Tactical: Managed, ranked by M-squared

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

M-Squared is the Modigliani risk-adjusted performance, shown as an annual total return percent. It is derived from the Sharpe ratio, but M-Squared is in units of percent return. M-Squared inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark equity portfolio (the S&P 500, represented by the SPY exchange-traded fund).

Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Recipe Summary page.

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.

      M-Squared   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  
 
S&P 500 Equal Weight RSP Equal Weight -9.8% * * * * *   31.9% * * * * *
Permanent Portfolio PRPFX Low Equity 21.9% * * * * *   31.6% * * * * *
Hedge Replication HDG Blended -21.4% * * * * *   9.4% * * * * *
DWA Tech Leaders PDP Blended -5.3% * * * * *   41.0% * * * * *
iSh Global Energy PWC Blended -2.9% * * * * *   38.2% * * * * *
IQ Hedge Multi-Strat QAI Blended -14.9% * * * * *   11.9% * * * * *
ProShares Lg Cap CSM Hedged: 130-30 -2.8% * * * * *   37.0% * * * * *
MultiAsset ETF RLY Hedged: Abs Return -23.2% * * * * *   12.1% * * * * *
IQ Merger Arbitrage MNA Hedged: Arbitrage -31.4% * * * * *   5.6% * * * * *
QuantSh AntiBeta BTAL Hedged: Mkt Neutral -36.2% * * * * *   -0.1% * * * * *
WisdmTr EM HiYld DEM Income: Equity -13.7% * * * * *   22.1% * * * * *
WisdmTr EM SmCap DGS Income: Equity -18.1% * * * * *   20.2% * * * * *
WisdomTree ex-US DLN Income: Equity 2.1% * * * * *   33.6% * * * * *
WisdmTr Intl SmCap DLS Income: Equity -20.3% * * * * *   21.6% * * * * *
iShares Select Dividend DVY Income: Equity -7.7% * * * * *   33.7% * * * * *
SPDR S&P Int'l DWX Income: Equity -21.4% * * * * *   17.5% * * * * *
iShares Hi Div Equity HDV Income: Equity -1.0% * * * * *   27.9% * * * * *
iShr Intl Select Dividend IDV Income: Equity -18.5% * * * * *   23.1% * * * * *
PowerShares Intl Div PID Income: Equity -18.0% * * * * *   23.6% * * * * *
SPDR S&P Dividend SDY Income: Equity -12.3% * * * * *   26.7% * * * * *
Vanguard Hi Div Yld ETF VYM Income: Equity -3.7% * * * * *   31.2% * * * * *
PwrSh Sr Loan Portfolio BKLN Income: Float Rate -4.7% * * * * *   10.1% * * * * *
Gugg Multi-Asset CVY Income: Multi -13.1% * * * * *   26.1% * * * * *
Barclays Conv Bond CWB Income: Multi -13.5% * * * * *   20.8% * * * * *
ETF: SPDR Inc Alloc INKM Income: Multi -14.9% * * * * *   20.2% * * * * *
iSh MultiAsset Income IYLD Income: Multi -18.3% * * * * *   15.3% * * * * *
FirstTrust Multi-Asset MDIV Income: Multi -9.2% * * * * *   22.2% * * * * *
iShr Preferred ETF PFF Income: Multi -11.9% * * * * *   22.5% * * * * *
PowerSh Preferred ETF PGX Income: Multi -14.1% * * * * *   24.7% * * * * *
First Trust Focus 5 FV Sector Rotation -11.4% * * * * *   37.7% * * * * *
S&P Aggressive AOA Risk-Driven -8.1% * * * * *   27.4% * * * * *
S&P Conservative AOK Risk-Driven -15.5% * * * * *   16.9% * * * * *
S&P Moderate AOM Risk-Driven -13.9% * * * * *   18.8% * * * * *
S&P Growth AOR Risk-Driven -10.8% * * * * *   23.0% * * * * *
Dreyfus Alpha I AVGRX Blended -15.0% * * * * *   12.5% * * * * *
Principal GlobMultiStrat PMSAX Blended -26.5% * * * * *   7.6% * * * * *
