All Portfolios, ranked by M-squared

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

M-Squared is the Modigliani risk-adjusted performance, shown as an annual total return percent. It is derived from the Sharpe ratio, but M-Squared is in units of percent return. M-Squared inputs include standard deviation, the monthly total return, the risk-free rate (3-month T-bill), and the return of a benchmark equity portfolio (the S&P 500, represented by the SPY exchange-traded fund).

Note: Access to the sortable list for all years (including 3-, 5-, 10-, 15-, and 20-year metrics) is only available to paid subscribers. Subscribe to view the complete version of this Ingredient Summary page.

Sort by any column by clicking on the gray column heading.

        M-Squared   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 0.8% * * * * *   14.4% * * * * *
Industrial Metals DBB Global Asset Classes Commodities -13.6% * * * * *   0.7% * * * * *
Oil DBO Global Asset Classes Commodities -20.3% * * * * *   -12.6% * * * * *
Invesco Commodity DBC Global Asset Classes Commodities: Broad -16.3% * * * * *   -1.1% * * * * *
SPDR Gold Shares GLD Global Asset Classes Commodities: Prec Metals 26.0% * * * * *   41.8% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar -16.2% * * * * *   0.1% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar -15.6% * * * * *   1.7% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 0.2% * * * * *   13.0% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro -0.0% * * * * *   11.8% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 2.2% * * * * *   11.8% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen -3.9% * * * * *   11.2% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index -22.9% * * * * *   -3.6% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 3.2% * * * * *   16.3% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP -6.5% * * * * *   10.2% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income -0.1% * * * * *   8.7% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 9.7% * * * * *   13.0% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income -18.2% * * * * *   1.4% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income -7.3% * * * * *   6.1% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income -0.9% * * * * *   12.3% * * * * *
VanEck Intl Hi Yield IHY Global Asset Classes Fixed Income 10.8% * * * * *   13.4% * * * * *
VanEck Intermed Muni ITM Global Asset Classes Fixed Income -17.4% * * * * *   2.0% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 5.8% * * * * *   10.3% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income -6.9% * * * * *   6.1% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income -7.1% * * * * *   5.7% * * * * *
U.S. Agg Bond Market AGG Global Asset Classes Fixed Income: Aggregate -6.4% * * * * *   6.2% * * * * *
U.S. Total Bond Market BND Benchmark Benchmark -6.5% * * * * *   6.1% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 1.4% * * * * *   10.7% * * * * *
Invesco Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate -7.9% * * * * *   6.6% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 3.2% * * * * *   4.6% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term -14.6% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term -2.4% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 3.7% * * * * *   16.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 4.9% * * * * *   17.7% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro -3.8% * * * * *   11.3% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 13.8% * * * * *   24.4% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 7.2% * * * * *   22.1% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 0.0% * * * * *   15.5% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap -0.7% * * * * *   15.0% * * * * *
S&P 500 SPY Benchmark Benchmark 0.0% * * * * *   14.9% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro -0.9% * * * * *   17.0% * * * * *
