All Portfolios, ranked by Standard Deviation

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

Standard Deviation shows the 1-, 3-, 5-, 10-, 15-, and 20-year standard deviation from the mean. This is calculated using monthly returns, then annualized.

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.

Standard Deviation 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.

        Standard Deviation   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 17.9% * * * * *   21.2% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 21.4% * * * * *   20.2% * * * * *
Oil DBO Global Asset Classes Commodities 14.1% * * * * *   -8.3% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 7.4% * * * * *   -3.3% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 12.4% * * * * *   37.7% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 10.1% * * * * *   5.3% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 5.8% * * * * *   1.8% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 9.0% * * * * *   5.2% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 5.9% * * * * *   5.1% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 7.1% * * * * *   9.5% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 13.0% * * * * *   -0.8% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 6.8% * * * * *   3.4% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 14.1% * * * * *   24.3% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 13.0% * * * * *   20.2% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 9.2% * * * * *   14.3% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 8.7% * * * * *   22.2% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 7.6% * * * * *   14.0% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 9.3% * * * * *   9.4% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 12.6% * * * * *   9.2% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 8.2% * * * * *   15.2% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 7.3% * * * * *   8.8% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 6.6% * * * * *   15.8% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 9.3% * * * * *   11.3% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 5.5% * * * * *   8.3% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 8.1% * * * * *   10.5% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 7.9% * * * * *   10.4% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 10.2% * * * * *   17.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 16.3% * * * * *   22.7% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 0.1% * * * * *   5.3% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 19.0% * * * * *   15.0% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 2.2% * * * * *   5.6% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 14.2% * * * * *   32.4% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 13.6% * * * * *   16.9% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 15.6% * * * * *   22.0% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 18.0% * * * * *   21.8% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 14.7% * * * * *   21.8% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 18.8% * * * * *   21.3% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 15.0% * * * * *   37.9% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 15.4% * * * * *   37.5% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 14.8% * * * * *   37.8% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 19.4% * * * * *   43.5% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 19.1% * * * * *   38.8% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 14.6% * * * * *   30.7% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 31.5% * * * * *   34.9% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 18.9% * * * * *   35.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 20.7% * * * * *   38.3% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 19.3% * * * * *   33.8% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 26.6% * * * * *   34.0% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 26.3% * * * * *   36.4% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 27.6% * * * * *   31.5% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 26.3% * * * * *   33.9% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 26.3% * * * * *   34.6% * * * * *
Indonesia EIDO Global Equities Asia and Australia 18.1% * * * * *   10.1% * * * * *
New Zealand ENZL Global Equities Asia and Australia 19.9% * * * * *   16.6% * * * * *
Philippines EPHE Global Equities Asia and Australia 20.9% * * * * *   19.9% * * * * *
Australia EWA Global Equities Asia and Australia 21.6% * * * * *   27.2% * * * * *
Hong Kong EWH Global Equities Asia and Australia 26.0% * * * * *   11.7% * * * * *
Japan EWJ Global Equities Asia and Australia 14.4% * * * * *   18.0% * * * * *
Malaysia EWM Global Equities Asia and Australia 18.0% * * * * *   23.5% * * * * *
Singapore EWS Global Equities Asia and Australia 15.9% * * * * *   28.0% * * * * *
Taiwan EWT Global Equities Asia and Australia 20.5% * * * * *   35.3% * * * * *
S Korea EWY Global Equities Asia and Australia 26.7% * * * * *   11.9% * * * * *
India INDY Global Equities Asia and Australia 12.2% * * * * *   21.3% * * * * *
China MCHI Global Equities Asia and Australia 32.2% * * * * *   21.3% * * * * *
Thailand THD Global Equities Asia and Australia 21.7% * * * * *   14.1% * * * * *
Vietnam VNM Global Equities Asia and Australia 24.3% * * * * *   8.6% * * * * *
Poland EPOL Global Equities Europe 20.6% * * * * *   17.6% * * * * *
Sweden EWD Global Equities Europe 31.2% * * * * *   32.1% * * * * *
Germany EWG Global Equities Europe 21.5% * * * * *   31.5% * * * * *
Italy EWI Global Equities Europe 20.6% * * * * *   32.0% * * * * *
Belgium EWK Global Equities Europe 17.3% * * * * *   21.5% * * * * *
Switzerland EWL Global Equities Europe 19.0% * * * * *   20.2% * * * * *
Netherlands EWN Global Equities Europe 23.1% * * * * *   27.0% * * * * *
Austria EWO Global Equities Europe 18.4% * * * * *   20.0% * * * * *
Spain EWP Global Equities Europe 26.5% * * * * *   30.9% * * * * *
France EWQ Global Equities Europe 18.1% * * * * *   13.3% * * * * *
UK EWU Global Equities Europe 13.7% * * * * *   21.6% * * * * *
EMU EZU Global Equities Europe 19.4% * * * * *   23.4% * * * * *
Greece GREK Global Equities Europe 20.5% * * * * *   20.6% * * * * *
Norway NORW Global Equities Europe 18.2% * * * * *   12.9% * * * * *
Israel EIS Global Equities Mideast and Africa 29.6% * * * * *   48.5% * * * * *
S Africa EZA Global Equities Mideast and Africa 22.0% * * * * *   35.8% * * * * *
Turkey TUR Global Equities Mideast and Africa 25.3% * * * * *   0.4% * * * * *
Canada EWC Global Equities North America 17.3% * * * * *   31.0% * * * * *
Mexico EWW Global Equities North America 24.6% * * * * *   -3.0% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 14.9% * * * * *   37.5% * * * * *
Argentina ARGT Global Equities South America 66.3% * * * * *   92.3% * * * * *
Chile ECH Global Equities South America 21.4% * * * * *   9.1% * * * * *
Peru EPU Global Equities South America 29.7% * * * * *   58.0% * * * * *
Brazil EWZ Global Equities South America 21.5% * * * * *   -0.1% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 30.4% * * * * *   2.2% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 18.5% * * * * *   25.2% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 10.7% * * * * *   14.9% * * * * *
Energy IXC Global Sectors Energy 10.7% * * * * *   6.2% * * * * *
Financials IXG Global Sectors Financials 17.1% * * * * *   42.8% * * * * *
Healthcare IXJ Global Sectors Healthcare 14.2% * * * * *   19.3% * * * * *
Industrials EXI Global Sectors Industrials 18.5% * * * * *   35.2% * * * * *
Infrastructure IGF Global Sectors Infrastructure 17.5% * * * * *   32.3% * * * * *
Materials MXI Global Sectors Materials 19.9% * * * * *   18.5% * * * * *
Technology IXN Global Sectors Technology 24.9% * * * * *   40.3% * * * * *
Telecom IXP Global Sectors Telecommunications 14.6% * * * * *   42.0% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 22.0% * * * * *   15.7% * * * * *
Global Utilities JXI Global Sectors Utilities 19.6% * * * * *   30.7% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 11.4% * * * * *   26.3% * * * * *