Tactical: DIY, ranked by Risk vs. Return Compass

for period ending April 30, 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.

 

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 358° * * * * * * * * * *   17.3% * * * * *
Adaptive Allocation B t.aaab Adaptive 178° * * * * * * * * * *   10.7% * * * * *
Adaptive Allocation C t.aaac Adaptive 172° * * * * * * * * * *   9.5% * * * * *
Adaptive Allocation D t.aaad Adaptive 177° * * * * * * * * * *   6.4% * * * * *
Adaptive Allocation E t.aaae Adaptive 13° * * * * * * * * * *   14.8% * * * * *
Adaptive Allocation F t.aaaf Adaptive 355° * * * * * * * * * *   15.8% * * * * *
Minimum Correlation t.coco Correlation 157° * * * * * * * * * *   8.1% * * * * *
Maximum Diversification t.mdiv Diversification 162° * * * * * * * * * *   8.3% * * * * *
Equal Weight With Cluster t.dist Correlation 167° * * * * * * * * * *   5.2% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 65° * * * * * * * * * *   12.6% * * * * *
Minimum Variance A t.mvar Risk-Driven * * * * * * * * * *   14.4% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 122° * * * * * * * * * *   11.5% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 174° * * * * * * * * * *   8.8% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 135° * * * * * * * * * *   10.2% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 164° * * * * * * * * * *   6.3% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 176° * * * * * * * * * *   3.4% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 179° * * * * * * * * * *   4.5% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 190° * * * * * * * * * *   2.9% * * * * *
Pure Momentum t.pure Momentum 29° * * * * * * * * * *   20.8% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 15° * * * * * * * * * *   168.1% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 126° * * * * * * * * * *   11.7% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 27° * * * * * * * * * *   22.3% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 37° * * * * * * * * * *   21.9% * * * * *
Minimum CdaR t.cdar Risk-Driven 77° * * * * * * * * * *   12.8% * * * * *
Minimum CvaR t.cvar Risk-Driven 355° * * * * * * * * * *   14.8% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 162° * * * * * * * * * *   7.9% * * * * *
Minimum Drawdown t.loss Risk-Driven 136° * * * * * * * * * *   12.1% * * * * *
Minimum Downside MAD t.madd Risk-Driven 65° * * * * * * * * * *   12.6% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 170° * * * * * * * * * *   4.5% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 164° * * * * * * * * * *   7.7% * * * * *
Minimum Variance B t.mva2 Risk-Driven 171° * * * * * * * * * *   6.3% * * * * *
Minimum Variance C t.mva3 Risk-Driven 155° * * * * * * * * * *   11.1% * * * * *
Min Downside Deviation t.risd Risk-Driven 162° * * * * * * * * * *   11.6% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 168° * * * * * * * * * *   6.2% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 128° * * * * * * * * * *   11.2% * * * * *
Target Return 12% t.tret Risk-Driven 181° * * * * * * * * * *   5.0% * * * * *
Target Risk 10% t.tris Risk-Driven 186° * * * * * * * * * *   6.8% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 177° * * * * * * * * * *   7.4% * * * * *
Target Return Post-Modern t.trdd Target Return 181° * * * * * * * * * *   3.2% * * * * *
Active Combined Asset t.acap Momentum 165° * * * * * * * * * *   6.4% * * * * *
Quarterly Asset Rotation t.qaro Momentum 155° * * * * * * * * * *   10.3% * * * * *
Defensive Bond t.dbnd Momentum 196° * * * * * * * * * *   4.3% * * * * *
Dynamic Harry Browne t.dyhb Momentum 247° * * * * * * * * * *   10.9% * * * * *