All Portfolios, ranked by Risk vs. Return Compass
for period ending November 30, 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 | 49° | * | * | * | * | * | * | * | * | * | * | 25.6% | * | * | * | * | * | ||
Industrial Metals | DBB | Global Asset Classes | Commodities | 140° | * | * | * | * | * | * | * | * | * | * | 16.5% | * | * | * | * | * | ||
Oil | DBO | Global Asset Classes | Commodities | 169° | * | * | * | * | * | * | * | * | * | * | -3.5% | * | * | * | * | * | ||
PowerSh Commodity | DBC | Global Asset Classes | Commodities: Broad | 179° | * | * | * | * | * | * | * | * | * | * | -2.9% | * | * | * | * | * | ||
SPDR Gold Trust | GLD | Global Asset Classes | Commodities: Prec Metals | 358° | * | * | * | * | * | * | * | * | * | * | 30.1% | * | * | * | * | * | ||
AUStralia | FXA | Global Asset Classes | Currency: AUS Dollar | 176° | * | * | * | * | * | * | * | * | * | * | 0.2% | * | * | * | * | * | ||
CAN Canada Dollar | FXC | Global Asset Classes | Currency: CAN Dollar | 183° | * | * | * | * | * | * | * | * | * | * | -1.1% | * | * | * | * | * | ||
CHF Swiss Franc | FXF | Global Asset Classes | Currency: CHF Franc | 179° | * | * | * | * | * | * | * | * | * | * | -0.7% | * | * | * | * | * | ||
EUR Euro | FXE | Global Asset Classes | Currency: EUR Euro | 181° | * | * | * | * | * | * | * | * | * | * | -0.8% | * | * | * | * | * | ||
GBP UK Pound | FXB | Global Asset Classes | Currency: GBP Pound | 183° | * | * | * | * | * | * | * | * | * | * | 4.1% | * | * | * | * | * | ||
JPY Japan Yen | FXY | Global Asset Classes | Currency: JPY Yen | 171° | * | * | * | * | * | * | * | * | * | * | -1.5% | * | * | * | * | * | ||
USD US Dollar indx | UUP | Global Asset Classes | Currency: USD index | 186° | * | * | * | * | * | * | * | * | * | * | 8.4% | * | * | * | * | * | ||
iShares MSCI | EEM | Global Asset Classes | Equity: Emerging Mkts | 168° | * | * | * | * | * | * | * | * | * | * | 12.2% | * | * | * | * | * | ||
Alerian US MLP | AMLP | Global Asset Classes | Equity: MLP | 5° | * | * | * | * | * | * | * | * | * | * | 26.2% | * | * | * | * | * | ||
US Corp Med 5-10y | IGIB | Global Asset Classes | Fixed Income | 183° | * | * | * | * | * | * | * | * | * | * | 9.4% | * | * | * | * | * | ||
Emerg Mkt Hi Yld | EMHY | Global Asset Classes | Fixed Income | 208° | * | * | * | * | * | * | * | * | * | * | 18.1% | * | * | * | * | * | ||
Muni Hi Yield | HYD | Global Asset Classes | Fixed Income | 190° | * | * | * | * | * | * | * | * | * | * | 9.2% | * | * | * | * | * | ||
US Treas 7-10yr | IEF | Global Asset Classes | Fixed Income | 178° | * | * | * | * | * | * | * | * | * | * | 5.7% | * | * | * | * | * | ||
Intl Treas | IGOV | Global Asset Classes | Fixed Income | 175° | * | * | * | * | * | * | * | * | * | * | 2.7% | * | * | * | * | * | ||
MktVectors Intl Hi Yield | IHY | Global Asset Classes | Fixed Income | 188° | * | * | * | * | * | * | * | * | * | * | 9.4% | * | * | * | * | * | ||
MktVectors Intermed Muni | ITM | Global Asset Classes | Fixed Income | 187° | * | * | * | * | * | * | * | * | * | * | 4.6% | * | * | * | * | * | ||
US Hi Yield | JNK | Global Asset Classes | Fixed Income | 195° | * | * | * | * | * | * | * | * | * | * | 12.3% | * | * | * | * | * | ||
US Mort Backed | MBB | Global Asset Classes | Fixed Income | 180° | * | * | * | * | * | * | * | * | * | * | 7.4% | * | * | * | * | * | ||
US Inflation Prot | TIP | Global Asset Classes | Fixed Income | 186° | * | * | * | * | * | * | * | * | * | * | 5.9% | * | * | * | * | * | ||
