All Portfolios, ranked by Risk vs. Return Compass

for period ending October 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
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta

Risk vs. Return Compass is a portfolio comparison tool produces four distinct icons, each colored in red, green, blue, and yellow. These icons serve as indicators, illustrating the position of a particular ingredient on the scatter plot concerning downside deviation and annual return.

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.

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.

        Risk vs. Return Compass   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 151° * * * * * * * * * *   21.2% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 140° * * * * * * * * * *   20.2% * * * * *
Oil DBO Global Asset Classes Commodities 170° * * * * * * * * * *   -8.3% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 179° * * * * * * * * * *   -3.3% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 346° * * * * * * * * * *   37.7% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 175° * * * * * * * * * *   5.3% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 183° * * * * * * * * * *   1.8% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 179° * * * * * * * * * *   5.2% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 184° * * * * * * * * * *   5.1% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 183° * * * * * * * * * *   9.5% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 172° * * * * * * * * * *   -0.8% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 182° * * * * * * * * * *   3.4% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 136° * * * * * * * * * *   24.3% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 181° * * * * * * * * * *   20.2% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 184° * * * * * * * * * *   14.3% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 212° * * * * * * * * * *   22.2% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 191° * * * * * * * * * *   14.0% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 178° * * * * * * * * * *   9.4% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 173° * * * * * * * * * *   9.2% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 190° * * * * * * * * * *   15.2% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 187° * * * * * * * * * *   8.8% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 195° * * * * * * * * * *   15.8% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 180° * * * * * * * * * *   11.3% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 186° * * * * * * * * * *   8.3% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 182° * * * * * * * * * *   10.5% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 183° * * * * * * * * * *   10.4% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 184° * * * * * * * * * *   17.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 146° * * * * * * * * * *   22.7% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 193° * * * * * * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 154° * * * * * * * * * *   15.0% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 191° * * * * * * * * * *   5.6% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 5° * * * * * * * * * *   32.4% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 169° * * * * * * * * * *   16.9% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 145° * * * * * * * * * *   22.0% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 133° * * * * * * * * * *   21.8% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 153° * * * * * * * * * *   21.8% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 134° * * * * * * * * * *   21.3% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 5° * * * * * * * * * *   37.9% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 6° * * * * * * * * * *   37.5% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 4° * * * * * * * * * *   37.8% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 5° * * * * * * * * * *   43.5% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 8° * * * * * * * * * *   38.8% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 13° * * * * * * * * * *   30.7% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 45° * * * * * * * * * *   34.9% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 17° * * * * * * * * * *   35.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 15° * * * * * * * * * *   38.3% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 22° * * * * * * * * * *   33.8% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 39° * * * * * * * * * *   34.0% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 33° * * * * * * * * * *   36.4% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 50° * * * * * * * * * *   31.5% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 49° * * * * * * * * * *   33.9% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 46° * * * * * * * * * *   34.6% * * * * *
