All Portfolios, ranked by Treynor

for period ending March 31, 2025

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, Treynor, Sharpe Ratio, Sortino Ratio, Treynor Ratio
by Volatility / Risk: Maximum Drawdown, Standard Deviation, Downside Deviation, Beta
by Peer Group: Global Asset Classes, Global Equities, Global Sectors

The Treynor Ratio is a significant measure of risk-adjusted return used in portfolio management and financial analysis. Unlike the Sharpe Ratio, which evaluates total risk, the Treynor Ratio focuses solely on market risk, measured by beta.

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.

Sort by any column by clicking on the gray column heading.

        Treynor   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 30.5% * * * * *   10.8% * * * * *
Industrial Metals DBB Global Asset Classes Commodities -27.8% * * * * *   11.9% * * * * *
Oil DBO Global Asset Classes Commodities 13.0% * * * * *   -3.3% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad -9.9% * * * * *   3.2% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals -88.6% * * * * *   40.1% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar -10.9% * * * * *   -2.6% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar -37.9% * * * * *   -4.4% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc 16.8% * * * * *   1.7% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro -15.0% * * * * *   2.2% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound -2370.9% * * * * *   5.5% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen 0.3% * * * * *   0.4% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index 359.1% * * * * *   5.1% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 68.3% * * * * *   8.9% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 22.5% * * * * *   18.4% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 21.1% * * * * *   6.4% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 27.1% * * * * *   9.6% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 6.3% * * * * *   2.2% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 13.6% * * * * *   4.5% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income -1.1% * * * * *   0.1% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 40.3% * * * * *   7.1% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 0.9% * * * * *   0.6% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 22.0% * * * * *   7.0% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 16.6% * * * * *   5.6% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 29.8% * * * * *   6.1% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 16.5% * * * * *   4.9% * * * * *
U.S. Total Bond Market BND Benchmark Benchmark 17.0% * * * * *   4.9% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 15.9% * * * * *   6.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 7.1% * * * * *   4.6% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 1066.2% * * * * *   4.9% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term -0.2% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 86.0% * * * * *   5.3% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 9.0% * * * * *   7.5% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 12.7% * * * * *   5.6% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro -3.6% * * * * *   -2.2% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 68.5% * * * * *   13.4% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 7.7% * * * * *   3.8% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 7.1% * * * * *   7.7% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 6.3% * * * * *   7.1% * * * * *
S&P 500 SPY Benchmark Benchmark 8.0% * * * * *   8.3% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 6.2% * * * * *   7.6% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 5.4% * * * * *   6.3% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 7.7% * * * * *   7.1% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap -5.4% * * * * *   -7.4% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 2.0% * * * * *   2.5% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 2.1% * * * * *   3.4% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 1.7% * * * * *   2.1% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap -3.1% * * * * *   -4.0% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro -3.3% * * * * *   -4.9% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val -2.9% * * * * *   -3.2% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 8.6% * * * * *   9.2% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 8.4% * * * * *   9.0% * * * * *
Indonesia EIDO Global Equities Asia and Australia -96.4% * * * * *   -23.9% * * * * *
New Zealand ENZL Global Equities Asia and Australia -8.2% * * * * *   -5.5% * * * * *
Philippines EPHE Global Equities Asia and Australia 26.8% * * * * *   -6.2% * * * * *
Australia EWA Global Equities Asia and Australia -1.7% * * * * *   -1.5% * * * * *
Hong Kong EWH Global Equities Asia and Australia 412.7% * * * * *   17.4% * * * * *
Japan EWJ Global Equities Asia and Australia -4.1% * * * * *   -1.7% * * * * *
Malaysia EWM Global Equities Asia and Australia 28.7% * * * * *   9.6% * * * * *
Singapore EWS Global Equities Asia and Australia 91.0% * * * * *   35.2% * * * * *
Taiwan EWT Global Equities Asia and Australia 0.6% * * * * *   0.7% * * * * *
S Korea EWY Global Equities Asia and Australia -36.6% * * * * *   -17.5% * * * * *
India INDY Global Equities Asia and Australia 20.9% * * * * *   0.9% * * * * *
China MCHI Global Equities Asia and Australia -208.0% * * * * *   40.1% * * * * *
Thailand THD Global Equities Asia and Australia -25.8% * * * * *   -8.1% * * * * *
Vietnam VNM Global Equities Asia and Australia -27.7% * * * * *   -10.2% * * * * *
Poland EPOL Global Equities Europe -322.0% * * * * *   25.7% * * * * *
Sweden EWD Global Equities Europe 10.1% * * * * *   7.0% * * * * *
Germany EWG Global Equities Europe 52.5% * * * * *   19.7% * * * * *
Italy EWI Global Equities Europe -412.4% * * * * *   16.7% * * * * *
Belgium EWK Global Equities Europe 103.8% * * * * *   8.6% * * * * *
Switzerland EWL Global Equities Europe 18.1% * * * * *   11.1% * * * * *
Netherlands EWN Global Equities Europe -8.7% * * * * *   -3.7% * * * * *
Austria EWO Global Equities Europe -145.2% * * * * *   24.1% * * * * *
Spain EWP Global Equities Europe 12952.5% * * * * *   23.4% * * * * *
France EWQ Global Equities Europe -11.3% * * * * *   -0.9% * * * * *
UK EWU Global Equities Europe 61.6% * * * * *   14.0% * * * * *
EMU EZU Global Equities Europe 31.1% * * * * *   7.2% * * * * *
Greece GREK Global Equities Europe -46.2% * * * * *   22.8% * * * * *
Norway NORW Global Equities Europe 85.7% * * * * *   16.9% * * * * *
Israel EIS Global Equities Mideast and Africa 17.3% * * * * *   18.4% * * * * *
S Africa EZA Global Equities Mideast and Africa -577.7% * * * * *   31.5% * * * * *
Turkey TUR Global Equities Mideast and Africa -23.0% * * * * *   -7.2% * * * * *
Canada EWC Global Equities North America 11.5% * * * * *   8.9% * * * * *
Mexico EWW Global Equities North America 158.2% * * * * *   -23.5% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 7.0% * * * * *   7.4% * * * * *
Argentina ARGT Global Equities South America 73.5% * * * * *   52.4% * * * * *
Chile ECH Global Equities South America 614.0% * * * * *   15.5% * * * * *
Peru EPU Global Equities South America -60.2% * * * * *   18.4% * * * * *
Brazil EWZ Global Equities South America 93.8% * * * * *   -13.9% * * * * *
Clean Energy ICLN Global Sectors Clean Energy -40.5% * * * * *   -17.0% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 7.3% * * * * *   7.1% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 18.2% * * * * *   7.5% * * * * *
Energy IXC Global Sectors Energy 47.1% * * * * *   2.3% * * * * *
Financials IXG Global Sectors Financials 27.2% * * * * *   22.3% * * * * *
Healthcare IXJ Global Sectors Healthcare -1.7% * * * * *   -0.7% * * * * *
Industrials EXI Global Sectors Industrials 7.4% * * * * *   5.6% * * * * *
Infrastructure IGF Global Sectors Infrastructure 42.3% * * * * *   18.7% * * * * *
Materials MXI Global Sectors Materials -12.9% * * * * *   -5.8% * * * * *
Technology IXN Global Sectors Technology 1.2% * * * * *   1.7% * * * * *
Telecom IXP Global Sectors Telecommunications 18.7% * * * * *   16.9% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry -11.0% * * * * *   -8.8% * * * * *
Global Utilities JXI Global Sectors Utilities 49.9% * * * * *   20.6% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark Benchmark 8.2% * * * * *   6.4% * * * * *