Tactical: DIY, ranked by M-squared
for period ending September 30, 2026
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).
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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 | -30.2% | -18.9% | -21.8% | -17.4% | -14.1% | -5.5% | -1.5% | 4.2% | -0.6% | 1.1% | 1.8% | 2.9% | |
| S&P 500 | SPY | Benchmark | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 15.7% | 22.8% | 13.7% | 15.2% | 15.6% | 11.1% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | -4.7% | -3.9% | -5.3% | -2.9% | -1.8% | 0.1% | 8.5% | 14.9% | 7.3% | 9.3% | 9.9% | 8.0% | |
| Adaptive Allocation A | t.aaaa | Adaptive | -5.2% | 0.2% | -5.3% | -3.6% | -5.0% | 2.6% | 9.7% | 18.0% | 7.4% | 9.1% | 8.3% | 10.6% | |
| Adaptive Allocation B | t.aaab | Adaptive | 4.3% | 0.8% | -5.7% | -5.0% | -5.7% | 2.2% | 19.9% | 18.8% | 7.3% | 8.5% | 8.0% | 10.4% | |
| Adaptive Allocation C | t.aaac | Adaptive | 5.5% | 2.2% | -5.2% | -4.9% | -5.6% | 2.2% | 20.7% | 19.6% | 7.7% | 8.5% | 8.1% | 10.4% | |
| Adaptive Allocation D | t.aaad | Adaptive | -10.0% | -8.2% | -6.0% | -2.8% | -4.4% | 2.9% | 6.3% | 13.6% | 7.2% | 10.7% | 9.6% | 11.9% | |
| Adaptive Allocation E | t.aaae | Adaptive | 5.5% | 3.0% | -2.5% | -1.2% | -3.1% | 3.5% | 21.1% | 22.3% | 9.9% | 11.6% | 10.2% | 12.0% | |
| Adaptive Allocation F | t.aaaf | Adaptive | -1.5% | 2.2% | 0.6% | 2.0% | 2.7% | 8.1% | 15.8% | 23.5% | 12.4% | 13.2% | 13.6% | 14.4% | |
| Minimum Correlation | t.coco | Correlation | -11.2% | -4.5% | -8.0% | -6.7% | -6.0% | 0.3% | 4.4% | 16.6% | 5.5% | 7.1% | 7.4% | 8.4% | |
| Maximum Diversification | t.mdiv | Diversification | -12.8% | -5.8% | -9.0% | -8.4% | -6.8% | 0.2% | 3.0% | 14.6% | 4.7% | 5.7% | 6.6% | 8.1% | |
| Equal Weight With Cluster | t.dist | Correlation | -11.4% | -6.8% | -7.9% | -7.6% | -7.9% | -1.0% | 4.3% | 15.0% | 5.6% | 6.5% | 6.3% | 7.7% | |
| Minimum Mean Abs Deviation | t.madm | Risk-Driven | -16.8% | -4.7% | -7.3% | -5.4% | -4.2% | 2.0% | -0.2% | 14.7% | 5.9% | 7.4% | 7.9% | 8.8% | |
| Minimum Variance A | t.mvar | Risk-Driven | -16.8% | -5.6% | -6.5% | -4.9% | -4.0% | 2.2% | 0.0% | 14.1% | 6.5% | 7.9% | 8.1% | 9.0% | |
| Risk Parity Portfolio A | t.rpba | Risk-Driven | -5.1% | -2.4% | -4.8% | -3.7% | -3.6% | 0.1% | 10.3% | 18.3% | 8.3% | 9.7% | 9.9% | 9.2% | |
| Maximum Sortino Portfolio | t.sort | Risk/Reward | -4.7% | -9.2% | -7.8% | -3.1% | -5.0% | 1.0% | 12.8% | 12.8% | 5.6% | 10.1% | 8.7% | 10.1% | |
| Equal Weight Portfolio | t.eqwt | Equal Weight | -3.5% | -2.6% | -4.8% | -3.7% | -3.9% | -1.3% | 12.3% | 19.1% | 8.4% | 10.1% | 10.1% | 8.8% | |
| Faber Rel Strength: Top 1 | t.frs1 | Momentum | -9.2% | -14.1% | -7.2% | -6.2% | -7.9% | -1.3% | 7.7% | 9.5% | 6.6% | 8.8% | 7.4% | 9.8% | |
| Faber Rel Strength: Top 2 | t.frs2 | Momentum | 14.0% | -4.5% | 1.3% | -0.8% | -3.4% | 0.9% | 23.5% | 16.1% | 12.1% | 10.9% | 9.5% | 9.6% | |
| Faber Rel Strength: Top 3 | t.frs3 | Momentum | 16.4% | -5.0% | -1.3% | 1.0% | -0.4% | 2.8% | 20.6% | 14.3% | 9.4% | 10.7% | 10.0% | 9.4% | |
| Faber Rel Strength: Top 4 | t.frs4 | Momentum | 9.0% | -6.6% | -5.3% | -2.9% | -4.5% | 0.3% | 15.0% | 11.3% | 6.5% | 7.6% | 6.6% | 7.0% | |
| Pure Momentum | t.pure | Momentum | -2.2% | -11.8% | -7.1% | -4.7% | -6.6% | 2.6% | 20.5% | 13.6% | 7.1% | 12.0% | 10.2% | 15.8% | |
