All Portfolios, ranked by M-squared

for period ending February 28, 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 -1.0% * * * * *   24.3% * * * * *
Industrial Metals DBB Global Asset Classes Commodities -7.5% * * * * *   15.1% * * * * *
Oil DBO Global Asset Classes Commodities -15.9% * * * * *   1.8% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad -12.8% * * * * *   5.4% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 16.8% * * * * *   39.1% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar -22.6% * * * * *   -3.0% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar -32.8% * * * * *   -4.6% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc -24.3% * * * * *   -2.2% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro -26.5% * * * * *   -2.0% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound -17.0% * * * * *   2.8% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen -18.2% * * * * *   -0.7% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index -5.8% * * * * *   9.3% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts -6.6% * * * * *   10.6% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP -2.1% * * * * *   23.0% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income -8.5% * * * * *   7.7% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 2.5% * * * * *   13.4% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income -11.8% * * * * *   5.6% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income -13.5% * * * * *   4.9% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income -20.8% * * * * *   -1.1% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income -9.7% * * * * *   6.8% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income -19.3% * * * * *   2.6% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income -1.2% * * * * *   9.7% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income -11.0% * * * * *   6.5% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income -11.1% * * * * *   6.0% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate -11.8% * * * * *   5.8% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate -11.9% * * * * *   5.8% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate -5.8% * * * * *   10.1% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate -9.0% * * * * *   9.5% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like -0.3% * * * * *   5.0% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term -15.6% * * * * *   2.2% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term -11.6% * * * * *   5.2% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core -2.0% * * * * *   15.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap -10.0% * * * * *   8.9% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro -15.3% * * * * *   2.8% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val -4.8% * * * * *   15.0% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap -12.5% * * * * *   6.2% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid -1.0% * * * * *   18.1% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap -2.1% * * * * *   17.3% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap   * * * * *   18.4% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro -1.2% * * * * *   19.8% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro -3.4% * * * * *   16.4% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val -5.5% * * * * *   15.7% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap -13.5% * * * * *   5.1% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap -8.7% * * * * *   12.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro -8.4% * * * * *   14.2% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val -9.1% * * * * *   11.5% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap -12.8% * * * * *   6.6% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro -13.2% * * * * *   5.7% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val -12.4% * * * * *   7.2% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate -8.3% * * * * *   13.9% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate -8.1% * * * * *   14.1% * * * * *
Indonesia EIDO Global Equities Asia and Australia -28.7% * * * * *   -25.0% * * * * *
New Zealand ENZL Global Equities Asia and Australia -20.1% * * * * *   -3.9% * * * * *
Philippines EPHE Global Equities Asia and Australia -22.1% * * * * *   -10.5% * * * * *
Australia EWA Global Equities Asia and Australia -14.2% * * * * *   4.0% * * * * *
Hong Kong EWH Global Equities Asia and Australia -10.0% * * * * *   12.3% * * * * *
Japan EWJ Global Equities Asia and Australia -17.0% * * * * *   1.4% * * * * *
Malaysia EWM Global Equities Asia and Australia -8.5% * * * * *   12.7% * * * * *
Singapore EWS Global Equities Asia and Australia 17.9% * * * * *   36.6% * * * * *
Taiwan EWT Global Equities Asia and Australia -6.4% * * * * *   13.3% * * * * *
S Korea EWY Global Equities Asia and Australia -24.2% * * * * *   -12.7% * * * * *
India INDY Global Equities Asia and Australia -23.0% * * * * *   -4.7% * * * * *
China MCHI Global Equities Asia and Australia 1.4% * * * * *   40.6% * * * * *
Thailand THD Global Equities Asia and Australia -19.6% * * * * *   -7.0% * * * * *
Vietnam VNM Global Equities Asia and Australia -23.4% * * * * *   -10.9% * * * * *
Poland EPOL Global Equities Europe -8.2% * * * * *   14.8% * * * * *
Sweden EWD Global Equities Europe -10.3% * * * * *   10.9% * * * * *
Germany EWG Global Equities Europe -2.0% * * * * *   20.6% * * * * *
Italy EWI Global Equities Europe -4.1% * * * * *   19.1% * * * * *
Belgium EWK Global Equities Europe -9.6% * * * * *   10.0% * * * * *
Switzerland EWL Global Equities Europe -8.7% * * * * *   12.8% * * * * *
Netherlands EWN Global Equities Europe -16.6% * * * * *   0.8% * * * * *
Austria EWO Global Equities Europe 0.2% * * * * *   24.3% * * * * *
Spain EWP Global Equities Europe -0.8% * * * * *   28.6% * * * * *
France EWQ Global Equities Europe -15.9% * * * * *   1.4% * * * * *
UK EWU Global Equities Europe -2.2% * * * * *   17.7% * * * * *
EMU EZU Global Equities Europe -10.0% * * * * *   9.8% * * * * *
Greece GREK Global Equities Europe -9.4% * * * * *   11.0% * * * * *
Norway NORW Global Equities Europe -9.7% * * * * *   10.8% * * * * *
Israel EIS Global Equities Mideast and Africa 0.8% * * * * *   26.0% * * * * *
S Africa EZA Global Equities Mideast and Africa 1.7% * * * * *   27.9% * * * * *
Turkey TUR Global Equities Mideast and Africa -19.1% * * * * *   -7.1% * * * * *
Canada EWC Global Equities North America -5.7% * * * * *   14.7% * * * * *
Mexico EWW Global Equities North America -28.0% * * * * *   -19.4% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America -1.3% * * * * *   17.5% * * * * *
Argentina ARGT Global Equities South America 13.5% * * * * *   68.6% * * * * *
Chile ECH Global Equities South America -8.8% * * * * *   11.9% * * * * *
Peru EPU Global Equities South America -2.4% * * * * *   23.1% * * * * *
Brazil EWZ Global Equities South America -26.3% * * * * *   -21.1% * * * * *
Clean Energy ICLN Global Sectors Clean Energy -23.9% * * * * *   -18.8% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary -4.6% * * * * *   15.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples -8.7% * * * * *   10.2% * * * * *
Energy IXC Global Sectors Energy -12.5% * * * * *   6.3% * * * * *
Financials IXG Global Sectors Financials 6.2% * * * * *   30.5% * * * * *
Healthcare IXJ Global Sectors Healthcare -14.3% * * * * *   3.9% * * * * *
Industrials EXI Global Sectors Industrials -8.0% * * * * *   11.7% * * * * *
Infrastructure IGF Global Sectors Infrastructure 0.4% * * * * *   21.1% * * * * *
Materials MXI Global Sectors Materials -16.4% * * * * *   0.5% * * * * *
Technology IXN Global Sectors Technology -8.1% * * * * *   12.7% * * * * *
Telecom IXP Global Sectors Telecommunications 7.9% * * * * *   27.6% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry -16.7% * * * * *   -0.3% * * * * *
Global Utilities JXI Global Sectors Utilities -1.5% * * * * *   24.0% * * * * *