All Portfolios, ranked by Standard Deviation

for period ending April 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

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.

 
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 16.0% * * * * *   23.0% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 22.7% * * * * *   13.9% * * * * *
Oil DBO Global Asset Classes Commodities 26.4% * * * * *   10.3% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 13.8% * * * * *   3.9% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 14.8% * * * * *   14.6% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 8.0% * * * * *   -0.9% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 5.8% * * * * *   0.3% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 8.7% * * * * *   -2.9% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 6.1% * * * * *   -1.4% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 6.4% * * * * *   2.1% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 8.0% * * * * *   -14.1% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 6.9% * * * * *   11.1% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 16.8% * * * * *   7.6% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 15.1% * * * * *   30.0% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 8.6% * * * * *   1.6% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 9.9% * * * * *   13.2% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 8.3% * * * * *   2.9% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 7.8% * * * * *   -5.2% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 10.9% * * * * *   -5.3% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 8.0% * * * * *   5.8% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 7.6% * * * * *   1.1% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 7.1% * * * * *   8.0% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 8.3% * * * * *   -2.2% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 4.9% * * * * *   -1.6% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 7.3% * * * * *   -1.5% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 7.1% * * * * *   -1.4% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 10.4% * * * * *   5.0% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 15.9% * * * * *   9.5% * * * * *
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 16.1% * * * * *   -14.1% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 1.8% * * * * *   2.1% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 16.7% * * * * *   17.0% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 19.3% * * * * *   11.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 15.5% * * * * *   8.2% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 17.2% * * * * *   5.0% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 15.3% * * * * *   11.5% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 16.9% * * * * *   3.7% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 18.1% * * * * *   22.7% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 18.5% * * * * *   22.2% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 17.5% * * * * *   22.4% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 20.8% * * * * *   31.7% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 21.9% * * * * *   32.5% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 17.5% * * * * *   13.2% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 28.6% * * * * *   11.1% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 22.7% * * * * *   16.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 24.2% * * * * *   20.4% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 22.7% * * * * *   13.9% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 26.7% * * * * *   13.4% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 27.5% * * * * *   12.5% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 26.3% * * * * *   13.9% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 22.0% * * * * *   -0.8% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 22.1% * * * * *   -0.4% * * * * *
Indonesia EIDO Global Equities Asia and Australia 13.8% * * * * *   -13.7% * * * * *
New Zealand ENZL Global Equities Asia and Australia 18.4% * * * * *   -8.5% * * * * *
Philippines EPHE Global Equities Asia and Australia 18.4% * * * * *   -2.7% * * * * *
Australia EWA Global Equities Asia and Australia 19.8% * * * * *   4.9% * * * * *
Hong Kong EWH Global Equities Asia and Australia 16.3% * * * * *   -19.7% * * * * *
Japan EWJ Global Equities Asia and Australia 14.4% * * * * *   16.7% * * * * *
Malaysia EWM Global Equities Asia and Australia 13.7% * * * * *   5.2% * * * * *
Singapore EWS Global Equities Asia and Australia 17.4% * * * * *   1.1% * * * * *
Taiwan EWT Global Equities Asia and Australia 18.5% * * * * *   16.6% * * * * *
S Korea EWY Global Equities Asia and Australia 28.3% * * * * *   6.6% * * * * *
India INDY Global Equities Asia and Australia 11.0% * * * * *   18.9% * * * * *
China MCHI Global Equities Asia and Australia 22.2% * * * * *   -9.2% * * * * *
Thailand THD Global Equities Asia and Australia 13.8% * * * * *   -16.5% * * * * *
Vietnam VNM Global Equities Asia and Australia 34.5% * * * * *   5.8% * * * * *
Poland EPOL Global Equities Europe 40.5% * * * * *   37.6% * * * * *
Sweden EWD Global Equities Europe 26.2% * * * * *   5.7% * * * * *
Germany EWG Global Equities Europe 21.0% * * * * *   6.4% * * * * *
Italy EWI Global Equities Europe 23.9% * * * * *   19.8% * * * * *
Belgium EWK Global Equities Europe 17.7% * * * * *   -1.1% * * * * *
Switzerland EWL Global Equities Europe 14.7% * * * * *   -3.6% * * * * *
Netherlands EWN Global Equities Europe 23.0% * * * * *   15.0% * * * * *
Austria EWO Global Equities Europe 18.5% * * * * *   9.9% * * * * *
Spain EWP Global Equities Europe 23.9% * * * * *   12.6% * * * * *
France EWQ Global Equities Europe 17.7% * * * * *   4.1% * * * * *
UK EWU Global Equities Europe 13.8% * * * * *   6.7% * * * * *
EMU EZU Global Equities Europe 19.4% * * * * *   8.8% * * * * *
Greece GREK Global Equities Europe 27.6% * * * * *   32.4% * * * * *
Norway NORW Global Equities Europe 18.2% * * * * *   5.2% * * * * *
Israel EIS Global Equities Mideast and Africa 30.7% * * * * *   10.7% * * * * *
S Africa EZA Global Equities Mideast and Africa 28.4% * * * * *   -3.8% * * * * *
Turkey TUR Global Equities Mideast and Africa 42.7% * * * * *   35.7% * * * * *
Canada EWC Global Equities North America 18.9% * * * * *   7.4% * * * * *
Mexico EWW Global Equities North America 25.8% * * * * *   10.0% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 17.9% * * * * *   22.1% * * * * *
Argentina ARGT Global Equities South America 59.1% * * * * *   48.6% * * * * *
Chile ECH Global Equities South America 23.8% * * * * *   -1.6% * * * * *
Peru EPU Global Equities South America 33.6% * * * * *   37.6% * * * * *
Brazil EWZ Global Equities South America 29.8% * * * * *   16.5% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 19.4% * * * * *   -28.2% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 22.2% * * * * *   12.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 11.2% * * * * *   -4.0% * * * * *
Energy IXC Global Sectors Energy 19.0% * * * * *   13.7% * * * * *
Financials IXG Global Sectors Financials 19.4% * * * * *   20.2% * * * * *
Healthcare IXJ Global Sectors Healthcare 12.2% * * * * *   4.9% * * * * *
Industrials EXI Global Sectors Industrials 21.9% * * * * *   19.8% * * * * *
Infrastructure IGF Global Sectors Infrastructure 15.5% * * * * *   -0.1% * * * * *
Materials MXI Global Sectors Materials 21.5% * * * * *   7.7% * * * * *
Technology IXN Global Sectors Technology 25.0% * * * * *   31.1% * * * * *
Telecom IXP Global Sectors Telecommunications 15.3% * * * * *   26.5% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 20.8% * * * * *   13.6% * * * * *
Global Utilities JXI Global Sectors Utilities 14.1% * * * * *   -1.4% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 12.9% * * * * *   12.4% * * * * *