All Portfolios, ranked by Maximum Drawdown

for period ending December 31, 2024

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

Maximum Drawdown is the largest percentage drop in portfolio value over the last 1, 3, 5, 10, 15, and 20 years. This includes dividends and splits.

Note: This Free subscription only includes access to the 1-year data. Subscribe for full access to 3-, 5-, 10-, 15-, and 20-year metrics. For each Portfolio Recipe, get access to investable allocations, sortable lists, and clickable scatterplots.

Maximum Drawdown vs. Annual Return
● All Ingredients ● S&P 500 (SPY) ● U.S. Bonds (BND) ● Balanced (60% Equity / 40% Bonds)

Use the table below to compare the performance of all the portfolios in this peer group. You may sort by any column by clicking on the column headings in the gray row.

        Maximum Drawdown   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 5.5% * * * * *   33.5% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 9.5% * * * * *   7.9% * * * * *
Oil DBO Global Asset Classes Commodities 11.9% * * * * *   7.9% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 5.3% * * * * *   2.2% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 4.5% * * * * *   26.7% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 10.1% * * * * *   -7.7% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 5.8% * * * * *   -6.0% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 6.8% * * * * *   -7.5% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 6.6% * * * * *   -4.2% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 5.7% * * * * *   1.4% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 8.8% * * * * *   -10.9% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 3.3% * * * * *   13.5% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 7.3% * * * * *   6.5% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 6.2% * * * * *   22.7% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 2.7% * * * * *   3.5% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 1.3% * * * * *   12.0% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 1.7% * * * * *   4.9% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 4.6% * * * * *   -0.6% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 7.6% * * * * *   -6.5% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 3.5% * * * * *   3.5% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 2.2% * * * * *   0.7% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 1.3% * * * * *   7.7% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 3.6% * * * * *   1.3% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 3.0% * * * * *   1.7% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 3.1% * * * * *   1.3% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 3.1% * * * * *   1.4% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 2.9% * * * * *   5.5% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 6.3% * * * * *   2.5% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like   * * * * *   5.2% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 9.7% * * * * *   -8.1% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 0.6% * * * * *   3.9% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 3.6% * * * * *   17.5% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 5.1% * * * * *   7.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 8.4% * * * * *   3.5% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 9.4% * * * * *   1.5% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 7.2% * * * * *   5.4% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 8.5% * * * * *   1.5% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 4.2% * * * * *   24.3% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 4.4% * * * * *   23.5% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 4.0% * * * * *   24.9% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 4.2% * * * * *   33.1% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 4.4% * * * * *   25.6% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 6.9% * * * * *   14.2% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 8.0% * * * * *   13.6% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 7.1% * * * * *   15.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 6.2% * * * * *   21.9% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 7.3% * * * * *   12.9% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 8.4% * * * * *   11.4% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 8.4% * * * * *   15.0% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 8.5% * * * * *   7.6% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 8.3% * * * * *   4.4% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 8.4% * * * * *   4.8% * * * * *
Indonesia EIDO Global Equities Asia and Australia 16.6% * * * * *   -12.9% * * * * *
New Zealand ENZL Global Equities Asia and Australia 7.3% * * * * *   -4.9% * * * * *
Philippines EPHE Global Equities Asia and Australia 13.3% * * * * *   -1.4% * * * * *
Australia EWA Global Equities Asia and Australia 10.5% * * * * *   1.6% * * * * *
Hong Kong EWH Global Equities Asia and Australia 8.9% * * * * *   0.0% * * * * *
Japan EWJ Global Equities Asia and Australia 5.7% * * * * *   7.0% * * * * *
Malaysia EWM Global Equities Asia and Australia 9.0% * * * * *   19.5% * * * * *
Singapore EWS Global Equities Asia and Australia 3.6% * * * * *   22.1% * * * * *
Taiwan EWT Global Equities Asia and Australia 3.1% * * * * *   16.1% * * * * *
S Korea EWY Global Equities Asia and Australia 22.3% * * * * *   -20.5% * * * * *
India INDY Global Equities Asia and Australia 9.6% * * * * *   3.5% * * * * *
China MCHI Global Equities Asia and Australia 7.1% * * * * *   17.7% * * * * *
Thailand THD Global Equities Asia and Australia 11.7% * * * * *   -2.2% * * * * *
Vietnam VNM Global Equities Asia and Australia 17.4% * * * * *   -11.1% * * * * *
Poland EPOL Global Equities Europe 12.3% * * * * *   -2.5% * * * * *
Sweden EWD Global Equities Europe 14.0% * * * * *   -3.9% * * * * *
Germany EWG Global Equities Europe 6.0% * * * * *   9.8% * * * * *
Italy EWI Global Equities Europe 6.7% * * * * *   10.3% * * * * *
Belgium EWK Global Equities Europe 11.3% * * * * *   0.2% * * * * *
Switzerland EWL Global Equities Europe 13.0% * * * * *   -2.8% * * * * *
Netherlands EWN Global Equities Europe 11.8% * * * * *   1.7% * * * * *
Austria EWO Global Equities Europe 9.4% * * * * *   4.1% * * * * *
Spain EWP Global Equities Europe 9.7% * * * * *   5.8% * * * * *
France EWQ Global Equities Europe 11.3% * * * * *   -5.6% * * * * *
UK EWU Global Equities Europe 7.8% * * * * *   6.8% * * * * *
EMU EZU Global Equities Europe 9.0% * * * * *   2.3% * * * * *
Greece GREK Global Equities Europe 10.0% * * * * *   9.5% * * * * *
Norway NORW Global Equities Europe 9.5% * * * * *   -2.5% * * * * *
Israel EIS Global Equities Mideast and Africa 7.4% * * * * *   34.5% * * * * *
S Africa EZA Global Equities Mideast and Africa 12.4% * * * * *   7.3% * * * * *
Turkey TUR Global Equities Mideast and Africa 20.2% * * * * *   12.9% * * * * *
Canada EWC Global Equities North America 5.6% * * * * *   12.4% * * * * *
Mexico EWW Global Equities North America 29.7% * * * * *   -28.2% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 4.1% * * * * *   23.9% * * * * *
Argentina ARGT Global Equities South America 9.1% * * * * *   63.5% * * * * *
Chile ECH Global Equities South America 8.7% * * * * *   -8.6% * * * * *
Peru EPU Global Equities South America 6.2% * * * * *   21.8% * * * * *
Brazil EWZ Global Equities South America 26.4% * * * * *   -30.5% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 22.7% * * * * *   -25.7% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 4.8% * * * * *   17.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 7.0% * * * * *   4.2% * * * * *
Energy IXC Global Sectors Energy 8.3% * * * * *   2.0% * * * * *
Financials IXG Global Sectors Financials 4.5% * * * * *   25.7% * * * * *
Healthcare IXJ Global Sectors Healthcare 14.5% * * * * *   0.6% * * * * *
Industrials EXI Global Sectors Industrials 6.1% * * * * *   12.5% * * * * *
Infrastructure IGF Global Sectors Infrastructure 4.6% * * * * *   14.8% * * * * *
Materials MXI Global Sectors Materials 15.3% * * * * *   -8.2% * * * * *
Technology IXN Global Sectors Technology 5.8% * * * * *   24.8% * * * * *
Telecom IXP Global Sectors Telecommunications 2.8% * * * * *   31.3% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 11.0% * * * * *   -4.2% * * * * *
Global Utilities JXI Global Sectors Utilities 8.0% * * * * *   13.2% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 3.6% * * * * *   14.4% * * * * *