Tactical: DIY, ranked by Standard Deviation

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

Standard Deviation shows the 1-, 3-, 5-, 10-, 15-, and 20-year standard deviation from the mean. This is calculated using monthly returns, then annualized.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

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.

      Standard Deviation   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 7.8% * * * * *   27.7% * * * * *
Adaptive Allocation B t.aaab Adaptive 6.5% * * * * *   25.7% * * * * *
Adaptive Allocation C t.aaac Adaptive 6.6% * * * * *   26.3% * * * * *
Adaptive Allocation D t.aaad Adaptive 7.1% * * * * *   18.9% * * * * *
Adaptive Allocation E t.aaae Adaptive 10.4% * * * * *   27.1% * * * * *
Adaptive Allocation F t.aaaf Adaptive 9.4% * * * * *   35.6% * * * * *
Minimum Correlation t.coco Correlation 13.0% * * * * *   31.0% * * * * *
Maximum Diversification t.mdiv Diversification 12.3% * * * * *   28.6% * * * * *
Equal Weight With Cluster t.dist Correlation 14.7% * * * * *   30.3% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 9.9% * * * * *   27.0% * * * * *
Minimum Variance A t.mvar Risk-Driven 10.6% * * * * *   27.2% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 14.0% * * * * *   31.0% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 8.2% * * * * *   17.4% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 15.1% * * * * *   30.8% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 12.4% * * * * *   25.9% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 11.7% * * * * *   19.6% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 12.8% * * * * *   17.8% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 9.5% * * * * *   13.1% * * * * *
Pure Momentum t.pure Momentum 16.6% * * * * *   11.9% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 125.8% * * * * *   210.1% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 10.7% * * * * *   25.5% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 20.3% * * * * *   50.6% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 17.9% * * * * *   31.4% * * * * *
Minimum CdaR t.cdar Risk-Driven 14.3% * * * * *   18.5% * * * * *
Minimum CvaR t.cvar Risk-Driven 10.3% * * * * *   32.0% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 13.4% * * * * *   28.4% * * * * *
Minimum Drawdown t.loss Risk-Driven 9.2% * * * * *   29.2% * * * * *
Minimum Downside MAD t.madd Risk-Driven 9.9% * * * * *   27.0% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 12.5% * * * * *   25.6% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 13.3% * * * * *   28.3% * * * * *
Minimum Variance B t.mva2 Risk-Driven 11.3% * * * * *   24.8% * * * * *
Minimum Variance C t.mva3 Risk-Driven 11.0% * * * * *   29.0% * * * * *
Min Downside Deviation t.risd Risk-Driven 10.5% * * * * *   23.2% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 13.4% * * * * *   29.6% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 14.1% * * * * *   30.7% * * * * *
Target Return 12% t.tret Risk-Driven 9.3% * * * * *   23.4% * * * * *
Target Risk 10% t.tris Risk-Driven 8.3% * * * * *   21.8% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 8.2% * * * * *   19.4% * * * * *
Target Return Post-Modern t.trdd Target Return 8.9% * * * * *   20.9% * * * * *
Active Combined Asset t.acap Momentum 13.0% * * * * *   34.9% * * * * *
Quarterly Asset Rotation t.qaro Momentum 14.2% * * * * *   37.4% * * * * *
Defensive Bond t.dbnd Momentum 9.0% * * * * *   19.3% * * * * *
Dynamic Harry Browne t.dyhb Momentum 5.2% * * * * *   21.7% * * * * *