All Portfolios, ranked by Treynor

for period ending February 28, 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 42.7% * * * * *   24.3% * * * * *
Industrial Metals DBB Global Asset Classes Commodities -26.4% * * * * *   15.1% * * * * *
Oil DBO Global Asset Classes Commodities -7.7% * * * * *   1.8% * * * * *
PowerSh Commodity DBC Global Asset Classes Commodities: Broad -27.1% * * * * *   5.4% * * * * *
SPDR Gold Trust GLD Global Asset Classes Commodities: Prec Metals -572.1% * * * * *   39.1% * * * * *
AUStralia FXA Global Asset Classes Currency: AUS Dollar -7.4% * * * * *   -3.0% * * * * *
CAN Canada Dollar FXC Global Asset Classes Currency: CAN Dollar -19.0% * * * * *   -4.6% * * * * *
CHF Swiss Franc FXF Global Asset Classes Currency: CHF Franc -12.2% * * * * *   -2.2% * * * * *
EUR Euro FXE Global Asset Classes Currency: EUR Euro -21.0% * * * * *   -2.0% * * * * *
GBP UK Pound FXB Global Asset Classes Currency: GBP Pound 14.9% * * * * *   2.8% * * * * *
JPY Japan Yen FXY Global Asset Classes Currency: JPY Yen -2.2% * * * * *   -0.7% * * * * *
USD US Dollar indx UUP Global Asset Classes Currency: USD index -44.5% * * * * *   9.3% * * * * *
iShares MSCI EEM Global Asset Classes Equity: Emerging Mkts 43.4% * * * * *   10.6% * * * * *
Alerian US MLP AMLP Global Asset Classes Equity: MLP 21.3% * * * * *   23.0% * * * * *
US Corp Med 5-10y IGIB Global Asset Classes Fixed Income 19.5% * * * * *   7.7% * * * * *
Emerg Mkt Hi Yld EMHY Global Asset Classes Fixed Income 36.4% * * * * *   13.4% * * * * *
Muni Hi Yield HYD Global Asset Classes Fixed Income 20.2% * * * * *   5.6% * * * * *
US Treas 7-10yr IEF Global Asset Classes Fixed Income 10.7% * * * * *   4.9% * * * * *
Intl Treas IGOV Global Asset Classes Fixed Income -3.0% * * * * *   -1.1% * * * * *
MktVectors Intl Hi Yield IHY Global Asset Classes Fixed Income 27.2% * * * * *   6.8% * * * * *
MktVectors Intermed Muni ITM Global Asset Classes Fixed Income 13.8% * * * * *   2.6% * * * * *
US Hi Yield JNK Global Asset Classes Fixed Income 31.5% * * * * *   9.7% * * * * *
US Mort Backed MBB Global Asset Classes Fixed Income 14.7% * * * * *   6.5% * * * * *
US Inflation Prot TIP Global Asset Classes Fixed Income 20.2% * * * * *   6.0% * * * * *
U.S. Total Bond Market AGG Global Asset Classes Fixed Income: Aggregate 15.2% * * * * *   5.8% * * * * *
U.S. Total Bond Market BND Global Asset Classes Fixed Income: Aggregate 15.4% * * * * *   5.8% * * * * *
iShares Emerg EMB Global Asset Classes Fixed Income: Aggregate 21.0% * * * * *   10.1% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Global Asset Classes Fixed Income: Aggregate 14.0% * * * * *   9.5% * * * * *
T-Bill 1-3 Month BIL Global Asset Classes Fixed Income: Cash-like 4002.3% * * * * *   5.0% * * * * *
iShares Treas 20y+ TLT Global Asset Classes Fixed Income: Long-Term 2.2% * * * * *   2.2% * * * * *
iSh Treas 1-3y SHY Global Asset Classes Fixed Income: Short-Term 61.1% * * * * *   5.2% * * * * *
