Global Asset Classes, ranked by Downside Deviation
for period ending August 31, 2026
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
Downside Deviation is also called "below-target semi deviation". This is similar to standard deviation, except that upside deviation is ignored and only the unfavorable downside deviation is used in the calculation.
Downside Deviation vs. Annual Return
●
Portfolio Ingredients: Global Asset Classes
●
S&P 500 (SPY)
●
U.S. Bonds (BND)
●
Balanced (60% Equity / 40% Bonds)
Portfolio Ingredients: Global Asset Classes Peer Group
Sort by any column by clicking on the gray column heading.
| Downside Deviation | 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 | 5.7% | 6.3% | 6.4% | 7.2% | 8.4% | 9.4% | 15.0% | 11.7% | 5.4% | 0.0% | |||
| Industrial Metals | DBB | Commodities | 10.2% | 9.8% | 13.6% | 12.2% | 13.0% | 33.5% | 17.2% | 7.5% | 8.4% | 1.8% | |||
| Oil | DBO | Commodities | 31.4% | 19.5% | 20.4% | 22.5% | 21.9% | 67.4% | 14.7% | 15.0% | 11.7% | -0.2% | |||
| Invesco Commodity | DBC | Commodities: Broad | 15.8% | 10.0% | 11.3% | 12.1% | 12.7% | 14.1% | 45.7% | 13.3% | 13.4% | 9.9% | 1.4% | 2.3% | |
| SPDR Gold Shares | GLD | Commodities: Prec Metals | 21.2% | 13.1% | 10.6% | 9.4% | 10.9% | 11.6% | 28.4% | 31.4% | 19.2% | 12.6% | 5.7% | 9.9% | |
| AUStralia | FXA | Currency: AUS Dollar | 5.2% | 5.9% | 7.3% | 6.7% | 7.5% | 8.8% | 10.8% | 4.8% | 0.4% | 0.1% | -1.6% | 1.5% | |
| CAN Canada Dollar | FXC | Currency: CAN Dollar | 3.9% | 3.8% | 4.5% | 4.5% | 5.6% | 6.3% | -0.6% | 0.3% | -1.0% | -0.1% | -2.0% | -0.6% | |
| CHF Swiss Franc | FXF | Currency: CHF Franc | 5.3% | 5.4% | 5.4% | 5.0% | 6.1% | 6.5% | -1.6% | 2.7% | 2.0% | 1.1% | -0.8% | 1.6% | |
| EUR Euro | FXE | Currency: EUR Euro | 3.5% | 4.2% | 5.0% | 4.6% | 5.6% | 6.5% | 0.1% | 3.7% | 0.4% | 0.3% | -1.6% | -0.3% | |
| GBP UK Pound | FXB | Currency: GBP Pound | 3.5% | 4.4% | 5.4% | 5.5% | 5.8% | 6.4% | 2.4% | 4.9% | 1.5% | 1.1% | -0.8% | -0.9% | |
| JPY Japan Yen | FXY | Currency: JPY Yen | 5.1% | 7.1% | 7.9% | 6.8% | 6.9% | -8.4% | -3.5% | -7.7% | -4.7% | -5.2% | |||
| USD US Dollar indx | UUP | Currency: USD index | 2.2% | 4.3% | 4.3% | 4.2% | 4.3% | 6.2% | 3.8% | 5.6% | 3.0% | 3.1% | |||
| iShares MSCI | EEM | Equity: Emerging Mkts | 15.5% | 9.7% | 11.6% | 11.9% | 12.6% | 14.9% | 37.0% | 22.5% | 7.6% | 8.6% | 5.3% | 5.9% | |
| Alerian US MLP | AMLP | Equity: MLP | 5.9% | 7.8% | 12.0% | 22.2% | 18.9% | 23.6% | 19.8% | 20.7% | 7.4% | 5.8% | |||
