Tactical: DIY, ranked by Risk vs. Return Compass

for period ending December 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, 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 172° * * * * * * * * * *   13.3% * * * * *
Adaptive Allocation B t.aaab Adaptive 191° * * * * * * * * * *   13.0% * * * * *
Adaptive Allocation C t.aaac Adaptive 212° * * * * * * * * * *   14.0% * * * * *
Adaptive Allocation D t.aaad Adaptive 192° * * * * * * * * * *   10.0% * * * * *
Adaptive Allocation E t.aaae Adaptive 166° * * * * * * * * * *   12.3% * * * * *
Adaptive Allocation F t.aaaf Adaptive 358° * * * * * * * * * *   21.9% * * * * *
Minimum Correlation t.coco Correlation 134° * * * * * * * * * *   13.3% * * * * *
Maximum Diversification t.mdiv Diversification 147° * * * * * * * * * *   11.7% * * * * *
Equal Weight With Cluster t.dist Correlation 162° * * * * * * * * * *   10.0% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 17° * * * * * * * * * *   15.8% * * * * *
Minimum Variance A t.mvar Risk-Driven 40° * * * * * * * * * *   15.4% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 146° * * * * * * * * * *   12.9% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 177° * * * * * * * * * *   6.9% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 150° * * * * * * * * * *   11.8% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 12° * * * * * * * * * *   23.2% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 97° * * * * * * * * * *   14.1% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 149° * * * * * * * * * *   9.5% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 173° * * * * * * * * * *   6.8% * * * * *
Pure Momentum t.pure Momentum 163° * * * * * * * * * *   -5.7% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 11° * * * * * * * * * *   125.3% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 69° * * * * * * * * * *   15.4% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 8° * * * * * * * * * *   32.8% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 28° * * * * * * * * * *   26.3% * * * * *
Minimum CdaR t.cdar Risk-Driven 163° * * * * * * * * * *   5.6% * * * * *
Minimum CvaR t.cvar Risk-Driven 3° * * * * * * * * * *   16.9% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 158° * * * * * * * * * *   10.9% * * * * *
Minimum Drawdown t.loss Risk-Driven 70° * * * * * * * * * *   14.6% * * * * *
Minimum Downside MAD t.madd Risk-Driven 17° * * * * * * * * * *   15.8% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 162° * * * * * * * * * *   8.9% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 157° * * * * * * * * * *   10.9% * * * * *
Minimum Variance B t.mva2 Risk-Driven 164° * * * * * * * * * *   9.4% * * * * *
Minimum Variance C t.mva3 Risk-Driven 145° * * * * * * * * * *   13.2% * * * * *
Min Downside Deviation t.risd Risk-Driven 154° * * * * * * * * * *   11.5% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 160° * * * * * * * * * *   10.0% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 152° * * * * * * * * * *   12.2% * * * * *
Target Return 12% t.tret Risk-Driven 40° * * * * * * * * * *   15.4% * * * * *
Target Risk 10% t.tris Risk-Driven 174° * * * * * * * * * *   11.3% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 182° * * * * * * * * * *   9.4% * * * * *
Target Return Post-Modern t.trdd Target Return 163° * * * * * * * * * *   12.3% * * * * *
Active Combined Asset t.acap Momentum 13° * * * * * * * * * *   18.9% * * * * *
Quarterly Asset Rotation t.qaro Momentum 35° * * * * * * * * * *   15.7% * * * * *
Defensive Bond t.dbnd Momentum 201° * * * * * * * * * *   6.8% * * * * *
Dynamic Harry Browne t.dyhb Momentum 217° * * * * * * * * * *   11.6% * * * * *