All Portfolios, ranked by Risk vs. Return Compass

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

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 7° * * * * * * * * * *   33.5% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 147° * * * * * * * * * *   7.9% * * * * *
Oil DBO Global Asset Classes Commodities 153° * * * * * * * * * *   7.9% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 184° * * * * * * * * * *   2.2% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 357° * * * * * * * * * *   26.7% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 174° * * * * * * * * * *   -7.7% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 183° * * * * * * * * * *   -6.0% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 179° * * * * * * * * * *   -7.5% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 182° * * * * * * * * * *   -4.2% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 185° * * * * * * * * * *   1.4% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 171° * * * * * * * * * *   -10.9% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 249° * * * * * * * * * *   13.5% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 169° * * * * * * * * * *   6.5% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 18° * * * * * * * * * *   22.7% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 186° * * * * * * * * * *   3.5% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 228° * * * * * * * * * *   12.0% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 196° * * * * * * * * * *   4.9% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 179° * * * * * * * * * *   -0.6% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 175° * * * * * * * * * *   -6.5% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 192° * * * * * * * * * *   3.5% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 191° * * * * * * * * * *   0.7% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 205° * * * * * * * * * *   7.7% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 182° * * * * * * * * * *   1.3% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 189° * * * * * * * * * *   1.7% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 184° * * * * * * * * * *   1.3% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 185° * * * * * * * * * *   1.4% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 185° * * * * * * * * * *   5.5% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 170° * * * * * * * * * *   2.5% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 209° * * * * * * * * * *   5.2% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 167° * * * * * * * * * *   -8.1% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 202° * * * * * * * * * *   3.9% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 9° * * * * * * * * * *   17.5% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 173° * * * * * * * * * *   7.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 169° * * * * * * * * * *   3.5% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 164° * * * * * * * * * *   1.5% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 170° * * * * * * * * * *   5.4% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 164° * * * * * * * * * *   1.5% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 6° * * * * * * * * * *   24.3% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 9° * * * * * * * * * *   23.5% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 4° * * * * * * * * * *   24.9% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 2° * * * * * * * * * *   33.1% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 4° * * * * * * * * * *   25.6% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 94° * * * * * * * * * *   14.2% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 96° * * * * * * * * * *   13.6% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 81° * * * * * * * * * *   15.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 35° * * * * * * * * * *   21.9% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 106° * * * * * * * * * *   12.9% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 111° * * * * * * * * * *   11.4% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 86° * * * * * * * * * *   15.0% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 131° * * * * * * * * * *   7.6% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 139° * * * * * * * * * *   4.4% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 138° * * * * * * * * * *   4.8% * * * * *
Indonesia EIDO Global Equities Asia and Australia 165° * * * * * * * * * *   -12.9% * * * * *
New Zealand ENZL Global Equities Asia and Australia 167° * * * * * * * * * *   -4.9% * * * * *
Philippines EPHE Global Equities Asia and Australia 156° * * * * * * * * * *   -1.4% * * * * *
Australia EWA Global Equities Asia and Australia 150° * * * * * * * * * *   1.6% * * * * *
Hong Kong EWH Global Equities Asia and Australia 148° * * * * * * * * * *   0.0% * * * * *
Japan EWJ Global Equities Asia and Australia 157° * * * * * * * * * *   7.0% * * * * *
Malaysia EWM Global Equities Asia and Australia 47° * * * * * * * * * *   19.5% * * * * *
Singapore EWS Global Equities Asia and Australia 19° * * * * * * * * * *   22.1% * * * * *
Taiwan EWT Global Equities Asia and Australia 23° * * * * * * * * * *   16.1% * * * * *
S Korea EWY Global Equities Asia and Australia 166° * * * * * * * * * *   -20.5% * * * * *
India INDY Global Equities Asia and Australia 171° * * * * * * * * * *   3.5% * * * * *
China MCHI Global Equities Asia and Australia 71° * * * * * * * * * *   17.7% * * * * *
Thailand THD Global Equities Asia and Australia 162° * * * * * * * * * *   -2.2% * * * * *
Vietnam VNM Global Equities Asia and Australia 162° * * * * * * * * * *   -11.1% * * * * *
Poland EPOL Global Equities Europe 166° * * * * * * * * * *   -2.5% * * * * *
Sweden EWD Global Equities Europe 161° * * * * * * * * * *   -3.9% * * * * *
Germany EWG Global Equities Europe 153° * * * * * * * * * *   9.8% * * * * *
Italy EWI Global Equities Europe 138° * * * * * * * * * *   10.3% * * * * *
Belgium EWK Global Equities Europe 166° * * * * * * * * * *   0.2% * * * * *
Switzerland EWL Global Equities Europe 168° * * * * * * * * * *   -2.8% * * * * *
Netherlands EWN Global Equities Europe 160° * * * * * * * * * *   1.7% * * * * *
Austria EWO Global Equities Europe 165° * * * * * * * * * *   4.1% * * * * *
Spain EWP Global Equities Europe 151° * * * * * * * * * *   5.8% * * * * *
France EWQ Global Equities Europe 165° * * * * * * * * * *   -5.6% * * * * *
UK EWU Global Equities Europe 166° * * * * * * * * * *   6.8% * * * * *
EMU EZU Global Equities Europe 164° * * * * * * * * * *   2.3% * * * * *
Greece GREK Global Equities Europe 134° * * * * * * * * * *   9.5% * * * * *
Norway NORW Global Equities Europe 169° * * * * * * * * * *   -2.5% * * * * *
Israel EIS Global Equities Mideast and Africa 13° * * * * * * * * * *   34.5% * * * * *
S Africa EZA Global Equities Mideast and Africa 134° * * * * * * * * * *   7.3% * * * * *
Turkey TUR Global Equities Mideast and Africa 98° * * * * * * * * * *   12.9% * * * * *
Canada EWC Global Equities North America 124° * * * * * * * * * *   12.4% * * * * *
Mexico EWW Global Equities North America 171° * * * * * * * * * *   -28.2% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 6° * * * * * * * * * *   23.9% * * * * *
Argentina ARGT Global Equities South America 13° * * * * * * * * * *   63.5% * * * * *
Chile ECH Global Equities South America 163° * * * * * * * * * *   -8.6% * * * * *
Peru EPU Global Equities South America 31° * * * * * * * * * *   21.8% * * * * *
Brazil EWZ Global Equities South America 172° * * * * * * * * * *   -30.5% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 164° * * * * * * * * * *   -25.7% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 41° * * * * * * * * * *   17.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 168° * * * * * * * * * *   4.2% * * * * *
Energy IXC Global Sectors Energy 163° * * * * * * * * * *   2.0% * * * * *
Financials IXG Global Sectors Financials 11° * * * * * * * * * *   25.7% * * * * *
Healthcare IXJ Global Sectors Healthcare 162° * * * * * * * * * *   0.6% * * * * *
Industrials EXI Global Sectors Industrials 118° * * * * * * * * * *   12.5% * * * * *
Infrastructure IGF Global Sectors Infrastructure 81° * * * * * * * * * *   14.8% * * * * *
Materials MXI Global Sectors Materials 163° * * * * * * * * * *   -8.2% * * * * *
Technology IXN Global Sectors Technology 17° * * * * * * * * * *   24.8% * * * * *
Telecom IXP Global Sectors Telecommunications 357° * * * * * * * * * *   31.3% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 158° * * * * * * * * * *   -4.2% * * * * *
Global Utilities JXI Global Sectors Utilities 101° * * * * * * * * * *   13.2% * * * * *