Tactical: DIY, ranked by Treynor
for period ending June 30, 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 | 50.4% | * | * | * | * | * | 6.1% | * | * | * | * | * | |
S&P 500 | SPY | Benchmark | 14.6% | * | * | * | * | * | 14.9% | * | * | * | * | * | |
Strategic 60-40 Portfolio | s.6040 | Benchmark | 16.5% | * | * | * | * | * | 11.6% | * | * | * | * | * | |
Adaptive Allocation A | t.aaaa | Adaptive | 36.8% | * | * | * | * | * | 15.5% | * | * | * | * | * | |
Adaptive Allocation B | t.aaab | Adaptive | 41.0% | * | * | * | * | * | 13.7% | * | * | * | * | * | |
Adaptive Allocation C | t.aaac | Adaptive | 46.2% | * | * | * | * | * | 15.4% | * | * | * | * | * | |
Adaptive Allocation D | t.aaad | Adaptive | 55.2% | * | * | * | * | * | 16.0% | * | * | * | * | * | |
Adaptive Allocation E | t.aaae | Adaptive | 39.0% | * | * | * | * | * | 20.0% | * | * | * | * | * | |
Adaptive Allocation F | t.aaaf | Adaptive | 32.3% | * | * | * | * | * | 13.5% | * | * | * | * | * | |
Minimum Correlation | t.coco | Correlation | 29.7% | * | * | * | * | * | 13.1% | * | * | * | * | * | |
Maximum Diversification | t.mdiv | Diversification | 30.5% | * | * | * | * | * | 10.5% | * | * | * | * | * | |
Equal Weight With Cluster | t.dist | Correlation | 36.9% | * | * | * | * | * | 14.3% | * | * | * | * | * | |
Minimum Mean Abs Deviation | t.madm | Risk-Driven | 45.7% | * | * | * | * | * | 13.5% | * | * | * | * | * | |
Minimum Variance A | t.mvar | Risk-Driven | 35.7% | * | * | * | * | * | 9.9% | * | * | * | * | * | |
Risk Parity Portfolio A | t.rpba | Risk-Driven | 30.1% | * | * | * | * | * | 15.0% | * | * | * | * | * | |
Maximum Sortino Portfolio | t.sort | Risk/Reward | 58.0% | * | * | * | * | * | 8.0% | * | * | * | * | * | |
Equal Weight Portfolio | t.eqwt | Equal Weight | 27.4% | * | * | * | * | * | 15.8% | * | * | * | * | * | |
Faber Rel Strength: Top 1 | t.frs1 | Momentum | 0.0% | * | * | * | * | * | 0.4% | * | * | * | * | * | |
Faber Rel Strength: Top 2 | t.frs2 | Momentum | 9.8% | * | * | * | * | * | 8.0% | * | * | * | * | * | |
Faber Rel Strength: Top 3 | t.frs3 | Momentum | 14.8% | * | * | * | * | * | 8.7% | * | * | * | * | * | |
Faber Rel Strength: Top 4 | t.frs4 | Momentum | 16.1% | * | * | * | * | * | 7.1% | * | * | * | * | * | |
Pure Momentum | t.pure | Momentum | -1.0% | * | * | * | * | * | -0.5% | * | * | * | * | * | |
Quartile Sector Rotation | t.srqr | Sector Rotation | -29.3% | * | * | * | * | * | -11.9% | * | * | * | * | * | |
Rel Strength Sector Rotatn | t.srrs | Sector Rotation | 8.0% | * | * | * | * | * | 6.7% | * | * | * | * | * | |
Top 5 Sector Rotation | t.srt5 | Sector Rotation | 16.0% | * | * | * | * | * | 16.1% | * | * | * | * | * | |
Top 3 Sector Rotation | t.srt3 | Sector Rotation | -0.9% | * | * | * | * | * | -0.5% | * | * | * | * | * | |
Minimum CdaR | t.cdar | Risk-Driven | 28.4% | * | * | * | * | * | 8.4% | * | * | * | * | * | |
Minimum CvaR | t.cvar | Risk-Driven | 92.9% | * | * | * | * | * | 14.2% | * | * | * | * | * | |
Equal Risk Contribution | t.eqrc | Risk-Driven | 28.7% | * | * | * | * | * | 12.6% | * | * | * | * | * | |
Minimum Drawdown | t.loss | Risk-Driven | 45.8% | * | * | * | * | * | 10.5% | * | * | * | * | * | |
Minimum Downside MAD | t.madd | Risk-Driven | 45.7% | * | * | * | * | * | 13.5% | * | * | * | * | * | |
Minimum Correlation A | t.mca1 | Risk-Driven | 34.1% | * | * | * | * | * | 11.6% | * | * | * | * | * | |
Minimum Correlation B | t.mca2 | Risk-Driven | 29.9% | * | * | * | * | * | 12.4% | * | * | * | * | * | |
Minimum Variance B | t.mva2 | Risk-Driven | 46.3% | * | * | * | * | * | 11.6% | * | * | * | * | * | |
Minimum Variance C | t.mva3 | Risk-Driven | 55.8% | * | * | * | * | * | 13.3% | * | * | * | * | * | |
Min Downside Deviation | t.risd | Risk-Driven | 23.0% | * | * | * | * | * | 6.6% | * | * | * | * | * | |
Risk Parity With Cluster | t.rpcl | Risk-Driven | 34.7% | * | * | * | * | * | 13.2% | * | * | * | * | * | |
Risk Parity Portfolio B | t.rsop | Risk-Driven | 28.2% | * | * | * | * | * | 14.5% | * | * | * | * | * | |
Target Return 12% | t.tret | Risk-Driven | 29.5% | * | * | * | * | * | 9.1% | * | * | * | * | * | |
Target Risk 10% | t.tris | Risk-Driven | 58.2% | * | * | * | * | * | 11.0% | * | * | * | * | * | |
Maximum Sharpe Portfolio | t.shar | Risk/Reward | 86.1% | * | * | * | * | * | 10.7% | * | * | * | * | * | |
Target Return Post-Modern | t.trdd | Target Return | 28.3% | * | * | * | * | * | 7.8% | * | * | * | * | * | |
Active Combined Asset | t.acap | Momentum | 61.9% | * | * | * | * | * | 22.4% | * | * | * | * | * | |
Quarterly Asset Rotation | t.qaro | Momentum | 27.6% | * | * | * | * | * | 9.2% | * | * | * | * | * | |
Defensive Bond | t.dbnd | Momentum | 71.5% | * | * | * | * | * | 6.6% | * | * | * | * | * | |
Dynamic Harry Browne | t.dyhb | Momentum | 259.9% | * | * | * | * | * | 8.7% | * | * | * | * | * |