All Portfolios, ranked by Downside Deviation

for period ending June 30, 2025

More ways to view this list of Portfolio Ingredients:
Ingredient 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, Treynor Ratio
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta
by Peer Group: Global Asset Classes, Global Equities, Global Sectors

Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.

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Downside Deviation vs. Annual Return
● Portfolio Ingredients: All Portfolios ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

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        Downside Deviation   Total Return, annualized
Ingredient Name ID Peer Group 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  
   
Agriculture DBA Global Asset Classes Commodities 5.8% * * * * *   14.4% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 10.4% * * * * *   0.7% * * * * *
Oil DBO Global Asset Classes Commodities 16.6% * * * * *   -12.6% * * * * *
Invesco Commodity DBC Global Asset Classes Commodities: Broad 9.5% * * * * *   -1.1% * * * * *
SPDR Gold Shares GLD Global Asset Classes Commodities: Prec Metals 4.8% * * * * *   41.8% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 7.1% * * * * *   0.1% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 4.0% * * * * *   1.7% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 4.6% * * * * *   13.0% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 4.4% * * * * *   11.8% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 4.3% * * * * *   11.8% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 8.3% * * * * *   11.2% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 5.6% * * * * *   -3.6% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 5.1% * * * * *   16.3% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 10.6% * * * * *   10.2% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 3.1% * * * * *   8.7% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 2.3% * * * * *   13.0% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 3.2% * * * * *   1.4% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 4.5% * * * * *   6.1% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 6.2% * * * * *   12.3% * * * * *
VanEck Intl Hi Yield IHY Global Asset Classes Fixed Income 2.6% * * * * *   13.4% * * * * *
VanEck Intermed Muni ITM Global Asset Classes Fixed Income 3.0% * * * * *   2.0% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 2.1% * * * * *   10.3% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 3.7% * * * * *   6.1% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 2.7% * * * * *   5.7% * * * * *
U.S. Agg Bond Market AGG Global Asset Classes Fixed Income: Aggregate 3.3% * * * * *   6.2% * * * * *
U.S. Total Bond Market BND Benchmark Benchmark 3.2% * * * * *   6.1% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 3.9% * * * * *   10.7% * * * * *
Invesco Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 7.3% * * * * *   6.6% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 0.0% * * * * *   4.6% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 9.3% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 0.7% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 5.8% * * * * *   16.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 7.1% * * * * *   17.7% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 8.6% * * * * *   11.3% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 6.5% * * * * *   24.4% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 8.5% * * * * *   22.1% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 7.7% * * * * *   15.5% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 8.0% * * * * *   15.0% * * * * *
S&P 500 SPY Benchmark Benchmark 7.2% * * * * *   14.9% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 10.9% * * * * *   17.0% * * * * *
Inveso QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 9.6% * * * * *   15.8% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 9.2% * * * * *   13.5% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 14.8% * * * * *   13.3% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 10.4% * * * * *   15.0% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 14.2% * * * * *   26.2% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 9.9% * * * * *   11.2% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 13.6% * * * * *   7.6% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 14.9% * * * * *   9.8% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 13.0% * * * * *   5.5% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 10.6% * * * * *   10.7% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 10.8% * * * * *   10.4% * * * * *