| US Corp Med 5-10y | IGIB | Fixed Income | 2.4% | 3.3% | 5.2% | 4.7% | 3.9% | 2.1% | 6.1% | 0.9% | 2.8% | 3.0% | |||
| Emerg Mkt Hi Yld | EMHY | Fixed Income | 3.4% | 2.9% | 6.4% | 7.7% | 8.2% | 12.2% | 4.1% | 4.0% | |||||
| Muni Hi Yield | HYD | Fixed Income | 3.4% | 3.9% | 5.5% | 8.2% | 7.3% | 5.5% | 3.7% | -1.0% | 1.3% | 3.2% | |||
| US Treas 7-10yr | IEF | Fixed Income | 2.8% | 4.4% | 5.5% | 4.6% | 4.1% | 4.2% | 0.2% | 3.0% | -1.7% | 0.5% | 1.5% | 3.2% | |
| Intl Treas | IGOV | Fixed Income | 5.1% | 6.4% | 8.2% | 6.7% | 6.3% | -1.5% | 2.6% | -4.3% | -1.5% | -1.2% | |||
| VanEck Intl Hi Yield | IHY | Fixed Income | 3.4% | 2.9% | 6.3% | 6.6% | 4.0% | 8.7% | 2.0% | 3.7% | |||||
| VanEck Intermed Muni | ITM | Fixed Income | 3.7% | 3.5% | 4.7% | 4.4% | 4.0% | 3.1% | 3.1% | -0.2% | 1.4% | 2.5% | |||
| US Hi Yield | JNK | Fixed Income | 1.1% | 2.0% | 5.5% | 5.6% | 5.5% | 5.3% | 8.3% | 3.4% | 4.5% | 4.7% | |||
| US Mort Backed | MBB | Fixed Income | 2.2% | 3.9% | 4.8% | 3.6% | 3.0% | 3.0% | 4.5% | 0.1% | 1.1% | 1.5% | |||
| US Inflation Prot | TIP | Fixed Income | 1.7% | 2.5% | 4.5% | 3.5% | 3.5% | 3.9% | 0.9% | 3.8% | 0.2% | 2.3% | 2.1% | 3.3% | |
| U.S. Agg Bond Market | AGG | Fixed Income: Aggregate | 2.3% | 3.4% | 4.5% | 3.5% | 3.0% | 2.8% | 1.9% | 4.1% | -0.3% | 1.4% | 2.0% | 3.0% | |
| U.S. Total Bond Market | BND | Benchmark | 2.2% | 3.3% | 4.5% | 3.5% | 3.0% | 2.8% | 1.8% | 4.1% | -0.4% | 1.4% | 2.0% | 3.1% | |
| iShares Emerg | EMB | Fixed Income: Aggregate | 4.0% | 4.4% | 7.2% | 7.6% | 6.9% | 6.0% | 8.8% | 1.0% | 2.5% | 3.6% | |||
| Invesco Emerg Mkt Sov Debt | PCY | Fixed Income: Aggregate | 5.6% | 6.7% | 10.2% | 9.8% | 8.8% | 5.0% | 8.1% | -0.2% | 1.4% | 3.2% | |||
| T-Bill 1-3 Month | BIL | Fixed Income: Cash-like | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 3.7% | 4.5% | 3.5% | 2.3% | 1.5% | |||
| iShares Treas 20y+ | TLT | Fixed Income: Long-Term | 6.8% | 9.6% | 10.4% | 9.3% | 8.8% | 9.0% | -0.3% | -1.1% | -8.0% | -2.4% | 1.1% | 2.9% | |
| iSh Treas 1-3y | SHY | Fixed Income: Short-Term | 0.5% | 0.6% | 1.2% | 0.9% | 0.8% | 0.7% | 2.3% | 4.1% | 1.8% | 1.7% | 1.3% | 1.9% | |
| ACWI (Global) | ACWI | Int'l Equity: Core | 7.4% | 6.9% | 10.4% | 10.5% | 10.0% | 22.3% | 20.5% | 10.9% | 12.7% | 11.2% | |||
| Intl Dev Core | EFA | Int'l Equity: Lg Cap | 9.4% | 8.0% | 10.8% | 10.7% | 10.6% | 12.7% | 21.5% | 18.2% | 9.3% | 9.5% | 7.9% | 5.5% | |
| iSh EAFE Growth | EFG | Int'l Equity: Lg Cap Gro | 11.3% | 10.1% | 12.7% | 11.3% | 11.0% | 12.7% | 14.8% | 12.6% | 4.0% | 8.1% | 7.3% | 5.3% | |
