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
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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% | * | * | * | * | * |