Hundredfold Select SFHYX Blended -23.8% * * * * *   9.9% * * * * *
UBS Global Alloc BPGLX Global Macro -10.9% * * * * *   22.3% * * * * *
DFA Select Hedged DSHGX Global Macro 0.8% * * * * *   33.5% * * * * *
GMO Benchm-Free GBMFX Global Macro -21.6% * * * * *   13.1% * * * * *
Leuthold Global GLBIX Global Macro -23.2% * * * * *   12.8% * * * * *
GMO Global Alloc GMWAX Global Macro -16.1% * * * * *   19.6% * * * * *
Ivy Asset Strategy IVAEX Global Macro 1.4% * * * * *   30.2% * * * * *
Leuthold Core LCORX Global Macro -13.9% * * * * *   19.4% * * * * *
Loomis Global Eq Y LSWWX Global Macro -6.2% * * * * *   31.7% * * * * *
BlackRock Global I MALOX Global Macro -11.5% * * * * *   21.9% * * * * *
MFS Global Tot Ret MFWIX Global Macro -15.6% * * * * *   20.4% * * * * *
PIMCO All-Asset PAUIX Global Macro -25.3% * * * * *   11.0% * * * * *
Thornburg Inv Income Y TIBIX Global Macro -4.1% * * * * *   27.5% * * * * *
VALIC Global Strat VGLSX Global Macro -6.0% * * * * *   27.3% * * * * *
MainStay Int'l Opp MYITX Hedged: 130-30 -12.1% * * * * *   25.7% * * * * *
Absolute Strategies I ASFIX Hedged: Abs Return -55.8% * * * * *   -11.6% * * * * *
MFS Target Return A DVRAX Hedged: Abs Return -14.6% * * * * *   12.6% * * * * *
EatonVance GlobalMacro EIGMX Hedged: Abs Return -19.4% * * * * *   7.9% * * * * *
Natixis ASG Global GAFYX Hedged: Abs Return -32.5% * * * * *   5.2% * * * * *
Goldman Sachs Instl GARTX Hedged: Abs Return -19.5% * * * * *   10.2% * * * * *
Jhancock Global Abs Ret I JHAIX Hedged: Abs Return -27.5% * * * * *   8.1% * * * * *
Putnam Abs Ret 100 Y PARYX Hedged: Abs Return -40.3% * * * * *   3.6% * * * * *
Putnam Abs Ret 300 Y PYTRX Hedged: Abs Return -23.7% * * * * *   11.1% * * * * *
AQR Divers N ADANX Hedged: Arbitrage -28.5% * * * * *   6.1% * * * * *
Arbitrage I ARBNX Hedged: Arbitrage -26.7% * * * * *   7.2% * * * * *
BlackRock EmMkt A BLSAX Hedged: Long/Short -13.1% * * * * *   22.6% * * * * *
Robeco Long/Short I BPLSX Hedged: Long/Short -5.5% * * * * *   27.4% * * * * *
Diamond Hill Long-Short I DHLSX Hedged: Long/Short -12.7% * * * * *   18.3% * * * * *
MainStay Marketfield A MFADX Hedged: Long/Short -22.4% * * * * *   10.9% * * * * *
Aberdeen Long-Short A MLSAX Hedged: Long/Short -11.4% * * * * *   37.2% * * * * *
Calamos Market Neu Inc CVSIX Hedged: Mkt Neutral -35.6% * * * * *   3.9% * * * * *
Gabelli ABC AAA GABCX Hedged: Mkt Neutral -8.0% * * * * *   11.4% * * * * *
JPMorgan Mkt Neutral A JMNAX Hedged: Mkt Neutral -11.0% * * * * *   13.2% * * * * *
Vanguard Market Neutral VMNFX Hedged: Mkt Neutral -23.2% * * * * *   10.2% * * * * *
Fidelity Equity FEQTX Income: Equity -5.4% * * * * *   30.9% * * * * *
Fidelity Strategic FSDIX Income: Equity -4.2% * * * * *   27.6% * * * * *
Columbia Div Income LBSAX Income: Equity -1.2% * * * * *   29.5% * * * * *
Invesco Divers Dividend LCEIX Income: Equity -5.6% * * * * *   29.6% * * * * *
BlackRock Eq Dividend MDDVX Income: Equity -6.9% * * * * *   27.3% * * * * *
T. Rowe Equity Income PRFDX Income: Equity -4.9% * * * * *   31.0% * * * * *
Schwab Div Equity SWDSX Income: Equity 0.5% * * * * *   33.4% * * * * *
Vanguard Equity VEIPX Income: Equity -2.1% * * * * *   31.2% * * * * *
Lord Abbett Float Rate LFRAX Income: Float Rate -35.8% * * * * *   4.7% * * * * *