Inveso QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro -1.3% * * * * *   15.8% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val -2.3% * * * * *   13.5% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap -6.0% * * * * *   13.3% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap -2.3% * * * * *   15.0% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 2.0% * * * * *   26.2% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val -4.9% * * * * *   11.2% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap -8.7% * * * * *   7.6% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro -7.6% * * * * *   9.8% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val -9.9% * * * * *   5.5% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate -5.4% * * * * *   10.7% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate -5.7% * * * * *   10.4% * * * * *
Indonesia EIDO Global Equities Asia and Australia -15.3% * * * * *   -4.6% * * * * *
New Zealand ENZL Global Equities Asia and Australia -12.1% * * * * *   2.7% * * * * *
Philippines EPHE Global Equities Asia and Australia -3.8% * * * * *   14.6% * * * * *
Australia EWA Global Equities Asia and Australia -5.3% * * * * *   11.2% * * * * *
Hong Kong EWH Global Equities Asia and Australia 8.5% * * * * *   35.3% * * * * *
Japan EWJ Global Equities Asia and Australia 0.3% * * * * *   12.5% * * * * *
Malaysia EWM Global Equities Asia and Australia -6.1% * * * * *   10.4% * * * * *
Singapore EWS Global Equities Asia and Australia 32.8% * * * * *   41.4% * * * * *
Taiwan EWT Global Equities Asia and Australia -6.7% * * * * *   9.4% * * * * *
S Korea EWY Global Equities Asia and Australia -7.2% * * * * *   11.2% * * * * *
India INDY Global Equities Asia and Australia -13.4% * * * * *   1.5% * * * * *
China MCHI Global Equities Asia and Australia 4.1% * * * * *   34.4% * * * * *
Thailand THD Global Equities Asia and Australia -15.1% * * * * *   -3.6% * * * * *
Vietnam VNM Global Equities Asia and Australia -4.2% * * * * *   13.0% * * * * *
Poland EPOL Global Equities Europe 9.5% * * * * *   39.0% * * * * *
Sweden EWD Global Equities Europe -1.7% * * * * *   16.2% * * * * *
Germany EWG Global Equities Europe 24.6% * * * * *   40.5% * * * * *
Italy EWI Global Equities Europe 22.4% * * * * *   38.7% * * * * *
Belgium EWK Global Equities Europe 6.7% * * * * *   22.7% * * * * *
Switzerland EWL Global Equities Europe -0.5% * * * * *   15.8% * * * * *
Netherlands EWN Global Equities Europe -5.1% * * * * *   10.9% * * * * *
Austria EWO Global Equities Europe 20.3% * * * * *   42.4% * * * * *
Spain EWP Global Equities Europe 24.0% * * * * *   46.3% * * * * *
France EWQ Global Equities Europe 1.5% * * * * *   16.7% * * * * *
UK EWU Global Equities Europe 5.7% * * * * *   18.6% * * * * *
EMU EZU Global Equities Europe 10.0% * * * * *   25.2% * * * * *
Greece GREK Global Equities Europe 21.4% * * * * *   54.5% * * * * *
Norway NORW Global Equities Europe 2.4% * * * * *   19.3% * * * * *
Israel EIS Global Equities Mideast and Africa 27.4% * * * * *   58.4% * * * * *
S Africa EZA Global Equities Mideast and Africa 11.3% * * * * *   32.2% * * * * *
Turkey TUR Global Equities Mideast and Africa -26.0% * * * * *   -21.7% * * * * *
Canada EWC Global Equities North America 12.0% * * * * *   27.1% * * * * *
Mexico EWW Global Equities North America -4.7% * * * * *   12.4% * * * * *
SPDR S&P 1500 SPTM Global Equities North America -0.8% * * * * *   14.4% * * * * *
Argentina ARGT Global Equities South America 14.5% * * * * *   51.0% * * * * *
Chile ECH Global Equities South America 8.7% * * * * *   24.6% * * * * *
Peru EPU Global Equities South America 12.3% * * * * *   27.0% * * * * *
Brazil EWZ Global Equities South America -6.3% * * * * *   12.4% * * * * *
Clean Energy ICLN Global Sectors Clean Energy -13.1% * * * * *   0.4% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 1.8% * * * * *   18.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples -2.8% * * * * *   11.4% * * * * *
Energy IXC Global Sectors Energy -14.6% * * * * *   -1.6% * * * * *
Financials IXG Global Sectors Financials 18.7% * * * * *   33.4% * * * * *
Healthcare IXJ Global Sectors Healthcare -19.5% * * * * *   -5.8% * * * * *
Industrials EXI Global Sectors Industrials 7.9% * * * * *   24.2% * * * * *
Infrastructure IGF Global Sectors Infrastructure 19.6% * * * * *   27.7% * * * * *
Materials MXI Global Sectors Materials -12.2% * * * * *   2.6% * * * * *
Technology IXN Global Sectors Technology -5.1% * * * * *   12.0% * * * * *
Telecom IXP Global Sectors Telecommunications 10.1% * * * * *   28.2% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry -18.8% * * * * *   -5.0% * * * * *
Global Utilities JXI Global Sectors Utilities 10.7% * * * * *   26.9% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark -0.4% * * * * *   11.6% * * * * *