| Sortino | Total Return, annualized | ||||||||||||||
| Recipe Name | ID | Category | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Group average | 2.4% | 1.1% | 1.1% | 1.3% | 1.7% | 1.5% | 10.3% | 7.3% | 6.7% | 7.9% | 9.2% | 9.7% | |||
| Adaptive Allocation A | t.aaaa | Adaptive | 1.3% | 0.4% | 1.1% | 1.2% | 1.3% | 1.6% | 10.0% | 4.3% | 7.5% | 7.6% | 7.8% | 10.6% | |
| Adaptive Allocation B | t.aaab | Adaptive | 1.0% | 0.4% | 1.0% | 1.2% | 1.3% | 1.6% | 8.4% | 3.8% | 7.1% | 7.6% | 8.0% | 10.8% | |
| Adaptive Allocation C | t.aaac | Adaptive | 0.9% | 0.3% | 1.0% | 1.2% | 1.3% | 1.6% | 7.8% | 3.5% | 6.9% | 7.5% | 7.9% | 10.7% | |
| Adaptive Allocation D | t.aaad | Adaptive | 1.3% | 0.7% | 0.4% | 0.8% | 1.4% | 1.5% | 11.7% | 6.0% | 3.5% | 5.9% | 9.0% | 11.6% | |
| Adaptive Allocation E | t.aaae | Adaptive | 1.5% | 0.7% | 1.0% | 1.1% | 1.3% | 1.5% | 12.2% | 6.8% | 7.8% | 7.5% | 8.6% | 11.4% | |
| Adaptive Allocation F | t.aaaf | Adaptive | 10.4% | 1.5% | 2.0% | 2.5% | 3.2% | 2.4% | 19.3% | 10.8% | 11.8% | 13.0% | 14.5% | 14.8% | |
| Active Combined Asset | t.acap | Momentum | -0.2% | 0.2% | 0.6% | 0.9% | 1.1% | 1.1% | -1.6% | 2.9% | 5.0% | 6.5% | 7.6% | 8.7% | |
| Minimum CdaR | t.cdar | Risk-Driven | 2.4% | 1.3% | 1.4% | 1.8% | 2.3% | 1.6% | 12.9% | 8.1% | 7.7% | 9.5% | 10.5% | 10.5% | |
| Minimum Correlation | t.coco | Correlation | 1.9% | 1.3% | 1.1% | 1.3% | 1.8% | 1.4% | 14.1% | 8.9% | 7.0% | 7.0% | 8.9% | 9.3% | |
| Minimum CvaR | t.cvar | Risk-Driven | 6.2% | 2.4% | 2.0% | 1.8% | 2.4% | 1.9% | 15.7% | 11.0% | 9.5% | 8.5% | 10.4% | 10.1% | |
| Defensive Bond | t.dbnd | Momentum | 25.4% | 3.5% | 1.9% | 1.9% | 11.3% | 5.7% | 4.8% | 5.1% | |||||
| Equal Weight With Cluster | t.dist | Correlation | 0.6% | 0.9% | 1.0% | 1.2% | 1.2% | 1.2% | 6.5% | 7.9% | 7.8% | 7.8% | 7.8% | 9.1% | |
| Dynamic Harry Browne | t.dyhb | Momentum | 3.5% | 1.2% | 0.6% | 0.6% | 1.1% | 1.6% | 13.0% | 6.6% | 3.5% | 3.1% | 5.0% | 7.7% | |
| Equal Risk Contribution | t.eqrc | Risk-Driven | 1.3% | 1.2% | 1.4% | 1.7% | 2.0% | 1.5% | 9.9% | 8.3% | 8.1% | 8.6% | 9.2% | 9.4% | |
| Equal Weight Portfolio | t.eqwt | Equal Weight | 0.7% | 0.9% | 1.0% | 1.2% | 1.4% | 0.9% | 8.7% | 8.5% | 8.3% | 8.8% | 9.8% | 8.6% | |
| Faber Rel Strength: Top 1 | t.frs1 | Momentum | 0.7% | 0.5% | 0.5% | 0.7% | 0.6% | 0.9% | 6.1% | 5.1% | 4.4% | 6.0% | 5.5% | 8.7% | |
| Faber Rel Strength: Top 2 | t.frs2 | Momentum | 0.2% | 0.1% | 0.2% | 0.7% | 0.8% | 0.9% | 2.2% | 2.2% | 2.5% | 5.6% | 6.1% | 7.7% | |
| Faber Rel Strength: Top 3 | t.frs3 | Momentum | 1.2% | 0.8% | 0.9% | 1.2% | 1.5% | 1.2% | 6.4% | 6.0% | 5.3% | 6.7% | 7.6% | 8.6% | |
| Faber Rel Strength: Top 4 | t.frs4 | Momentum | 0.1% | 0.4% | 0.5% | 0.8% | 1.0% | 1.0% | 1.6% | 3.3% | 3.0% | 4.1% | 5.0% | 6.5% | |
| Minimum Drawdown | t.loss | Risk-Driven | 3.3% | 2.4% | 1.5% | 1.8% | 2.3% | 1.6% | 14.5% | 11.1% | 8.1% | 8.8% | 10.2% | 9.8% | |
| Minimum Downside MAD | t.madd | Risk-Driven | 1.4% | 1.5% | 1.8% | 2.0% | 2.6% | 1.8% | 9.1% | 8.7% | 8.6% | 8.8% | 10.3% | 9.8% | |