U.S. Total Bond Market | AGG | Global Asset Classes | Fixed Income: Aggregate | 182° | * | * | * | * | * | * | * | * | * | * | 6.9% | * | * | * | * | * | ||
U.S. Total Bond Market | BND | Global Asset Classes | Fixed Income: Aggregate | 183° | * | * | * | * | * | * | * | * | * | * | 6.8% | * | * | * | * | * | ||
iShares Emerg | EMB | Global Asset Classes | Fixed Income: Aggregate | 183° | * | * | * | * | * | * | * | * | * | * | 12.8% | * | * | * | * | * | ||
PwrSh Emerg Mkt Sov Debt | PCY | Global Asset Classes | Fixed Income: Aggregate | 166° | * | * | * | * | * | * | * | * | * | * | 14.5% | * | * | * | * | * | ||
T-Bill 1-3 Month | BIL | Global Asset Classes | Fixed Income: Cash-like | 195° | * | * | * | * | * | * | * | * | * | * | 5.2% | * | * | * | * | * | ||
iShares Treas 20y+ | TLT | Global Asset Classes | Fixed Income: Long-Term | 163° | * | * | * | * | * | * | * | * | * | * | 6.7% | * | * | * | * | * | ||
iSh Treas 1-3y | SHY | Global Asset Classes | Fixed Income: Short-Term | 192° | * | * | * | * | * | * | * | * | * | * | 4.8% | * | * | * | * | * | ||
ACWI (Global) | ACWI | Global Asset Classes | Int'l Equity: Core | 7° | * | * | * | * | * | * | * | * | * | * | 26.5% | * | * | * | * | * | ||
iSh MSCI Frontier 100 | FM | Global Asset Classes | Int'l Equity: Frontier | 173° | * | * | * | * | * | * | * | * | * | * | 10.1% | * | * | * | * | * | ||
Intl Dev Core | EFA | Global Asset Classes | Int'l Equity: Lg Cap | 166° | * | * | * | * | * | * | * | * | * | * | 12.4% | * | * | * | * | * | ||
iSh EAFE Growth | EFG | Global Asset Classes | Int'l Equity: Lg Cap Gro | 160° | * | * | * | * | * | * | * | * | * | * | 11.4% | * | * | * | * | * | ||
iSh EAFE Value | EFV | Global Asset Classes | Int'l Equity: Lg Cap Val | 168° | * | * | * | * | * | * | * | * | * | * | 13.6% | * | * | * | * | * | ||
Intl Dev Sm Cap | SCZ | Global Asset Classes | Int'l Equity: Small Cap | 156° | * | * | * | * | * | * | * | * | * | * | 12.4% | * | * | * | * | * | ||
US Large Core | IWB | Global Asset Classes | U.S. Equity: Lg / Mid | 5° | * | * | * | * | * | * | * | * | * | * | 34.3% | * | * | * | * | * | ||
iSh Russell 3000 | IWV | Global Asset Classes | U.S. Equity: Lg Cap | 6° | * | * | * | * | * | * | * | * | * | * | 34.3% | * | * | * | * | * | ||
S&P 500 | SPY | Global Asset Classes | U.S. Equity: Lg Cap | 4° | * | * | * | * | * | * | * | * | * | * | 33.8% | * | * | * | * | * | ||
iSh Russ 1000 Gro | IWF | Global Asset Classes | U.S. Equity: Lg Cap Gro | 6° | * | * | * | * | * | * | * | * | * | * | 37.8% | * | * | * | * | * | ||
PowerShares QQQ | QQQ | Global Asset Classes | U.S. Equity: Lg Cap Gro | 9° | * | * | * | * | * | * | * | * | * | * | 32.0% | * | * | * | * | * | ||
iSh Russ 1000 Val | IWD | Global Asset Classes | U.S. Equity: Lg Cap Val | 10° | * | * | * | * | * | * | * | * | * | * | 29.4% | * | * | * | * | * | ||
iSh Russell | IWC | Global Asset Classes | U.S. Equity: Micro Cap | 31° | * | * | * | * | * | * | * | * | * | * | 37.5% | * | * | * | * | * | ||
iSh US Mid Core | IWR | Global Asset Classes | U.S. Equity: Mid Cap | 14° | * | * | * | * | * | * | * | * | * | * | 33.5% | * | * | * | * | * | ||
iSh US Mid Growth | IWP | Global Asset Classes | U.S. Equity: Mid Cap Gro | 11° | * | * | * | * | * | * | * | * | * | * | 39.8% | * | * | * | * | * | ||
iSh US Mid Value | IWS | Global Asset Classes | U.S. Equity: Mid Cap Val | 19° | * | * | * | * | * | * | * | * | * | * | 31.3% | * | * | * | * | * | ||
iSh Russ 2000 | IWM | Global Asset Classes | U.S. Equity: Sm Cap | 26° | * | * | * | * | * | * | * | * | * | * | 36.3% | * | * | * | * | * | ||