| Quartile Sector Rotation | t.srqr | Sector Rotation | 4.3% | -0.3% | 3.6% | -2.9% | -3.0% | -0.0% | 75.0% | 70.1% | 43.9% | 27.6% | 28.9% | 22.4% | |
| Rel Strength Sector Rotatn | t.srrs | Sector Rotation | -0.8% | -7.7% | -3.4% | -1.7% | -1.3% | 1.5% | 11.1% | 12.9% | 9.0% | 11.1% | 11.5% | 9.7% | |
| Top 5 Sector Rotation | t.srt5 | Sector Rotation | 14.6% | 3.1% | 3.9% | 1.5% | 1.0% | 1.4% | 42.2% | 33.2% | 19.6% | 18.0% | 18.0% | 13.8% | |
| Top 3 Sector Rotation | t.srt3 | Sector Rotation | -4.1% | -10.2% | -2.2% | -4.2% | -3.5% | -0.7% | 15.2% | 16.1% | 11.7% | 11.2% | 12.4% | 10.9% | |
| Minimum CdaR | t.cdar | Risk-Driven | -17.4% | -9.9% | -9.5% | -5.4% | -5.0% | 1.5% | -0.4% | 11.8% | 4.3% | 7.7% | 8.0% | 9.3% | |
| Minimum CvaR | t.cvar | Risk-Driven | -13.5% | -1.5% | -4.9% | -6.0% | -5.1% | 1.4% | 2.4% | 17.6% | 7.7% | 7.2% | 7.6% | 8.6% | |
| Equal Risk Contribution | t.eqrc | Risk-Driven | -7.4% | -4.5% | -6.6% | -5.3% | -5.0% | 1.0% | 7.9% | 16.2% | 6.6% | 7.8% | 7.9% | 8.6% | |
| Minimum Drawdown | t.loss | Risk-Driven | -6.6% | -1.5% | -4.6% | -4.6% | -4.8% | 1.7% | 9.1% | 18.2% | 8.0% | 8.1% | 7.8% | 9.0% | |
| Minimum Downside MAD | t.madd | Risk-Driven | -16.8% | -4.7% | -7.3% | -5.4% | -4.2% | 2.0% | -0.2% | 14.7% | 5.9% | 7.4% | 7.9% | 8.8% | |
| Minimum Correlation A | t.mca1 | Risk-Driven | -11.8% | -7.0% | -8.7% | -7.2% | -6.8% | -0.3% | 3.9% | 13.7% | 4.9% | 6.4% | 6.6% | 7.7% | |
| Minimum Correlation B | t.mca2 | Risk-Driven | -7.9% | -4.9% | -6.8% | -5.7% | -5.7% | 0.3% | 7.4% | 15.7% | 6.4% | 7.5% | 7.4% | 8.2% | |
| Minimum Variance B | t.mva2 | Risk-Driven | -16.0% | -7.5% | -8.6% | -7.4% | -6.7% | 0.3% | 0.6% | 12.8% | 5.0% | 6.1% | 6.5% | 8.1% | |
| Minimum Variance C | t.mva3 | Risk-Driven | -12.0% | -3.5% | -5.8% | -4.6% | -3.9% | 2.6% | 3.7% | 15.9% | 7.1% | 8.1% | 8.4% | 9.6% | |
| Min Downside Deviation | t.risd | Risk-Driven | -17.0% | -7.7% | -7.9% | -5.2% | -4.7% | 1.5% | -0.3% | 12.6% | 5.4% | 7.6% | 7.7% | 8.6% | |
| Risk Parity With Cluster | t.rpcl | Risk-Driven | -12.4% | -7.0% | -7.8% | -7.7% | -8.1% | -0.6% | 3.3% | 14.1% | 5.7% | 6.2% | 5.9% | 7.7% | |
| Risk Parity Portfolio B | t.rsop | Risk-Driven | -4.6% | -2.6% | -4.8% | -3.7% | -3.7% | -0.2% | 10.8% | 18.2% | 8.3% | 9.7% | 9.8% | 9.0% | |
| Target Return 12% | t.tret | Risk-Driven | -8.3% | -6.5% | -10.5% | -7.6% | -6.0% | 1.5% | 6.4% | 12.9% | 3.5% | 6.3% | 7.3% | 9.2% | |
| Target Risk 10% | t.tris | Risk-Driven | -7.8% | -6.3% | -5.0% | -4.5% | -7.1% | -0.7% | 7.6% | 14.0% | 7.7% | 8.5% | 6.8% | 8.1% | |
| Maximum Sharpe Portfolio | t.shar | Risk/Reward | -5.2% | -7.6% | -7.1% | -2.6% | -4.2% | 1.7% | 11.8% | 14.0% | 6.1% | 10.3% | 9.1% | 10.4% | |
| Target Return Post-Modern | t.trdd | Target Return | -9.1% | -7.9% | -11.6% | -8.3% | -6.9% | 0.9% | 6.0% | 11.9% | 2.7% | 5.8% | 6.7% | 8.9% | |
| Active Combined Asset | t.acap | Momentum | -11.4% | -3.9% | -6.4% | -7.9% | -6.3% | -0.9% | 4.3% | 17.7% | 6.7% | 6.1% | 7.2% | 7.9% | |
| Quarterly Asset Rotation | t.qaro | Momentum | -19.5% | -10.6% | -7.9% | -7.7% | -10.3% | -4.4% | -3.9% | 12.0% | 5.6% | 6.3% | 4.4% | 5.2% | |
| Defensive Bond | t.dbnd | Momentum | -25.8% | -16.0% | -11.3% | -8.4% | -8.3% | -1.6% | 5.6% | 3.5% | 4.4% | 4.1% | |||
| Dynamic Harry Browne | t.dyhb | Momentum | -14.1% | -9.7% | -10.7% | -6.9% | -9.7% | -0.7% | 2.3% | 9.1% | 3.9% | 5.3% | 3.8% | 6.2% | |