| Minimum Mean Abs Deviation | t.madm | Risk-Driven | 1.4% | 1.5% | 1.8% | 2.0% | 2.6% | 1.8% | 9.1% | 8.7% | 8.6% | 8.9% | 10.3% | 9.8% | |
| Minimum Correlation A | t.mca1 | Risk-Driven | 2.3% | 1.6% | 1.5% | 1.6% | 1.8% | 1.5% | 13.6% | 9.0% | 8.1% | 7.9% | 8.5% | 9.0% | |
| Minimum Correlation B | t.mca2 | Risk-Driven | 1.4% | 1.2% | 1.4% | 1.6% | 1.8% | 1.4% | 9.9% | 8.0% | 7.9% | 8.1% | 8.5% | 8.9% | |
| Maximum Diversification | t.mdiv | Diversification | 1.9% | 1.3% | 1.1% | 1.4% | 2.0% | 1.6% | 12.1% | 8.5% | 6.8% | 7.4% | 9.2% | 9.5% | |
| Minimum Variance B | t.mva2 | Risk-Driven | 3.0% | 1.7% | 1.5% | 1.7% | 2.0% | 1.7% | 15.1% | 9.3% | 8.2% | 8.4% | 9.0% | 9.5% | |
| Minimum Variance C | t.mva3 | Risk-Driven | 2.4% | 1.5% | 1.6% | 2.0% | 2.4% | 1.9% | 14.4% | 9.2% | 8.6% | 9.6% | 10.6% | 10.5% | |
| Minimum Variance A | t.mvar | Risk-Driven | 2.0% | 1.7% | 1.8% | 2.1% | 2.6% | 1.8% | 12.8% | 10.0% | 8.9% | 9.2% | 10.4% | 9.9% | |
| Pure Momentum | t.pure | Momentum | 1.5% | 0.8% | 0.4% | 0.8% | 1.4% | 1.6% | 14.8% | 9.1% | 3.8% | 6.8% | 11.5% | 16.2% | |
| Quarterly Asset Rotation | t.qaro | Momentum | 3.6% | 2.1% | 0.9% | 0.8% | 0.8% | 0.6% | 20.7% | 9.9% | 6.0% | 5.1% | 4.9% | 4.5% | |
| Min Downside Deviation | t.risd | Risk-Driven | 2.7% | 2.1% | 2.0% | 2.0% | 2.5% | 1.7% | 13.8% | 10.8% | 9.4% | 9.0% | 10.2% | 9.7% | |
| Risk Parity Portfolio A | t.rpba | Risk-Driven | 0.7% | 0.9% | 1.1% | 1.3% | 1.6% | 1.1% | 8.3% | 8.0% | 8.0% | 8.9% | 10.1% | 9.2% | |
| Risk Parity With Cluster | t.rpcl | Risk-Driven | 0.6% | 0.9% | 1.1% | 1.2% | 1.3% | 1.4% | 6.1% | 7.1% | 7.3% | 7.0% | 7.5% | 9.0% | |
| Risk Parity Portfolio B | t.rsop | Risk-Driven | 0.7% | 0.8% | 1.0% | 1.3% | 1.6% | 1.1% | 7.9% | 8.0% | 8.0% | 8.8% | 9.9% | 9.0% | |
| Maximum Sharpe Portfolio | t.shar | Risk/Reward | 3.3% | 1.2% | 0.9% | 1.5% | 1.8% | 1.5% | 14.4% | 7.9% | 5.7% | 8.4% | 9.1% | 10.2% | |
| Maximum Sortino Portfolio | t.sort | Risk/Reward | 2.7% | 1.0% | 0.7% | 1.4% | 1.6% | 1.3% | 13.4% | 7.0% | 5.1% | 8.0% | 8.5% | 9.7% | |
| Quartile Sector Rotation | t.srqr | Sector Rotation | -0.4% | 0.1% | 0.3% | 0.7% | 1.2% | -10.2% | -0.1% | 2.8% | 10.8% | 17.7% | |||
| Rel Strength Sector Rotatn | t.srrs | Sector Rotation | 0.4% | 0.5% | 0.7% | 1.2% | 1.4% | 4.5% | 5.5% | 6.2% | 8.8% | 9.7% | |||
| Top 3 Sector Rotation | t.srt3 | Sector Rotation | 1.3% | 0.4% | 0.5% | 1.0% | 1.3% | 9.1% | 4.4% | 5.0% | 8.6% | 10.8% | |||
| Top 5 Sector Rotation | t.srt5 | Sector Rotation | 1.4% | 1.1% | 0.7% | 1.3% | 1.3% | 17.6% | 13.2% | 7.2% | 12.1% | 13.1% | |||
| Target Return Post-Modern | t.trdd | Target Return | 2.2% | 0.8% | 0.8% | 1.3% | 1.8% | 1.7% | 12.2% | 6.5% | 6.1% | 8.0% | 9.5% | 10.6% | |
| Target Return 12% | t.tret | Risk-Driven | 2.5% | 1.0% | 1.0% | 1.5% | 2.0% | 1.8% | 14.1% | 7.9% | 7.1% | 8.9% | 10.2% | 10.9% | |
| Target Risk 10% | t.tris | Risk-Driven | 1.4% | 0.6% | 0.5% | 0.9% | 1.1% | 1.2% | 10.9% | 5.6% | 3.8% | 6.2% | 6.7% | 8.2% | |