All Portfolios, ranked by Standard Deviation

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

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 18.9% * * * * *   25.6% * * * * *
Industrial Metals DBB Global Asset Classes Commodities 21.1% * * * * *   16.5% * * * * *
Oil DBO Global Asset Classes Commodities 13.5% * * * * *   -3.5% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad 7.3% * * * * *   -2.9% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals 13.8% * * * * *   30.1% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar 8.8% * * * * *   0.2% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar 5.2% * * * * *   -1.1% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 8.0% * * * * *   -0.7% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro 5.6% * * * * *   -0.8% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 6.0% * * * * *   4.1% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 12.8% * * * * *   -1.5% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 6.6% * * * * *   8.4% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 11.6% * * * * *   12.2% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 18.0% * * * * *   26.2% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 7.1% * * * * *   9.4% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 6.9% * * * * *   18.1% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 4.8% * * * * *   9.2% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 8.0% * * * * *   5.7% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income 10.2% * * * * *   2.7% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 6.8% * * * * *   9.4% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 4.8% * * * * *   4.6% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 4.9% * * * * *   12.3% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 7.6% * * * * *   7.4% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 4.8% * * * * *   5.9% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 6.7% * * * * *   6.9% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 6.5% * * * * *   6.8% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 8.1% * * * * *   12.8% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 12.3% * * * * *   14.5% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 0.1% * * * * *   5.2% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 14.8% * * * * *   6.7% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 2.1% * * * * *   4.8% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 11.0% * * * * *   26.5% * * * * *
iSh MSCI Frontier 100 FM Global Asset Classes Int'l Equity: Frontier 11.7% * * * * *   10.1% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 12.4% * * * * *   12.4% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 13.8% * * * * *   11.4% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 12.4% * * * * *   13.6% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 15.4% * * * * *   12.4% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 12.7% * * * * *   34.3% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 13.3% * * * * *   34.3% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 12.4% * * * * *   33.8% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 15.9% * * * * *   37.8% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 15.1% * * * * *   32.0% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 13.9% * * * * *   29.4% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 33.1% * * * * *   37.5% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 17.7% * * * * *   33.5% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 22.0% * * * * *   39.8% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 17.8% * * * * *   31.3% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 28.0% * * * * *   36.3% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 28.9% * * * * *   40.6% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 28.0% * * * * *   32.3% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 21.1% * * * * *   24.1% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 21.4% * * * * *   25.2% * * * * *
Indonesia EIDO Global Equities Asia and Australia 16.3% * * * * *   -4.6% * * * * *
New Zealand ENZL Global Equities Asia and Australia 14.6% * * * * *   8.0% * * * * *
Philippines EPHE Global Equities Asia and Australia 19.0% * * * * *   4.8% * * * * *
Australia EWA Global Equities Asia and Australia 19.6% * * * * *   22.5% * * * * *
Hong Kong EWH Global Equities Asia and Australia 25.7% * * * * *   8.8% * * * * *
Japan EWJ Global Equities Asia and Australia 12.8% * * * * *   13.7% * * * * *
Malaysia EWM Global Equities Asia and Australia 17.6% * * * * *   19.8% * * * * *
Singapore EWS Global Equities Asia and Australia 17.3% * * * * *   32.7% * * * * *
Taiwan EWT Global Equities Asia and Australia 14.6% * * * * *   18.5% * * * * *
S Korea EWY Global Equities Asia and Australia 18.1% * * * * *   -6.5% * * * * *
India INDY Global Equities Asia and Australia 11.0% * * * * *   14.5% * * * * *
China MCHI Global Equities Asia and Australia 31.2% * * * * *   14.2% * * * * *
Thailand THD Global Equities Asia and Australia 21.3% * * * * *   7.3% * * * * *
Vietnam VNM Global Equities Asia and Australia 17.1% * * * * *   -5.3% * * * * *
Poland EPOL Global Equities Europe 16.5% * * * * *   6.6% * * * * *
Sweden EWD Global Equities Europe 23.0% * * * * *   11.8% * * * * *
Germany EWG Global Equities Europe 14.4% * * * * *   16.4% * * * * *
Italy EWI Global Equities Europe 16.8% * * * * *   14.3% * * * * *
Belgium EWK Global Equities Europe 14.1% * * * * *   7.8% * * * * *
Switzerland EWL Global Equities Europe 15.9% * * * * *   8.3% * * * * *
Netherlands EWN Global Equities Europe 16.5% * * * * *   10.1% * * * * *
Austria EWO Global Equities Europe 14.5% * * * * *   7.4% * * * * *
Spain EWP Global Equities Europe 18.8% * * * * *   10.8% * * * * *
France EWQ Global Equities Europe 14.4% * * * * *   -0.6% * * * * *
UK EWU Global Equities Europe 11.9% * * * * *   15.3% * * * * *
EMU EZU Global Equities Europe 14.2% * * * * *   7.8% * * * * *
Greece GREK Global Equities Europe 15.0% * * * * *   6.4% * * * * *
Norway NORW Global Equities Europe 17.4% * * * * *   9.5% * * * * *
Israel EIS Global Equities Mideast and Africa 22.2% * * * * *   38.8% * * * * *
S Africa EZA Global Equities Mideast and Africa 19.8% * * * * *   20.7% * * * * *
Turkey TUR Global Equities Mideast and Africa 28.0% * * * * *   5.8% * * * * *
Canada EWC Global Equities North America 14.4% * * * * *   26.5% * * * * *
Mexico EWW Global Equities North America 15.5% * * * * *   -18.6% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 12.7% * * * * *   33.9% * * * * *
Argentina ARGT Global Equities South America 39.5% * * * * *   67.7% * * * * *
Chile ECH Global Equities South America 16.1% * * * * *   -2.6% * * * * *
Peru EPU Global Equities South America 28.7% * * * * *   45.7% * * * * *
Brazil EWZ Global Equities South America 13.6% * * * * *   -19.7% * * * * *
Clean Energy ICLN Global Sectors Clean Energy 25.5% * * * * *   -11.5% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 16.8% * * * * *   22.5% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 9.9% * * * * *   12.5% * * * * *
Energy IXC Global Sectors Energy 11.8% * * * * *   10.3% * * * * *
Financials IXG Global Sectors Financials 14.9% * * * * *   39.2% * * * * *
Healthcare IXJ Global Sectors Healthcare 12.7% * * * * *   11.9% * * * * *
Industrials EXI Global Sectors Industrials 15.0% * * * * *   28.4% * * * * *
Infrastructure IGF Global Sectors Infrastructure 14.1% * * * * *   25.4% * * * * *
Materials MXI Global Sectors Materials 16.1% * * * * *   7.0% * * * * *
Technology IXN Global Sectors Technology 18.2% * * * * *   28.5% * * * * *
Telecom IXP Global Sectors Telecommunications 12.1% * * * * *   35.5% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry 18.7% * * * * *   7.5% * * * * *
Global Utilities JXI Global Sectors Utilities 18.0% * * * * *   25.4% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 9.4% * * * * *   22.8% * * * * *