Tactical: DIY, ranked by Standard Deviation

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

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 10.4% * * * * *   22.9% * * * * *
Adaptive Allocation B t.aaab Adaptive 9.6% * * * * *   16.0% * * * * *
Adaptive Allocation C t.aaac Adaptive 9.7% * * * * *   16.2% * * * * *
Adaptive Allocation D t.aaad Adaptive 9.7% * * * * *   8.0% * * * * *
Adaptive Allocation E t.aaae Adaptive 12.6% * * * * *   18.1% * * * * *
Adaptive Allocation F t.aaaf Adaptive 11.6% * * * * *   28.7% * * * * *
Minimum Correlation t.coco Correlation 15.3% * * * * *   20.1% * * * * *
Maximum Diversification t.mdiv Diversification 14.2% * * * * *   20.1% * * * * *
Equal Weight With Cluster t.dist Correlation 16.2% * * * * *   19.0% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 12.1% * * * * *   23.8% * * * * *
Minimum Variance A t.mvar Risk-Driven 12.4% * * * * *   25.8% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 15.6% * * * * *   21.2% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 9.8% * * * * *   8.6% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 16.6% * * * * *   20.0% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 13.2% * * * * *   17.5% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 12.4% * * * * *   11.7% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 12.5% * * * * *   15.1% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 8.8% * * * * *   11.8% * * * * *
Pure Momentum t.pure Momentum 16.7% * * * * *   5.0% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 116.7% * * * * *   120.0% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 12.3% * * * * *   17.2% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 23.5% * * * * *   30.3% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 20.8% * * * * *   13.2% * * * * *
Minimum CdaR t.cdar Risk-Driven 15.6% * * * * *   22.0% * * * * *
Minimum CvaR t.cvar Risk-Driven 13.3% * * * * *   28.5% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 14.9% * * * * *   19.2% * * * * *
Minimum Drawdown t.loss Risk-Driven 11.9% * * * * *   27.0% * * * * *
Minimum Downside MAD t.madd Risk-Driven 12.1% * * * * *   23.8% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 14.0% * * * * *   17.0% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 14.8% * * * * *   19.4% * * * * *
Minimum Variance B t.mva2 Risk-Driven 12.8% * * * * *   18.7% * * * * *
Minimum Variance C t.mva3 Risk-Driven 12.8% * * * * *   23.0% * * * * *
Min Downside Deviation t.risd Risk-Driven 11.8% * * * * *   23.4% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 15.0% * * * * *   19.4% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 15.7% * * * * *   20.9% * * * * *
Target Return 12% t.tret Risk-Driven 10.9% * * * * *   15.7% * * * * *
Target Risk 10% t.tris Risk-Driven 9.8% * * * * *   15.4% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 10.2% * * * * *   10.4% * * * * *
Target Return Post-Modern t.trdd Target Return 10.4% * * * * *   13.3% * * * * *
Active Combined Asset t.acap Momentum 15.8% * * * * *   19.1% * * * * *
Quarterly Asset Rotation t.qaro Momentum 16.6% * * * * *   23.5% * * * * *
Defensive Bond t.dbnd Momentum 10.3% * * * * *   12.1% * * * * *
Dynamic Harry Browne t.dyhb Momentum 6.0% * * * * *   13.0% * * * * *