Indonesia EIDO Global Equities Asia and Australia 157° * * * * * * * * * *   10.1% * * * * *
New Zealand ENZL Global Equities Asia and Australia 156° * * * * * * * * * *   16.6% * * * * *
Philippines EPHE Global Equities Asia and Australia 130° * * * * * * * * * *   19.9% * * * * *
Australia EWA Global Equities Asia and Australia 82° * * * * * * * * * *   27.2% * * * * *
Hong Kong EWH Global Equities Asia and Australia 145° * * * * * * * * * *   11.7% * * * * *
Japan EWJ Global Equities Asia and Australia 154° * * * * * * * * * *   18.0% * * * * *
Malaysia EWM Global Equities Asia and Australia 114° * * * * * * * * * *   23.5% * * * * *
Singapore EWS Global Equities Asia and Australia 63° * * * * * * * * * *   28.0% * * * * *
Taiwan EWT Global Equities Asia and Australia 10° * * * * * * * * * *   35.3% * * * * *
S Korea EWY Global Equities Asia and Australia 145° * * * * * * * * * *   11.9% * * * * *
India INDY Global Equities Asia and Australia 162° * * * * * * * * * *   21.3% * * * * *
China MCHI Global Equities Asia and Australia 118° * * * * * * * * * *   21.3% * * * * *
Thailand THD Global Equities Asia and Australia 154° * * * * * * * * * *   14.1% * * * * *
Vietnam VNM Global Equities Asia and Australia 147° * * * * * * * * * *   8.6% * * * * *
Poland EPOL Global Equities Europe 144° * * * * * * * * * *   17.6% * * * * *
Sweden EWD Global Equities Europe 58° * * * * * * * * * *   32.1% * * * * *
Germany EWG Global Equities Europe 38° * * * * * * * * * *   31.5% * * * * *
Italy EWI Global Equities Europe 36° * * * * * * * * * *   32.0% * * * * *
Belgium EWK Global Equities Europe 141° * * * * * * * * * *   21.5% * * * * *
Switzerland EWL Global Equities Europe 145° * * * * * * * * * *   20.2% * * * * *
Netherlands EWN Global Equities Europe 84° * * * * * * * * * *   27.0% * * * * *
Austria EWO Global Equities Europe 149° * * * * * * * * * *   20.0% * * * * *
Spain EWP Global Equities Europe 53° * * * * * * * * * *   30.9% * * * * *
France EWQ Global Equities Europe 152° * * * * * * * * * *   13.3% * * * * *
UK EWU Global Equities Europe 156° * * * * * * * * * *   21.6% * * * * *
EMU EZU Global Equities Europe 121° * * * * * * * * * *   23.4% * * * * *
Greece GREK Global Equities Europe 133° * * * * * * * * * *   20.6% * * * * *
Norway NORW Global Equities Europe 166° * * * * * * * * * *   12.9% * * * * *
Israel EIS Global Equities Mideast and Africa 16° * * * * * * * * * *   48.5% * * * * *
S Africa EZA Global Equities Mideast and Africa 34° * * * * * * * * * *   35.8% * * * * *
Turkey TUR Global Equities Mideast and Africa 155° * * * * * * * * * *   0.4% * * * * *
Canada EWC Global Equities North America 16° * * * * * * * * * *   31.0% * * * * *
Mexico EWW Global Equities North America 160° * * * * * * * * * *   -3.0% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 4° * * * * * * * * * *   37.5% * * * * *
Argentina ARGT Global Equities South America 13° * * * * * * * * * *   92.3% * * * * *
Chile ECH Global Equities South America 151° * * * * * * * * * *   9.1% * * * * *
Peru EPU Global Equities South America 9° * * * * * * * * * *   58.0% * * * * *
Brazil EWZ Global Equities South America 165° * * * * * * * * * *   -0.1% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 146° * * * * * * * * * *   2.2% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 109° * * * * * * * * * *   25.2% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 174° * * * * * * * * * *   14.9% * * * * *
Energy IXC Global Sectors Energy 180° * * * * * * * * * *   6.2% * * * * *
Financials IXG Global Sectors Financials 2° * * * * * * * * * *   42.8% * * * * *
Healthcare IXJ Global Sectors Healthcare 152° * * * * * * * * * *   19.3% * * * * *
Industrials EXI Global Sectors Industrials 12° * * * * * * * * * *   35.2% * * * * *
Infrastructure IGF Global Sectors Infrastructure 17° * * * * * * * * * *   32.3% * * * * *
Materials MXI Global Sectors Materials 140° * * * * * * * * * *   18.5% * * * * *
Technology IXN Global Sectors Technology 18° * * * * * * * * * *   40.3% * * * * *
Telecom IXP Global Sectors Telecommunications 359° * * * * * * * * * *   42.0% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 140° * * * * * * * * * *   15.7% * * * * *
Global Utilities JXI Global Sectors Utilities 43° * * * * * * * * * *   30.7% * * * * *