ACWI (Global) ACWI Global Asset Classes Int'l Equity: Core 17.4% * * * * *   15.3% * * * * *
Intl Dev Core EFA Global Asset Classes Int'l Equity: Lg Cap 14.2% * * * * *   8.9% * * * * *
iSh EAFE Growth EFG Global Asset Classes Int'l Equity: Lg Cap Gro 3.1% * * * * *   2.8% * * * * *
iSh EAFE Value EFV Global Asset Classes Int'l Equity: Lg Cap Val 33.0% * * * * *   15.0% * * * * *
Intl Dev Sm Cap SCZ Global Asset Classes Int'l Equity: Small Cap 8.2% * * * * *   6.2% * * * * *
US Large Core IWB Global Asset Classes U.S. Equity: Lg / Mid 17.0% * * * * *   18.1% * * * * *
iSh Russell 3000 IWV Global Asset Classes U.S. Equity: Lg Cap 15.8% * * * * *   17.3% * * * * *
S&P 500 SPY Global Asset Classes U.S. Equity: Lg Cap 18.1% * * * * *   18.4% * * * * *
iSh Russ 1000 Gro IWF Global Asset Classes U.S. Equity: Lg Cap Gro 18.8% * * * * *   19.8% * * * * *
PowerShares QQQ QQQ Global Asset Classes U.S. Equity: Lg Cap Gro 16.5% * * * * *   16.4% * * * * *
iSh Russ 1000 Val IWD Global Asset Classes U.S. Equity: Lg Cap Val 14.6% * * * * *   15.7% * * * * *
iSh Russell IWC Global Asset Classes U.S. Equity: Micro Cap 3.4% * * * * *   5.1% * * * * *
iSh US Mid Core IWR Global Asset Classes U.S. Equity: Mid Cap 9.3% * * * * *   12.2% * * * * *
iSh US Mid Growth IWP Global Asset Classes U.S. Equity: Mid Cap Gro 9.3% * * * * *   14.2% * * * * *
iSh US Mid Value IWS Global Asset Classes U.S. Equity: Mid Cap Val 9.2% * * * * *   11.5% * * * * *
iSh Russ 2000 IWM Global Asset Classes U.S. Equity: Sm Cap 4.0% * * * * *   6.6% * * * * *
iSh Russell 2000 IWO Global Asset Classes U.S. Equity: Sm Cap Gro 3.1% * * * * *   5.7% * * * * *
iSh Russ 2000 Val IWN Global Asset Classes U.S. Equity: Sm Cap Val 4.9% * * * * *   7.2% * * * * *
iShares Real Estate IYR Global Asset Classes U.S. Real Estate 11.1% * * * * *   13.9% * * * * *
Vanguard Real Estate VNQ Global Asset Classes U.S. Real Estate 11.3% * * * * *   14.1% * * * * *
Indonesia EIDO Global Equities Asia and Australia -36.6% * * * * *   -25.0% * * * * *
New Zealand ENZL Global Equities Asia and Australia -4.3% * * * * *   -3.9% * * * * *
Philippines EPHE Global Equities Asia and Australia -140.6% * * * * *   -10.5% * * * * *
Australia EWA Global Equities Asia and Australia 2.6% * * * * *   4.0% * * * * *
Hong Kong EWH Global Equities Asia and Australia -63.3% * * * * *   12.3% * * * * *
Japan EWJ Global Equities Asia and Australia 1.3% * * * * *   1.4% * * * * *
Malaysia EWM Global Equities Asia and Australia 59.9% * * * * *   12.7% * * * * *
Singapore EWS Global Equities Asia and Australia 70.1% * * * * *   36.6% * * * * *
Taiwan EWT Global Equities Asia and Australia 22.6% * * * * *   13.3% * * * * *
S Korea EWY Global Equities Asia and Australia -16.0% * * * * *   -12.7% * * * * *
India INDY Global Equities Asia and Australia -10.0% * * * * *   -4.7% * * * * *
China MCHI Global Equities Asia and Australia -102.4% * * * * *   40.6% * * * * *