iSh Russell 2000 | IWO | Global Asset Classes | U.S. Equity: Sm Cap Gro | 21° | * | * | * | * | * | * | * | * | * | * | 40.6% | * | * | * | * | * | ||
iSh Russ 2000 Val | IWN | Global Asset Classes | U.S. Equity: Sm Cap Val | 34° | * | * | * | * | * | * | * | * | * | * | 32.3% | * | * | * | * | * | ||
iShares Real Estate | IYR | Global Asset Classes | U.S. Real Estate | 81° | * | * | * | * | * | * | * | * | * | * | 24.1% | * | * | * | * | * | ||
Vanguard Real Estate | VNQ | Global Asset Classes | U.S. Real Estate | 73° | * | * | * | * | * | * | * | * | * | * | 25.2% | * | * | * | * | * | ||
Indonesia | EIDO | Global Equities | Asia and Australia | 164° | * | * | * | * | * | * | * | * | * | * | -4.6% | * | * | * | * | * | ||
New Zealand | ENZL | Global Equities | Asia and Australia | 166° | * | * | * | * | * | * | * | * | * | * | 8.0% | * | * | * | * | * | ||
Philippines | EPHE | Global Equities | Asia and Australia | 156° | * | * | * | * | * | * | * | * | * | * | 4.8% | * | * | * | * | * | ||
Australia | EWA | Global Equities | Asia and Australia | 92° | * | * | * | * | * | * | * | * | * | * | 22.5% | * | * | * | * | * | ||
Hong Kong | EWH | Global Equities | Asia and Australia | 143° | * | * | * | * | * | * | * | * | * | * | 8.8% | * | * | * | * | * | ||
Japan | EWJ | Global Equities | Asia and Australia | 157° | * | * | * | * | * | * | * | * | * | * | 13.7% | * | * | * | * | * | ||
Malaysia | EWM | Global Equities | Asia and Australia | 116° | * | * | * | * | * | * | * | * | * | * | 19.8% | * | * | * | * | * | ||
Singapore | EWS | Global Equities | Asia and Australia | 20° | * | * | * | * | * | * | * | * | * | * | 32.7% | * | * | * | * | * | ||
Taiwan | EWT | Global Equities | Asia and Australia | 162° | * | * | * | * | * | * | * | * | * | * | 18.5% | * | * | * | * | * | ||
S Korea | EWY | Global Equities | Asia and Australia | 164° | * | * | * | * | * | * | * | * | * | * | -6.5% | * | * | * | * | * | ||
India | INDY | Global Equities | Asia and Australia | 170° | * | * | * | * | * | * | * | * | * | * | 14.5% | * | * | * | * | * | ||
China | MCHI | Global Equities | Asia and Australia | 132° | * | * | * | * | * | * | * | * | * | * | 14.2% | * | * | * | * | * | ||
Thailand | THD | Global Equities | Asia and Australia | 157° | * | * | * | * | * | * | * | * | * | * | 7.3% | * | * | * | * | * | ||
Vietnam | VNM | Global Equities | Asia and Australia | 161° | * | * | * | * | * | * | * | * | * | * | -5.3% | * | * | * | * | * | ||
Poland | EPOL | Global Equities | Europe | 161° | * | * | * | * | * | * | * | * | * | * | 6.6% | * | * | * | * | * | ||
Sweden | EWD | Global Equities | Europe | 144° | * | * | * | * | * | * | * | * | * | * | 11.8% | * | * | * | * | * | ||
Germany | EWG | Global Equities | Europe | 154° | * | * | * | * | * | * | * | * | * | * | 16.4% | * | * | * | * | * | ||
Italy | EWI | Global Equities | Europe | 151° | * | * | * | * | * | * | * | * | * | * | 14.3% | * | * | * | * | * | ||
Belgium | EWK | Global Equities | Europe | 165° | * | * | * | * | * | * | * | * | * | * | 7.8% | * | * | * | * | * | ||
Switzerland | EWL | Global Equities | Europe | 165° | * | * | * | * | * | * | * | * | * | * | 8.3% | * | * | * | * | * | ||
Netherlands | EWN | Global Equities | Europe | 156° | * | * | * | * | * | * | * | * | * | * | 10.1% | * | * | * | * | * | ||
Austria | EWO | Global Equities | Europe | 167° | * | * | * | * | * | * | * | * | * | * | 7.4% | * | * | * | * | * | ||
Spain | EWP | Global Equities | Europe | 156° | * | * | * | * | * | * | * | * | * | * | 10.8% | * | * | * | * | * | ||