| iSh EAFE Value | EFV | Int'l Equity: Lg Cap Val | 8.6% | 7.1% | 10.4% | 11.6% | 11.3% | 13.4% | 28.3% | 23.7% | 14.6% | 10.4% | 8.1% | 5.2% | |
| Intl Dev Sm Cap | SCZ | Int'l Equity: Small Cap | 11.0% | 9.7% | 12.2% | 12.4% | 11.8% | 18.7% | 17.3% | 5.4% | 8.5% | 8.4% | |||
| US Large Core | IWB | U.S. Equity: Lg / Mid | 6.0% | 7.5% | 10.9% | 11.1% | 10.0% | 11.4% | 19.6% | 20.6% | 12.0% | 15.0% | 14.8% | 11.2% | |
| iSh Russell 3000 | IWV | U.S. Equity: Lg Cap | 5.9% | 7.6% | 11.0% | 11.2% | 10.2% | 11.6% | 19.9% | 20.4% | 11.6% | 14.7% | 14.5% | 11.0% | |
| S&P 500 | SPY | Benchmark | 6.1% | 7.3% | 10.8% | 10.9% | 9.8% | 11.2% | 20.2% | 20.9% | 12.7% | 15.3% | 15.0% | 11.3% | |
| iSh Russ 1000 Gro | IWF | U.S. Equity: Lg Cap Gro | 9.6% | 10.1% | 13.7% | 12.5% | 11.0% | 12.0% | 10.6% | 20.9% | 11.7% | 17.7% | 16.7% | 13.2% | |
| Invecso QQQ | QQQ | U.S. Equity: Lg Cap Gro | 11.0% | 9.9% | 14.7% | 13.2% | 11.8% | 13.4% | 26.3% | 24.5% | 14.2% | 20.8% | 19.7% | 16.6% | |
| iSh Russ 1000 Val | IWD | U.S. Equity: Lg Cap Val | 6.2% | 8.0% | 10.2% | 11.3% | 10.3% | 11.8% | 29.5% | 19.6% | 11.6% | 11.6% | 12.4% | 8.7% | |
| iSh Russell | IWC | U.S. Equity: Micro Cap | 10.8% | 14.5% | 15.3% | 16.4% | 15.0% | 16.3% | 37.5% | 23.0% | 6.6% | 11.0% | 11.7% | 7.9% | |
| iSh US Mid Core | IWR | U.S. Equity: Mid Cap | 6.4% | 9.3% | 11.8% | 12.8% | 11.5% | 13.2% | 17.7% | 16.7% | 7.9% | 11.5% | 12.4% | 9.9% | |
| iSh US Mid Growth | IWP | U.S. Equity: Mid Cap Gro | 9.4% | 11.4% | 13.7% | 13.2% | 12.0% | 13.5% | -1.4% | 13.9% | 4.1% | 11.9% | 12.3% | 10.2% | |
| iSh US Mid Value | IWS | U.S. Equity: Mid Cap Val | 6.3% | 9.3% | 11.8% | 13.4% | 12.0% | 13.7% | 24.3% | 17.2% | 9.3% | 10.3% | 11.8% | 9.1% | |
| iSh Russ 2000 | IWM | U.S. Equity: Sm Cap | 7.4% | 12.5% | 13.9% | 15.0% | 13.8% | 15.0% | 26.3% | 17.3% | 6.7% | 10.5% | 11.3% | 8.8% | |
| iSh Russell 2000 | IWO | U.S. Equity: Sm Cap Gro | 10.9% | 14.1% | 15.1% | 15.4% | 14.4% | 15.4% | 23.1% | 16.9% | 5.0% | 10.6% | 11.5% | 9.4% | |
| iSh Russ 2000 Val | IWN | U.S. Equity: Sm Cap Val | 4.8% | 11.5% | 13.4% | 15.5% | 14.0% | 15.3% | 29.6% | 17.6% | 8.3% | 9.9% | 10.8% | 7.8% | |
| iShares Real Estate | IYR | U.S. Real Estate | 8.3% | 11.2% | 13.1% | 12.9% | 12.1% | 16.2% | 7.6% | 9.1% | 1.4% | 5.1% | 7.3% | 5.2% | |
| Vanguard Real Estate | VNQ | U.S. Real Estate | 8.3% | 11.2% | 13.2% | 12.8% | 12.3% | 16.6% | 8.6% | 9.6% | 1.5% | 4.9% | 7.7% | 5.9% | |
| Strategic 60-40 Portfolio | s.6040 | Benchmark | 4.2% | 5.4% | 7.9% | 7.2% | 6.4% | 7.1% | 12.7% | 13.9% | 6.9% | 9.5% | 9.7% | 8.2% | |