| Historical Return | Total Return, annualized | ||||||||||||||
| Recipe Name | ID | Category | 2015 | 2016 | 2017 | 2018 | 2019 | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Group average | -5.0% | 8.0% | 17.5% | -3.0% | 16.0% | 10.3% | 7.3% | 6.7% | 7.9% | 9.2% | 9.7% | ||||
| Adaptive Allocation A | t.aaaa | Adaptive | -6.9% | 18.7% | 19.0% | -5.4% | 6.7% | 10.0% | 4.3% | 7.5% | 7.6% | 7.8% | 10.6% | ||
| Adaptive Allocation B | t.aaab | Adaptive | -7.9% | 17.3% | 20.5% | -7.5% | 7.2% | 8.4% | 3.8% | 7.1% | 7.6% | 8.0% | 10.8% | ||
| Adaptive Allocation C | t.aaac | Adaptive | -7.9% | 17.5% | 20.2% | -7.7% | 7.0% | 7.8% | 3.5% | 6.9% | 7.5% | 7.9% | 10.7% | ||
| Adaptive Allocation D | t.aaad | Adaptive | -8.4% | -1.2% | 17.6% | -5.2% | 15.3% | 11.7% | 6.0% | 3.5% | 5.9% | 9.0% | 11.6% | ||
| Adaptive Allocation E | t.aaae | Adaptive | -11.9% | 16.5% | 18.5% | -3.2% | 11.4% | 12.2% | 6.8% | 7.8% | 7.5% | 8.6% | 11.4% | ||
| Adaptive Allocation F | t.aaaf | Adaptive | 0.8% | 15.4% | 19.2% | 0.1% | 14.5% | 19.3% | 10.8% | 11.8% | 13.0% | 14.5% | 14.8% | ||
| Active Combined Asset | t.acap | Momentum | -1.7% | 8.5% | 11.1% | -6.2% | 22.6% | -1.6% | 2.9% | 5.0% | 6.5% | 7.6% | 8.7% | ||
| Minimum CdaR | t.cdar | Risk-Driven | -7.0% | 8.4% | 22.1% | -4.3% | 16.1% | 12.9% | 8.1% | 7.7% | 9.5% | 10.5% | 10.5% | ||
| Minimum Correlation | t.coco | Correlation | -3.4% | 5.0% | 13.4% | -6.1% | 21.7% | 14.1% | 8.9% | 7.0% | 7.0% | 8.9% | 9.3% | ||
| Minimum CvaR | t.cvar | Risk-Driven | 0.4% | 5.6% | 15.9% | 3.2% | 16.6% | 15.7% | 11.0% | 9.5% | 8.5% | 10.4% | 10.1% | ||
| Defensive Bond | t.dbnd | Momentum | -0.9% | 9.2% | 1.8% | 1.6% | 7.9% | 11.3% | 5.7% | 4.8% | 5.1% | ||||
| Equal Weight With Cluster | t.dist | Correlation | -3.6% | 9.0% | 16.4% | -3.0% | 24.8% | 6.5% | 7.9% | 7.8% | 7.8% | 7.8% | 9.1% | ||
| Dynamic Harry Browne | t.dyhb | Momentum | -8.9% | -1.0% | 6.0% | -2.0% | 11.6% | 13.0% | 6.6% | 3.5% | 3.1% | 5.0% | 7.7% | ||
| Equal Risk Contribution | t.eqrc | Risk-Driven | -3.0% | 9.5% | 18.3% | -3.8% | 20.7% | 9.9% | 8.3% | 8.1% | 8.6% | 9.2% | 9.4% | ||
| Equal Weight Portfolio | t.eqwt | Equal Weight | -2.3% | 9.3% | 20.1% | -6.2% | 25.0% | 8.7% | 8.5% | 8.3% | 8.8% | 9.8% | 8.6% | ||
| Faber Rel Strength: Top 1 | t.frs1 | Momentum | -4.3% | 2.8% | 15.8% | -6.4% | 18.4% | 6.1% | 5.1% | 4.4% | 6.0% | 5.5% | 8.7% | ||
| Faber Rel Strength: Top 2 | t.frs2 | Momentum | -9.4% | 6.6% | 16.5% | -9.1% | 12.4% | 2.2% | 2.2% | 2.5% | 5.6% | 6.1% | 7.7% | ||
| Faber Rel Strength: Top 3 | t.frs3 | Momentum | -3.3% | 7.1% | 15.6% | -2.4% | 13.1% | 6.4% | 6.0% | 5.3% | 6.7% | 7.6% | 8.6% | ||
| Faber Rel Strength: Top 4 | t.frs4 | Momentum | -2.7% | 4.6% | 11.1% | -2.2% | 10.3% | 1.6% | 3.3% | 3.0% | 4.1% | 5.0% | 6.5% | ||
| Minimum Drawdown | t.loss | Risk-Driven | -1.8% | 4.5% | 17.5% | 3.2% | 19.2% | 14.5% | 11.1% | 8.1% | 8.8% | 10.2% | 9.8% | ||
| Minimum Downside MAD | t.madd | Risk-Driven | -4.0% | 10.6% | 18.5% | -1.7% | 20.4% | 9.1% | 8.7% | 8.6% | 8.8% | 10.3% | 9.8% | ||
