Global Asset Classes, ranked by Alpha

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, Alpha, 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

Alpha is another way to see risk-adjusted return, showing the extra return above the expected return given the asset class's volatility (beta). Alpha greater than zero shows performance above what is expected based on its beta versus the benchmark of the S&P 500 (represented by the SPY exchange-traded fund).

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.

Portfolio Ingredients: Global Asset Classes Peer Group
Sort by any column by clicking on the gray column heading.

      Alpha   Total Return, annualized
Ingredient Name ID 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 Commodities 4.8% * * * * *   10.8% * * * * *
Industrial Metals DBB Commodities 8.7% * * * * *   11.9% * * * * *
Oil DBO Commodities -7.0% * * * * *   -3.3% * * * * *
PowerSh Commodity DBC Commodities: Broad -0.5% * * * * *   3.2% * * * * *
SPDR Gold Trust GLD Commodities: Prec Metals 37.0% * * * * *   40.1% * * * * *
AUStralia FXA Currency: AUS Dollar -8.3% * * * * *   -2.6% * * * * *
CAN Canada Dollar FXC Currency: CAN Dollar -9.5% * * * * *   -4.4% * * * * *
CHF Swiss Franc FXF Currency: CHF Franc -3.3% * * * * *   1.7% * * * * *
EUR Euro FXE Currency: EUR Euro -2.1% * * * * *   2.2% * * * * *
GBP UK Pound FXB Currency: GBP Pound 0.8% * * * * *   5.5% * * * * *
JPY Japan Yen FXY Currency: JPY Yen -5.6% * * * * *   0.4% * * * * *
USD US Dollar indx UUP Currency: USD index 0.4% * * * * *   5.1% * * * * *
iShares MSCI EEM Equity: Emerging Mkts 3.8% * * * * *   8.9% * * * * *
Alerian US MLP AMLP Equity: MLP 10.8% * * * * *   18.4% * * * * *
US Corp Med 5-10y IGIB Fixed Income 0.7% * * * * *   6.4% * * * * *
Emerg Mkt Hi Yld EMHY Fixed Income 3.6% * * * * *   9.6% * * * * *
Muni Hi Yield HYD Fixed Income -3.6% * * * * *   2.2% * * * * *
US Treas 7-10yr IEF Fixed Income -1.3% * * * * *   4.5% * * * * *
Intl Treas IGOV Fixed Income -5.6% * * * * *   0.1% * * * * *
MktVectors Intl Hi Yield IHY Fixed Income 1.8% * * * * *   7.1% * * * * *
MktVectors Intermed Muni ITM Fixed Income -5.0% * * * * *   0.6% * * * * *
US Hi Yield JNK Fixed Income 1.2% * * * * *   7.0% * * * * *
US Mort Backed MBB Fixed Income -0.3% * * * * *   5.6% * * * * *
US Inflation Prot TIP Fixed Income 0.7% * * * * *   6.1% * * * * *
U.S. Total Bond Market AGG Fixed Income: Aggregate -0.8% * * * * *   4.9% * * * * *
U.S. Total Bond Market BND Benchmark -0.8% * * * * *   4.9% * * * * *
iShares Emerg EMB Fixed Income: Aggregate 0.6% * * * * *   6.7% * * * * *
PwrSh Emerg Mkt Sov Debt PCY Fixed Income: Aggregate -2.3% * * * * *   4.6% * * * * *
T-Bill 1-3 Month BIL Fixed Income: Cash-like 0.2% * * * * *   4.9% * * * * *
iShares Treas 20y+ TLT Fixed Income: Long-Term -6.9% * * * * *   0.2% * * * * *
iSh Treas 1-3y SHY Fixed Income: Short-Term 0.3% * * * * *   5.3% * * * * *
ACWI (Global) ACWI Int'l Equity: Core -0.1% * * * * *   7.5% * * * * *
Intl Dev Core EFA Int'l Equity: Lg Cap -0.6% * * * * *   5.6% * * * * *
iSh EAFE Growth EFG Int'l Equity: Lg Cap Gro -9.3% * * * * *   -2.2% * * * * *
iSh EAFE Value EFV Int'l Equity: Lg Cap Val 8.0% * * * * *   13.4% * * * * *
Intl Dev Sm Cap SCZ Int'l Equity: Small Cap -2.5% * * * * *   3.8% * * * * *
US Large Core IWB U.S. Equity: Lg / Mid -0.7% * * * * *   7.7% * * * * *
iSh Russell 3000 IWV U.S. Equity: Lg Cap -1.5% * * * * *   7.1% * * * * *
S&P 500 SPY Benchmark 0.0% * * * * *   8.3% * * * * *
iSh Russ 1000 Gro IWF U.S. Equity: Lg Cap Gro -1.3% * * * * *   7.6% * * * * *
PowerShares QQQ QQQ U.S. Equity: Lg Cap Gro -2.4% * * * * *   6.3% * * * * *
iSh Russ 1000 Val IWD U.S. Equity: Lg Cap Val -0.8% * * * * *   7.1% * * * * *
iSh Russell IWC U.S. Equity: Micro Cap -17.3% * * * * *   -7.4% * * * * *
iSh US Mid Core IWR U.S. Equity: Mid Cap -6.1% * * * * *   2.5% * * * * *
iSh US Mid Growth IWP U.S. Equity: Mid Cap Gro -6.5% * * * * *   3.4% * * * * *
iSh US Mid Value IWS U.S. Equity: Mid Cap Val -6.2% * * * * *   2.1% * * * * *
iSh Russ 2000 IWM U.S. Equity: Sm Cap -13.8% * * * * *   -4.0% * * * * *
iSh Russell 2000 IWO U.S. Equity: Sm Cap Gro -15.2% * * * * *   -4.9% * * * * *
iSh Russ 2000 Val IWN U.S. Equity: Sm Cap Val -12.4% * * * * *   -3.2% * * * * *
iShares Real Estate IYR U.S. Real Estate 0.8% * * * * *   9.2% * * * * *
Vanguard Real Estate VNQ U.S. Real Estate 0.6% * * * * *   9.0% * * * * *
Strategic 60-40 Portfolio s.6040 Benchmark -1.0% * * * * *   6.4% * * * * *