Tactical: DIY, ranked by Risk vs. Return Compass

for period ending October 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

Risk vs. Return Compass is portfolio comparison tool that produces four distinct icons, each colored in red, green, blue, and yellow. These icons serve as indicators, illustrating the position of a particular recipe on the scatter plot concerning downside deviation and annual return.

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.

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.

      Risk vs. Return Compass   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 288° * * * * * * * * * *   27.7% * * * * *
Adaptive Allocation B t.aaab Adaptive 260° * * * * * * * * * *   25.7% * * * * *
Adaptive Allocation C t.aaac Adaptive 271° * * * * * * * * * *   26.3% * * * * *
Adaptive Allocation D t.aaad Adaptive 195° * * * * * * * * * *   18.9% * * * * *
Adaptive Allocation E t.aaae Adaptive 294° * * * * * * * * * *   27.1% * * * * *
Adaptive Allocation F t.aaaf Adaptive 345° * * * * * * * * * *   35.6% * * * * *
Minimum Correlation t.coco Correlation 357° * * * * * * * * * *   31.0% * * * * *
Maximum Diversification t.mdiv Diversification 1° * * * * * * * * * *   28.6% * * * * *
Equal Weight With Cluster t.dist Correlation 7° * * * * * * * * * *   30.3% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 305° * * * * * * * * * *   27.0% * * * * *
Minimum Variance A t.mvar Risk-Driven 338° * * * * * * * * * *   27.2% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 5° * * * * * * * * * *   31.0% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 184° * * * * * * * * * *   17.4% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 15° * * * * * * * * * *   30.8% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 104° * * * * * * * * * *   25.9% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 174° * * * * * * * * * *   19.6% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 164° * * * * * * * * * *   17.8% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 177° * * * * * * * * * *   13.1% * * * * *
Pure Momentum t.pure Momentum 163° * * * * * * * * * *   11.9% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 10° * * * * * * * * * *   210.1% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 203° * * * * * * * * * *   25.5% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 5° * * * * * * * * * *   50.6% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 31° * * * * * * * * * *   31.4% * * * * *
Minimum CdaR t.cdar Risk-Driven 159° * * * * * * * * * *   18.5% * * * * *
Minimum CvaR t.cvar Risk-Driven 333° * * * * * * * * * *   32.0% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 17° * * * * * * * * * *   28.4% * * * * *
Minimum Drawdown t.loss Risk-Driven 328° * * * * * * * * * *   29.2% * * * * *
Minimum Downside MAD t.madd Risk-Driven 305° * * * * * * * * * *   27.0% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 141° * * * * * * * * * *   25.6% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 17° * * * * * * * * * *   28.3% * * * * *
Minimum Variance B t.mva2 Risk-Driven 179° * * * * * * * * * *   24.8% * * * * *
Minimum Variance C t.mva3 Risk-Driven 342° * * * * * * * * * *   29.0% * * * * *
Min Downside Deviation t.risd Risk-Driven 170° * * * * * * * * * *   23.2% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 360° * * * * * * * * * *   29.6% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 7° * * * * * * * * * *   30.7% * * * * *
Target Return 12% t.tret Risk-Driven 189° * * * * * * * * * *   23.4% * * * * *
Target Risk 10% t.tris Risk-Driven 193° * * * * * * * * * *   21.8% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 188° * * * * * * * * * *   19.4% * * * * *
Target Return Post-Modern t.trdd Target Return 183° * * * * * * * * * *   20.9% * * * * *
Active Combined Asset t.acap Momentum 358° * * * * * * * * * *   34.9% * * * * *
Quarterly Asset Rotation t.qaro Momentum 352° * * * * * * * * * *   37.4% * * * * *
Defensive Bond t.dbnd Momentum 206° * * * * * * * * * *   19.3% * * * * *
Dynamic Harry Browne t.dyhb Momentum 219° * * * * * * * * * *   21.7% * * * * *