| Minimum Mean Abs Deviation | t.madm | Risk-Driven | -4.0% | 10.6% | 18.5% | -1.7% | 20.4% | 9.1% | 8.7% | 8.6% | 8.9% | 10.3% | 9.8% | ||
| Minimum Correlation A | t.mca1 | Risk-Driven | -3.9% | 7.7% | 16.2% | -3.4% | 19.9% | 13.6% | 9.0% | 8.1% | 7.9% | 8.5% | 9.0% | ||
| Minimum Correlation B | t.mca2 | Risk-Driven | -3.8% | 9.4% | 18.0% | -4.1% | 19.4% | 9.9% | 8.0% | 7.9% | 8.1% | 8.5% | 8.9% | ||
| Maximum Diversification | t.mdiv | Diversification | -3.8% | 5.6% | 13.9% | -4.1% | 20.6% | 12.1% | 8.5% | 6.8% | 7.4% | 9.2% | 9.5% | ||
| Minimum Variance B | t.mva2 | Risk-Driven | -3.8% | 8.1% | 16.4% | -2.3% | 19.0% | 15.1% | 9.3% | 8.2% | 8.4% | 9.0% | 9.5% | ||
| Minimum Variance C | t.mva3 | Risk-Driven | -2.0% | 9.5% | 17.8% | -1.8% | 18.5% | 14.4% | 9.2% | 8.6% | 9.6% | 10.6% | 10.5% | ||
| Minimum Variance A | t.mvar | Risk-Driven | -4.9% | 9.8% | 17.6% | -0.9% | 21.3% | 12.8% | 10.0% | 8.9% | 9.2% | 10.4% | 9.9% | ||
| Pure Momentum | t.pure | Momentum | -10.4% | -6.9% | 20.0% | 7.2% | 9.6% | 14.8% | 9.1% | 3.8% | 6.8% | 11.5% | 16.2% | ||
| Quarterly Asset Rotation | t.qaro | Momentum | -9.4% | 2.4% | 13.4% | -0.8% | 18.6% | 20.7% | 9.9% | 6.0% | 5.1% | 4.9% | 4.5% | ||
| Min Downside Deviation | t.risd | Risk-Driven | -5.5% | 10.2% | 17.3% | 0.8% | 20.2% | 13.8% | 10.8% | 9.4% | 9.0% | 10.2% | 9.7% | ||
| Risk Parity Portfolio A | t.rpba | Risk-Driven | -2.0% | 9.3% | 20.2% | -4.4% | 22.2% | 8.3% | 8.0% | 8.0% | 8.9% | 10.1% | 9.2% | ||
| Risk Parity With Cluster | t.rpcl | Risk-Driven | -5.2% | 10.8% | 17.7% | -3.3% | 20.5% | 6.1% | 7.1% | 7.3% | 7.0% | 7.5% | 9.0% | ||
| Risk Parity Portfolio B | t.rsop | Risk-Driven | -2.4% | 9.4% | 20.0% | -5.0% | 23.1% | 7.9% | 8.0% | 8.0% | 8.8% | 9.9% | 9.0% | ||
| Maximum Sharpe Portfolio | t.shar | Risk/Reward | -12.0% | 5.3% | 13.8% | -1.1% | 14.4% | 14.4% | 7.9% | 5.7% | 8.4% | 9.1% | 10.2% | ||
| Maximum Sortino Portfolio | t.sort | Risk/Reward | -12.3% | 4.1% | 13.5% | 0.0% | 12.3% | 13.4% | 7.0% | 5.1% | 8.0% | 8.5% | 9.7% | ||
| Quartile Sector Rotation | t.srqr | Sector Rotation | -9.7% | 16.8% | 56.7% | -2.9% | -13.3% | -10.2% | -0.1% | 2.8% | 10.8% | 17.7% | |||
| Rel Strength Sector Rotatn | t.srrs | Sector Rotation | -4.5% | 10.3% | 19.8% | -5.6% | 19.2% | 4.5% | 5.5% | 6.2% | 8.8% | 9.7% | |||
| Top 3 Sector Rotation | t.srt3 | Sector Rotation | 5.5% | 10.5% | 18.0% | -2.8% | 6.5% | 9.1% | 4.4% | 5.0% | 8.6% | 10.8% | |||
| Top 5 Sector Rotation | t.srt5 | Sector Rotation | 0.8% | -1.4% | 19.4% | -2.8% | 23.4% | 17.6% | 13.2% | 7.2% | 12.1% | 13.1% | |||
| Target Return Post-Modern | t.trdd | Target Return | -7.9% | 8.1% | 16.3% | -6.1% | 17.2% | 12.2% | 6.5% | 6.1% | 8.0% | 9.5% | 10.6% | ||
| Target Return 12% | t.tret | Risk-Driven | -6.5% | 9.2% | 16.7% | -7.3% | 21.2% | 14.1% | 7.9% | 7.1% | 8.9% | 10.2% | 10.9% | ||
| Target Risk 10% | t.tris | Risk-Driven | -8.7% | -0.0% | 15.0% | -3.6% | 9.7% | 10.9% | 5.6% | 3.8% | 6.2% | 6.7% | 8.2% | ||