Tactical: DIY, ranked by Treynor

for period ending January 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

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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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.

      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  
 
Adaptive Allocation A t.aaaa Adaptive 32.5% * * * * *   17.9% * * * * *
Adaptive Allocation B t.aaab Adaptive 39.5% * * * * *   18.2% * * * * *
Adaptive Allocation C t.aaac Adaptive 42.9% * * * * *   19.6% * * * * *
Adaptive Allocation D t.aaad Adaptive 28.7% * * * * *   14.9% * * * * *
Adaptive Allocation E t.aaae Adaptive 28.1% * * * * *   18.6% * * * * *
Adaptive Allocation F t.aaaf Adaptive 38.0% * * * * *   26.1% * * * * *
Minimum Correlation t.coco Correlation 22.6% * * * * *   17.5% * * * * *
Maximum Diversification t.mdiv Diversification 19.3% * * * * *   15.4% * * * * *
Equal Weight With Cluster t.dist Correlation 24.8% * * * * *   16.7% * * * * *
Minimum Mean Abs Deviation t.madm Risk-Driven 26.1% * * * * *   19.2% * * * * *
Minimum Variance A t.mvar Risk-Driven 23.9% * * * * *   18.0% * * * * *
Risk Parity Portfolio A t.rpba Risk-Driven 22.5% * * * * *   17.9% * * * * *
Maximum Sortino Portfolio t.sort Risk/Reward 17.3% * * * * *   10.2% * * * * *
Equal Weight Portfolio t.eqwt Equal Weight 20.7% * * * * *   17.2% * * * * *
Faber Rel Strength: Top 1 t.frs1 Momentum 22.6% * * * * *   24.5% * * * * *
Faber Rel Strength: Top 2 t.frs2 Momentum 17.7% * * * * *   18.6% * * * * *
Faber Rel Strength: Top 3 t.frs3 Momentum 13.2% * * * * *   12.7% * * * * *
Faber Rel Strength: Top 4 t.frs4 Momentum 12.6% * * * * *   9.2% * * * * *
Pure Momentum t.pure Momentum -0.1% * * * * *   0.2% * * * * *
Quartile Sector Rotation t.srqr Sector Rotation 36.7% * * * * *   74.7% * * * * *
Rel Strength Sector Rotatn t.srrs Sector Rotation 19.0% * * * * *   19.2% * * * * *
Top 5 Sector Rotation t.srt5 Sector Rotation 26.5% * * * * *   31.7% * * * * *
Top 3 Sector Rotation t.srt3 Sector Rotation 17.3% * * * * *   27.0% * * * * *
Minimum CdaR t.cdar Risk-Driven 15.0% * * * * *   12.5% * * * * *
Minimum CvaR t.cvar Risk-Driven 39.3% * * * * *   20.1% * * * * *
Equal Risk Contribution t.eqrc Risk-Driven 19.8% * * * * *   15.7% * * * * *
Minimum Drawdown t.loss Risk-Driven 59.4% * * * * *   18.0% * * * * *
Minimum Downside MAD t.madd Risk-Driven 26.1% * * * * *   19.2% * * * * *
Minimum Correlation A t.mca1 Risk-Driven 17.8% * * * * *   13.7% * * * * *
Minimum Correlation B t.mca2 Risk-Driven 19.9% * * * * *   15.7% * * * * *
Minimum Variance B t.mva2 Risk-Driven 19.3% * * * * *   14.1% * * * * *
Minimum Variance C t.mva3 Risk-Driven 24.0% * * * * *   17.4% * * * * *
Min Downside Deviation t.risd Risk-Driven 18.4% * * * * *   13.9% * * * * *
Risk Parity With Cluster t.rpcl Risk-Driven 23.6% * * * * *   16.2% * * * * *
Risk Parity Portfolio B t.rsop Risk-Driven 21.6% * * * * *   17.2% * * * * *
Target Return 12% t.tret Risk-Driven 24.6% * * * * *   18.6% * * * * *
Target Risk 10% t.tris Risk-Driven 24.7% * * * * *   15.4% * * * * *
Maximum Sharpe Portfolio t.shar Risk/Reward 22.2% * * * * *   12.6% * * * * *
Target Return Post-Modern t.trdd Target Return 22.1% * * * * *   15.7% * * * * *
Active Combined Asset t.acap Momentum 35.6% * * * * *   25.3% * * * * *
Quarterly Asset Rotation t.qaro Momentum 31.8% * * * * *   18.4% * * * * *
Defensive Bond t.dbnd Momentum 25.2% * * * * *   7.0% * * * * *
Dynamic Harry Browne t.dyhb Momentum 69.6% * * * * *   12.6% * * * * *