Tactical: DIY, ranked by Treynor

for period ending May 31, 2025

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
by Peer Group: Strategic: DIY, Tactical: DIY, Tactical: Managed

The Treynor Ratio is a significant measure of risk-adjusted return used in portfolio management and financial analysis. Unlike the Sharpe Ratio, which evaluates total risk, the Treynor Ratio focuses solely on market risk, measured by beta.

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Portfolio Recipes: Tactical: DIY Peer Group
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      Treynor   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  
 
U.S. Total Bond Market BND Benchmark 51.5% * * * * *   5.4% * * * * *
S&P 500 SPY Benchmark 12.8% * * * * *   13.2% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark 14.3% * * * * *   10.0% * * * * *
Adaptive Allocation A t.aaaa Adaptive 33.4% * * * * *   12.0% * * * * *
Adaptive Allocation B t.aaab Adaptive 38.6% * * * * *   11.9% * * * * *
Adaptive Allocation C t.aaac Adaptive 44.5% * * * * *   14.1% * * * * *
Adaptive Allocation D t.aaad Adaptive 54.4% * * * * *   13.1% * * * * *
Adaptive Allocation E t.aaae Adaptive 36.6% * * * * *   17.2% * * * * *
Adaptive Allocation F t.aaaf Adaptive 30.9% * * * * *   12.4% * * * * *
Minimum Correlation t.coco Correlation 28.7% * * * * *   12.7% * * * * *
Maximum Diversification t.mdiv Diversification 30.0% * * * * *   10.4% * * * * *
Equal Weight With Cluster t.dist Correlation 34.2% * * * * *   12.5% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 44.9% * * * * *   12.4% * * * * *
Minimum Variance A t.mvar Risk-Driven 34.8% * * * * *   9.0% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 27.3% * * * * *   13.0% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 55.2% * * * * *   7.1% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 24.3% * * * * *   13.4% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 1.0% * * * * *   1.5% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 6.1% * * * * *   5.0% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 11.8% * * * * *   6.8% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 12.7% * * * * *   5.4% * * * * *
Pure Momentum t.pure Momentum -4.1% * * * * *   -3.2% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation -16.9% * * * * *   -7.2% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 4.5% * * * * *   3.9% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 14.1% * * * * *   14.7% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation -0.1% * * * * *   0.2% * * * * *
Minimum CdaR t.cdar Risk-Driven 21.4% * * * * *   5.4% * * * * *
Minimum CvaR t.cvar Risk-Driven 128.3% * * * * *   12.3% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 26.1% * * * * *   11.0% * * * * *
Minimum Drawdown t.loss Risk-Driven 44.7% * * * * *   7.4% * * * * *
Minimum Downside MAD t.madd Risk-Driven 44.9% * * * * *   12.4% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 32.0% * * * * *   10.5% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 27.4% * * * * *   10.9% * * * * *
Minimum Variance B t.mva2 Risk-Driven 45.3% * * * * *   10.6% * * * * *
Minimum Variance C t.mva3 Risk-Driven 55.5% * * * * *   12.3% * * * * *
Min Downside Deviation t.risd Risk-Driven 22.6% * * * * *   6.4% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 32.1% * * * * *   11.5% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 25.4% * * * * *   12.4% * * * * *
Target Return 12% t.tret Risk-Driven 28.1% * * * * *   8.2% * * * * *
Target Risk 10% t.tris Risk-Driven 61.6% * * * * *   9.0% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 86.0% * * * * *   9.5% * * * * *
Target Return Post-Modern t.trdd Target Return 27.4% * * * * *   7.2% * * * * *
Active Combined Asset t.acap Momentum 58.0% * * * * *   22.0% * * * * *
Quarterly Asset Rotation t.qaro Momentum 25.7% * * * * *   8.8% * * * * *
Defensive Bond t.dbnd Momentum 66.4% * * * * *   7.2% * * * * *
Dynamic Harry Browne t.dyhb Momentum -843.0% * * * * *   7.7% * * * * *