France | EWQ | Global Equities | Europe | 165° | * | * | * | * | * | * | * | * | * | * | -0.6% | * | * | * | * | * | ||
UK | EWU | Global Equities | Europe | 166° | * | * | * | * | * | * | * | * | * | * | 15.3% | * | * | * | * | * | ||
EMU | EZU | Global Equities | Europe | 164° | * | * | * | * | * | * | * | * | * | * | 7.8% | * | * | * | * | * | ||
Greece | GREK | Global Equities | Europe | 162° | * | * | * | * | * | * | * | * | * | * | 6.4% | * | * | * | * | * | ||
Norway | NORW | Global Equities | Europe | 167° | * | * | * | * | * | * | * | * | * | * | 9.5% | * | * | * | * | * | ||
Israel | EIS | Global Equities | Mideast and Africa | 19° | * | * | * | * | * | * | * | * | * | * | 38.8% | * | * | * | * | * | ||
S Africa | EZA | Global Equities | Mideast and Africa | 108° | * | * | * | * | * | * | * | * | * | * | 20.7% | * | * | * | * | * | ||
Turkey | TUR | Global Equities | Mideast and Africa | 142° | * | * | * | * | * | * | * | * | * | * | 5.8% | * | * | * | * | * | ||
Canada | EWC | Global Equities | North America | 19° | * | * | * | * | * | * | * | * | * | * | 26.5% | * | * | * | * | * | ||
Mexico | EWW | Global Equities | North America | 168° | * | * | * | * | * | * | * | * | * | * | -18.6% | * | * | * | * | * | ||
US Equity: Russell 3000 | SPTM | Global Equities | North America | 4° | * | * | * | * | * | * | * | * | * | * | 33.9% | * | * | * | * | * | ||
Argentina | ARGT | Global Equities | South America | 15° | * | * | * | * | * | * | * | * | * | * | 67.7% | * | * | * | * | * | ||
Chile | ECH | Global Equities | South America | 162° | * | * | * | * | * | * | * | * | * | * | -2.6% | * | * | * | * | * | ||
Peru | EPU | Global Equities | South America | 13° | * | * | * | * | * | * | * | * | * | * | 45.7% | * | * | * | * | * | ||
Brazil | EWZ | Global Equities | South America | 171° | * | * | * | * | * | * | * | * | * | * | -19.7% | * | * | * | * | * | ||
Clean Energy | ICLN | Global Sectors | Clean Energy | 157° | * | * | * | * | * | * | * | * | * | * | -11.5% | * | * | * | * | * | ||
Consumer Discretionary | RXI | Global Sectors | Consumer Discretionary | 95° | * | * | * | * | * | * | * | * | * | * | 22.5% | * | * | * | * | * | ||
Consumer Staples | KXI | Global Sectors | Consumer Staples | 174° | * | * | * | * | * | * | * | * | * | * | 12.5% | * | * | * | * | * | ||
Energy | IXC | Global Sectors | Energy | 179° | * | * | * | * | * | * | * | * | * | * | 10.3% | * | * | * | * | * | ||
Financials | IXG | Global Sectors | Financials | 2° | * | * | * | * | * | * | * | * | * | * | 39.2% | * | * | * | * | * | ||
Healthcare | IXJ | Global Sectors | Healthcare | 163° | * | * | * | * | * | * | * | * | * | * | 11.9% | * | * | * | * | * | ||
Industrials | EXI | Global Sectors | Industrials | 17° | * | * | * | * | * | * | * | * | * | * | 28.4% | * | * | * | * | * | ||
Infrastructure | IGF | Global Sectors | Infrastructure | 32° | * | * | * | * | * | * | * | * | * | * | 25.4% | * | * | * | * | * | ||
Materials | MXI | Global Sectors | Materials | 160° | * | * | * | * | * | * | * | * | * | * | 7.0% | * | * | * | * | * | ||
Technology | IXN | Global Sectors | Technology | 34° | * | * | * | * | * | * | * | * | * | * | 28.5% | * | * | * | * | * | ||
Telecom | IXP | Global Sectors | Telecommunications | 359° | * | * | * | * | * | * | * | * | * | * | 35.5% | * | * | * | * | * | ||
Timber & Forestry | WOOD | Global Sectors | Timber and Forestry | 152° | * | * | * | * | * | * | * | * | * | * | 7.5% | * | * | * | * | * | ||
Global Utilities | JXI | Global Sectors | Utilities | 56° | * | * | * | * | * | * | * | * | * | * | 25.4% | * | * | * | * | * |