Very interesting this 5-pack approach. Maybe I'd do a 10-pack just to have a backup for each of the 5 selected stocks, but still.

I've just backtested some 5-pack I did but instead of selecting the 5 biggest market cap for each of the selected sectors, I selected 5 stocks from different industries with high growth, high Sharpe ratio, high Sortino ratio, low drawdown and high worst year. This biggest risk is that these names have not necessarily proven themselves for more than 10 years and are not necessarily large caps and it's just a quick test based on historical returns, not potential future returns.

From TSX, this is what I ended up selecting. AQN, CJT, RPI-UN, CSU, BYD. Backtesting this selection on equal weight from Jan 2013 until Dec 2019, you get 38.62% CAGR, 12.06% stdev, best year 65.16%, worst year 13.81%, max drawdown -8.19%, Sharpe ratio 2.73, Sortino ratio 7.81.

Yup, Sharpe 2.73 and Sortino 7.81 on a 38.62% CAGR portfolio!

If you are wondering why I didn't include YTD with COVID crash, well it was just to have complete years, but COVID crash didn't really affect the portfolio except for a max drawdown of now -13.58%. Backtesting this selection on equal weight from Jan 2013 until Jun 2020, you get 39.34% CAGR, 14.23% stdev, best year 65.16%, worst year 13.81%, max drawdown -8.19%, Sharpe ratio 2.37, Sortino ratio 5.86. As expected, the Sortino ratio took a hit from the COVID crash. That's still solid returns.

All that being said, historical returns does not guarantee future returns. It was just to show one of the best combinations I've found so far on the TSX in a

__statistical point of view__ which is different than an

__investment analysis__ where you must do your due diligence to have a better idea on potential future returns.

Just to put things in perspective, that's AMZN as portfolio 1 in blue and my proposed 5-pack equal weight as portfolio 2 in red. See how stable it is.