimum CdaR t.cdar Risk-Driven -4.5% * * * * *   4.0% * * * * *
Minimum CvaR t.cvar Risk-Driven 12.5% * * * * *   16.1% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 2.3% * * * * *   9.2% * * * * *
Minimum Drawdown t.loss Risk-Driven 11.0% * * * * *   15.1% * * * * *
Minimum Downside MAD t.madd Risk-Driven 9.8% * * * * *   13.9% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 2.3% * * * * *   9.3% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 2.5% * * * * *   9.4% * * * * *
Minimum Variance B t.mva2 Risk-Driven 4.6% * * * * *   10.9% * * * * *
Minimum Variance C t.mva3 Risk-Driven 8.5% * * * * *   13.3% * * * * *
Min Downside Deviation t.risd Risk-Driven 0.7% * * * * *   7.9% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 4.3% * * * * *   10.9% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 2.8% * * * * *   9.6% * * * * *
Target Return 12% t.tret Risk-Driven 4.2% * * * * *   10.1% * * * * *
Target Risk 10% t.tris Risk-Driven 1.6% * * * * *   8.2% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward -2.7% * * * * *   5.3% * * * * *
Target Return Post-Modern t.trdd Target Return 1.0% * * * * *   7.8% * * * * *
Active Combined Asset t.acap Momentum 15.0% * * * * *   19.0% * * * * *
Quarterly Asset Rotation t.qaro Momentum -2.5% * * * * *   5.5% * * * * *
Defensive Bond t.dbnd Momentum 4.9% * * * * *   7.7% * * * * *
Dynamic Harry Browne t.dyhb Momentum 2.1% * * * * *   7.3% * * * * *