The focus of this research is on the performance of portfolios constructed on an annual basis from stocks that make up the Dow Jones Industrial Average (DJIA)using a long-only minimum realized return small-basket portfolio (MinRet SBP)strategy. The MinRet SBP is formed each year using those stocks in the DJIA that had the lowest realized returns in the previous five-years with the weight constraint that no more than 20% of the portfolio can be invested in a single security. Over the 20-year period from 1996 through 2015, the MinRet SBP strategy generates a higher average annual total return and a lower risk per unit of return measure than the DJIA. Perhaps even more importantly, measures of downside risk support the enhanced out-of-sample performance of the actively managed MinRet SBP strategy.