Indonesia EIDO Global Equities Asia and Australia 16.8% * * * * *   -4.6% * * * * *
New Zealand ENZL Global Equities Asia and Australia 9.9% * * * * *   2.7% * * * * *
Philippines EPHE Global Equities Asia and Australia 12.9% * * * * *   14.6% * * * * *
Australia EWA Global Equities Asia and Australia 12.3% * * * * *   11.2% * * * * *
Hong Kong EWH Global Equities Asia and Australia 7.5% * * * * *   35.3% * * * * *
Japan EWJ Global Equities Asia and Australia 6.0% * * * * *   12.5% * * * * *
Malaysia EWM Global Equities Asia and Australia 11.5% * * * * *   10.4% * * * * *
Singapore EWS Global Equities Asia and Australia 5.3% * * * * *   41.4% * * * * *
Taiwan EWT Global Equities Asia and Australia 8.0% * * * * *   9.4% * * * * *
S Korea EWY Global Equities Asia and Australia 14.0% * * * * *   11.2% * * * * *
India INDY Global Equities Asia and Australia 8.6% * * * * *   1.5% * * * * *
China MCHI Global Equities Asia and Australia 9.9% * * * * *   34.4% * * * * *
Thailand THD Global Equities Asia and Australia 12.3% * * * * *   -3.6% * * * * *
Vietnam VNM Global Equities Asia and Australia 9.1% * * * * *   13.0% * * * * *
Poland EPOL Global Equities Europe 12.3% * * * * *   39.0% * * * * *
Sweden EWD Global Equities Europe 11.2% * * * * *   16.2% * * * * *
Germany EWG Global Equities Europe 6.5% * * * * *   40.5% * * * * *
Italy EWI Global Equities Europe 6.8% * * * * *   38.7% * * * * *
Belgium EWK Global Equities Europe 8.4% * * * * *   22.7% * * * * *
Switzerland EWL Global Equities Europe 8.7% * * * * *   15.8% * * * * *
Netherlands EWN Global Equities Europe 9.9% * * * * *   10.9% * * * * *
Austria EWO Global Equities Europe 8.7% * * * * *   42.4% * * * * *
Spain EWP Global Equities Europe 8.4% * * * * *   46.3% * * * * *
France EWQ Global Equities Europe 8.8% * * * * *   16.7% * * * * *
UK EWU Global Equities Europe 7.0% * * * * *   18.6% * * * * *
EMU EZU Global Equities Europe 7.9% * * * * *   25.2% * * * * *
Greece GREK Global Equities Europe 13.2% * * * * *   54.5% * * * * *
Norway NORW Global Equities Europe 6.9% * * * * *   19.3% * * * * *
Israel EIS Global Equities Mideast and Africa 9.7% * * * * *   58.4% * * * * *
S Africa EZA Global Equities Mideast and Africa 10.8% * * * * *   32.2% * * * * *
Turkey TUR Global Equities Mideast and Africa 13.8% * * * * *   -21.7% * * * * *
Canada EWC Global Equities North America 7.6% * * * * *   27.1% * * * * *
Mexico EWW Global Equities North America 9.7% * * * * *   12.4% * * * * *
SPDR S&P 1500 SPTM Global Equities North America 7.5% * * * * *   14.4% * * * * *
Argentina ARGT Global Equities South America 11.6% * * * * *   51.0% * * * * *
Chile ECH Global Equities South America 7.8% * * * * *   24.6% * * * * *
Peru EPU Global Equities South America 6.0% * * * * *   27.0% * * * * *
Brazil EWZ Global Equities South America 15.6% * * * * *   12.4% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 14.7% * * * * *   0.4% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 8.4% * * * * *   18.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 7.6% * * * * *   11.4% * * * * *
Energy IXC Global Sectors Energy 14.5% * * * * *   -1.6% * * * * *
Financials IXG Global Sectors Financials 6.3% * * * * *   33.4% * * * * *
Healthcare IXJ Global Sectors Healthcare 9.5% * * * * *   -5.8% * * * * *
Industrials EXI Global Sectors Industrials 8.4% * * * * *   24.2% * * * * *
Infrastructure IGF Global Sectors Infrastructure 6.0% * * * * *   27.7% * * * * *
Materials MXI Global Sectors Materials 10.9% * * * * *   2.6% * * * * *
Technology IXN Global Sectors Technology 10.1% * * * * *   12.0% * * * * *
Telecom IXP Global Sectors Telecommunications 7.4% * * * * *   28.2% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 10.2% * * * * *   -5.0% * * * * *
Global Utilities JXI Global Sectors Utilities 10.0% * * * * *   26.9% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 5.1% * * * * *   11.6% * * * * *