Tactical: DIY, ranked by Risk vs. Return Compass

for period ending August 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 342° * * * * * * * * * *   22.9% * * * * *
Adaptive Allocation B t.aaab Adaptive 213° * * * * * * * * * *   16.0% * * * * *
Adaptive Allocation C t.aaac Adaptive 215° * * * * * * * * * *   16.2% * * * * *
Adaptive Allocation D t.aaad Adaptive 181° * * * * * * * * * *   8.0% * * * * *
Adaptive Allocation E t.aaae Adaptive 240° * * * * * * * * * *   18.1% * * * * *
Adaptive Allocation F t.aaaf Adaptive 357° * * * * * * * * * *   28.7% * * * * *
Minimum Correlation t.coco Correlation 43° * * * * * * * * * *   20.1% * * * * *
Maximum Diversification t.mdiv Diversification 35° * * * * * * * * * *   20.1% * * * * *
Equal Weight With Cluster t.dist Correlation 70° * * * * * * * * * *   19.0% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 2° * * * * * * * * * *   23.8% * * * * *
Minimum Variance A t.mvar Risk-Driven 1° * * * * * * * * * *   25.8% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 22° * * * * * * * * * *   21.2% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 180° * * * * * * * * * *   8.6% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 49° * * * * * * * * * *   20.0% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 132° * * * * * * * * * *   17.5% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 178° * * * * * * * * * *   11.7% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 180° * * * * * * * * * *   15.1% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 199° * * * * * * * * * *   11.8% * * * * *
Pure Momentum t.pure Momentum 166° * * * * * * * * * *   5.0% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 21° * * * * * * * * * *   120.0% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 189° * * * * * * * * * *   17.2% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 23° * * * * * * * * * *   30.3% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 130° * * * * * * * * * *   13.2% * * * * *
Minimum CdaR t.cdar Risk-Driven 25° * * * * * * * * * *   22.0% * * * * *
Minimum CvaR t.cvar Risk-Driven 357° * * * * * * * * * *   28.5% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 56° * * * * * * * * * *   19.2% * * * * *
Minimum Drawdown t.loss Risk-Driven 358° * * * * * * * * * *   27.0% * * * * *
Minimum Downside MAD t.madd Risk-Driven 2° * * * * * * * * * *   23.8% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 138° * * * * * * * * * *   17.0% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 49° * * * * * * * * * *   19.4% * * * * *
Minimum Variance B t.mva2 Risk-Driven 70° * * * * * * * * * *   18.7% * * * * *
Minimum Variance C t.mva3 Risk-Driven 3° * * * * * * * * * *   23.0% * * * * *
Min Downside Deviation t.risd Risk-Driven 360° * * * * * * * * * *   23.4% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 45° * * * * * * * * * *   19.4% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 26° * * * * * * * * * *   20.9% * * * * *
Target Return 12% t.tret Risk-Driven 186° * * * * * * * * * *   15.7% * * * * *
Target Risk 10% t.tris Risk-Driven 195° * * * * * * * * * *   15.4% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 180° * * * * * * * * * *   10.4% * * * * *
Target Return Post-Modern t.trdd Target Return 182° * * * * * * * * * *   13.3% * * * * *
Active Combined Asset t.acap Momentum 70° * * * * * * * * * *   19.1% * * * * *
Quarterly Asset Rotation t.qaro Momentum 7° * * * * * * * * * *   23.5% * * * * *
Defensive Bond t.dbnd Momentum 201° * * * * * * * * * *   12.1% * * * * *
Dynamic Harry Browne t.dyhb Momentum 215° * * * * * * * * * *   13.0% * * * * *