Thailand THD Global Equities Asia and Australia -22.4% * * * * *   -7.0% * * * * *
Vietnam VNM Global Equities Asia and Australia -12.5% * * * * *   -10.9% * * * * *
Poland EPOL Global Equities Europe 30.3% * * * * *   14.8% * * * * *
Sweden EWD Global Equities Europe 15.0% * * * * *   10.9% * * * * *
Germany EWG Global Equities Europe 32.1% * * * * *   20.6% * * * * *
Italy EWI Global Equities Europe 100.9% * * * * *   19.1% * * * * *
Belgium EWK Global Equities Europe 38.2% * * * * *   10.0% * * * * *
Switzerland EWL Global Equities Europe 16.1% * * * * *   12.8% * * * * *
Netherlands EWN Global Equities Europe 0.7% * * * * *   0.8% * * * * *
Austria EWO Global Equities Europe 480.6% * * * * *   24.3% * * * * *
Spain EWP Global Equities Europe 71.6% * * * * *   28.6% * * * * *
France EWQ Global Equities Europe 4.1% * * * * *   1.4% * * * * *
UK EWU Global Equities Europe 47.2% * * * * *   17.7% * * * * *
EMU EZU Global Equities Europe 21.7% * * * * *   9.8% * * * * *
Greece GREK Global Equities Europe -82.6% * * * * *   11.0% * * * * *
Norway NORW Global Equities Europe 13.0% * * * * *   10.8% * * * * *
Israel EIS Global Equities Mideast and Africa 28.2% * * * * *   26.0% * * * * *
S Africa EZA Global Equities Mideast and Africa 70.0% * * * * *   27.9% * * * * *
Turkey TUR Global Equities Mideast and Africa -59.8% * * * * *   -7.1% * * * * *
Canada EWC Global Equities North America 14.9% * * * * *   14.7% * * * * *
Mexico EWW Global Equities North America -136.3% * * * * *   -19.4% * * * * *
US Equity: Russell 3000 SPTM Global Equities North America 16.7% * * * * *   17.5% * * * * *
Argentina ARGT Global Equities South America 109.0% * * * * *   68.6% * * * * *
Chile ECH Global Equities South America 50.8% * * * * *   11.9% * * * * *
Peru EPU Global Equities South America 148.3% * * * * *   23.1% * * * * *
Brazil EWZ Global Equities South America -62.0% * * * * *   -21.1% * * * * *
Clean Energy ICLN Global Sectors Clean Energy -21.1% * * * * *   -18.8% * * * * *
Consumer Discretionary RXI Global Sectors Consumer Discretionary 18.2% * * * * *   15.3% * * * * *
Consumer Staples KXI Global Sectors Consumer Staples 19.2% * * * * *   10.2% * * * * *
Energy IXC Global Sectors Energy 11.3% * * * * *   6.3% * * * * *
Financials IXG Global Sectors Financials 31.9% * * * * *   30.5% * * * * *
Healthcare IXJ Global Sectors Healthcare 4.6% * * * * *   3.9% * * * * *
Industrials EXI Global Sectors Industrials 12.5% * * * * *   11.7% * * * * *
Infrastructure IGF Global Sectors Infrastructure 29.4% * * * * *   21.1% * * * * *
Materials MXI Global Sectors Materials 0.2% * * * * *   0.5% * * * * *
Technology IXN Global Sectors Technology 11.9% * * * * *   12.7% * * * * *
Telecom IXP Global Sectors Telecommunications 34.6% * * * * *   27.6% * * * * *
Timber & Forestry WOOD Global Sectors Timber and Forestry -0.6% * * * * *   -0.3% * * * * *
Global Utilities JXI Global Sectors Utilities 32.8% * * * * *   24.0% * * * * *