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.
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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% | * | * | * | * | * |