Tactical: DIY, ranked by Risk vs. Return Compass

for period ending January 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

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 * * * * * * * * * *   17.9% * * * * *
Adaptive Allocation B t.aaab Adaptive 352° * * * * * * * * * *   18.2% * * * * *
Adaptive Allocation C t.aaac Adaptive 354° * * * * * * * * * *   19.6% * * * * *
Adaptive Allocation D t.aaad Adaptive 228° * * * * * * * * * *   14.9% * * * * *
Adaptive Allocation E t.aaae Adaptive * * * * * * * * * *   18.6% * * * * *
Adaptive Allocation F t.aaaf Adaptive 359° * * * * * * * * * *   26.1% * * * * *
Minimum Correlation t.coco Correlation 39° * * * * * * * * * *   17.5% * * * * *
Maximum Diversification t.mdiv Diversification 110° * * * * * * * * * *   15.4% * * * * *
Equal Weight With Cluster t.dist Correlation 59° * * * * * * * * * *   16.7% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven * * * * * * * * * *   19.2% * * * * *
Minimum Variance A t.mvar Risk-Driven 24° * * * * * * * * * *   18.0% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 31° * * * * * * * * * *   17.9% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 176° * * * * * * * * * *   10.2% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 53° * * * * * * * * * *   17.2% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 12° * * * * * * * * * *   24.5% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 48° * * * * * * * * * *   18.6% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 139° * * * * * * * * * *   12.7% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 173° * * * * * * * * * *   9.2% * * * * *
Pure Momentum t.pure Momentum 160° * * * * * * * * * *   0.2% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 21° * * * * * * * * * *   74.7% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 42° * * * * * * * * * *   19.2% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation * * * * * * * * * *   31.7% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 30° * * * * * * * * * *   27.0% * * * * *
Minimum CdaR t.cdar Risk-Driven 151° * * * * * * * * * *   12.5% * * * * *
Minimum CvaR t.cvar Risk-Driven 360° * * * * * * * * * *   20.1% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 104° * * * * * * * * * *   15.7% * * * * *
Minimum Drawdown t.loss Risk-Driven 358° * * * * * * * * * *   18.0% * * * * *
Minimum Downside MAD t.madd Risk-Driven * * * * * * * * * *   19.2% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 143° * * * * * * * * * *   13.7% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 104° * * * * * * * * * *   15.7% * * * * *
Minimum Variance B t.mva2 Risk-Driven 144° * * * * * * * * * *   14.1% * * * * *
Minimum Variance C t.mva3 Risk-Driven 36° * * * * * * * * * *   17.4% * * * * *
Min Downside Deviation t.risd Risk-Driven 146° * * * * * * * * * *   13.9% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 85° * * * * * * * * * *   16.2% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 45° * * * * * * * * * *   17.2% * * * * *
Target Return 12% t.tret Risk-Driven 19° * * * * * * * * * *   18.6% * * * * *
Target Risk 10% t.tris Risk-Driven 148° * * * * * * * * * *   15.4% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 182° * * * * * * * * * *   12.6% * * * * *
Target Return Post-Modern t.trdd Target Return 119° * * * * * * * * * *   15.7% * * * * *
Active Combined Asset t.acap Momentum * * * * * * * * * *   25.3% * * * * *
Quarterly Asset Rotation t.qaro Momentum 22° * * * * * * * * * *   18.4% * * * * *
Defensive Bond t.dbnd Momentum 198° * * * * * * * * * *   7.0% * * * * *
Dynamic Harry Browne t.dyhb Momentum 213° * * * * * * * * * *   12.6% * * * * *