Calamos Global Growth CVLOX Income: Global 5.0% * * * * *   38.7% * * * * *
Loomis Global Eq A LGMAX Income: Global -6.5% * * * * *   31.3% * * * * *
Neuberger Berman Eq Inc NBHAX Income: Global -4.5% * * * * *   28.2% * * * * *
Thornburg Inv Income A TIBAX Income: Global -4.5% * * * * *   27.2% * * * * *
Am Century Target Date ARTOX Income: Multi -11.8% * * * * *   19.0% * * * * *
BlackRock Strat Inc Opp BASIX Income: Multi -32.2% * * * * *   5.3% * * * * *
Calamos Convertible A CCVIX Income: Multi -9.3% * * * * *   20.1% * * * * *
Invesco Convertible Y CNSDX Income: Multi -10.4% * * * * *   20.7% * * * * *
Fidelity Convertibles FCVSX Income: Multi -4.8% * * * * *   22.3% * * * * *
Goldman Sachs Strat Inc GSZAX Income: Multi -40.3% * * * * *   2.4% * * * * *
Inst: Forward Select KIFYX Income: Multi -6.9% * * * * *   27.4% * * * * *
Nuveen Preferred I NPSRX Income: Multi -17.1% * * * * *   13.0% * * * * *
Pimco Income P PONPX Income: Multi -32.2% * * * * *   5.4% * * * * *
Principal Preferred PPSIX Income: Multi -5.1% * * * * *   16.7% * * * * *
T. Rowe Global Bond PRSNX Income: Multi -27.3% * * * * *   7.8% * * * * *
T. Rowe Retire Balanced TRRIX Income: Multi -13.4% * * * * *   14.8% * * * * *
Vanguard LifeStrategy VASIX Income: Multi -18.1% * * * * *   14.5% * * * * *
Vanguard Target Retire VTINX Income: Multi -18.7% * * * * *   12.9% * * * * *
Vanguard Wellesley Adm VWIAX Income: Multi -14.2% * * * * *   18.4% * * * * *
Fidelity Muni FHIGX Income: Tax Exempt -28.9% * * * * *   7.6% * * * * *
Nuveen Amer Muni FLAAX Income: Tax Exempt -27.3% * * * * *   8.5% * * * * *
BlackRock Nat'l Muni MDNLX Income: Tax Exempt -33.6% * * * * *   4.7% * * * * *
T. Rowe Summit Muni PRINX Income: Tax Exempt -27.5% * * * * *   8.5% * * * * *
Vanguard LT Tax-Exempt VWLTX Income: Tax Exempt -28.2% * * * * *   8.4% * * * * *
Sound Mind Investing SMIFX Momentum -3.1% * * * * *   30.6% * * * * *
Grimaldi Sector NAVFX Sector Rotation 2.5% * * * * *   40.1% * * * * *
FundX Upgrader XCOR Momentum -3.5% * * * * *   41.0% * * * * *
Ibbotson Balanced BETFX Risk-Driven -7.4% * * * * *   23.8% * * * * *
Columbia Thermostat Z COTZX Risk-Driven -15.2% * * * * *   18.9% * * * * *
Dodge & Cox Balanced DODBX Risk-Driven -6.8% * * * * *   23.8% * * * * *
Fidelity Balanced FBALX Risk-Driven -0.1% * * * * *   30.2% * * * * *
Fidelity Puritan FPURX Risk-Driven -0.9% * * * * *   32.1% * * * * *
Janus Balanced JANBX Risk-Driven -2.4% * * * * *   29.0% * * * * *
Schwab Balanced SWOBX Risk-Driven -5.0% * * * * *   27.2% * * * * *
Vanguard Balanced VBIAX Risk-Driven -2.7% * * * * *   29.0% * * * * *
ValueLine AssetAlloc VLAAX Risk-Driven -10.6% * * * * *   26.7% * * * * *
Vanguard Wellesley Inv VWINX Risk-Driven -14.5% * * * * *   18.2% * * * * *
Vanguard LifeStrat Growth VASGX Risk-Driven -4.2% * * * * *   29.9% * * * * *
Vanguard Wellington Inv VWELX Risk-Driven -0.3% * * * * *   27.3% * * * * *
Vanguard STAR Inv VGSTX Risk-Driven -8.8% * * * * *   26.3% * * * * *
FPA Crescent FPACX Risk-Driven -6.5% * * * * *   21.9% * * * * *
WF Asset Allocation WFAIX Risk-Driven -2.6% * * * * *   30.2% * * * * *
Berkshire Hathaway Inc BRK.A Global Macro -15.4% * * * * *   30.7% * * * * *